@inproceedings{c16b2c0011a04a50aa047327c5bb0330,
title = "Fast accurate algorithms for tail conditional expectation",
abstract = "This paper proposes novel lattice algorithms to compute tail conditional expectation. To improve the na{\"i}ve approach, we develop tilting, trinomial, and extrapolation algorithms together with some syntheses of these algorithms. Furthermore, we introduce fractional-step lattices to prevent interpolation error in the extrapolation algorithms. A key finding is that combining the techniques of tilting lattice, extrapolation and fractional steps substantially increases speed and accuracy. We demostrate the efficiency and accuracy of these algorithms with numerical results.",
keywords = "Extrapolation, Fractional Steps, Lattice, Tail Conditional Expectation, Value-at-Risk",
author = "Bryant Chen and Hsu, {William M Y} and Ming-Yang Kao",
note = "Copyright: Copyright 2009 Elsevier B.V., All rights reserved.; International Conference on Numerical Analysis and Applied Mathematics 2009, ICNAAM-2009 ; Conference date: 18-09-2009 Through 22-09-2009",
year = "2009",
doi = "10.1063/1.3241508",
language = "English (US)",
isbn = "9780735407091",
series = "AIP Conference Proceedings",
pages = "501--504",
booktitle = "Numerical Analysis and Applied Mathematics - International Conference on Numerical Analysis and Applied Mathematics 2009, ICNAAM-2009",
}