Linear-time accurate lattice algorithms for tail conditional expectation (Q5168380)
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scientific article; zbMATH DE number 6313232
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Linear-time accurate lattice algorithms for tail conditional expectation |
scientific article; zbMATH DE number 6313232 |
Statements
Linear-time accurate lattice algorithms for tail conditional expectation (English)
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4 July 2014
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value-at-risk
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tail conditional expectation
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lattice
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prefix sum
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extrapolation
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fractional steps
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