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Importance sampling of rare events in chaotic systems |
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| Authors: | Leitão Jorge C. Parente Lopes João M. Viana Altmann Eduardo G. |
| Affiliation: | 1.Dipartimento di Economia, Universià dell’Insubria, via Monte Generoso 71, 21100, Varese, Italy ;2.CNR-IMATI, via A. Corti 12, 20133, Milano, Italy ;3.Dipartimento di Matematica, Politecnico di Torino, Corso Duca degli Abruzzi 24, 10129, Torino, Italy ; |
| Abstract: | The European Physical Journal B - A way to make financial models effective is by letting them to represent the so called “fat tails”, i.e., extreme changes in stock prices that are... |
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