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Importance Sampling: Difference between revisions
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(Created page with "== Introduction == Importance sampling is a statistical technique used to estimate properties of a particular distribution while only having samples generated from a different distribution. This method is widely used in various fields such as computational statistics, machine learning, and Monte Carlo simulations. The primary goal of importance sampling is to reduce the variance of an estimator, thereby increasing the efficiency and accuracy of the estimation process....") |
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In finance, importance sampling is used in the valuation of complex financial derivatives and risk management. It helps in estimating the probabilities of rare events, which are critical for assessing financial risks. | In finance, importance sampling is used in the valuation of complex financial derivatives and risk management. It helps in estimating the probabilities of rare events, which are critical for assessing financial risks. | ||
[[Image:Detail-92027.jpg|thumb|center|Busy financial market with traders working at their desks.|class=only_on_mobile]] | |||
[[Image:Detail-92028.jpg|thumb|center|Busy financial market with traders working at their desks.|class=only_on_desktop]] | |||
== Challenges and Limitations == | == Challenges and Limitations == | ||