{"id":"https://openalex.org/W4249106153","doi":"https://doi.org/10.1109/wsc.2007.4419689","title":"Sensitivity estimates from characteristic functions","display_name":"Sensitivity estimates from characteristic functions","publication_year":2007,"publication_date":"2007-01-01","ids":{"openalex":"https://openalex.org/W4249106153","doi":"https://doi.org/10.1109/wsc.2007.4419689"},"language":"en","primary_location":{"id":"doi:10.1109/wsc.2007.4419689","is_oa":false,"landing_page_url":"https://doi.org/10.1109/wsc.2007.4419689","pdf_url":null,"source":{"id":"https://openalex.org/S4363608517","display_name":"2007 Winter Simulation Conference","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"conference"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2007 Winter Simulation Conference","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5026619574","display_name":"Paul Glasserman","orcid":"https://orcid.org/0000-0002-9577-0205"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Paul Glasserman","raw_affiliation_strings":["Columbia Business School, Uris Hall, New York, NY, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Columbia Business School, Uris Hall, New York, NY, USA","institution_ids":[]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5102087569","display_name":"Zongjian Liu","orcid":null},"institutions":[{"id":"https://openalex.org/I78577930","display_name":"Columbia University","ror":"https://ror.org/00hj8s172","country_code":"US","type":"education","lineage":["https://openalex.org/I78577930"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Zongjian Liu","raw_affiliation_strings":["Department of IE & OR, Columbia University, New York, NY, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of IE & OR, Columbia University, New York, NY, USA","institution_ids":["https://openalex.org/I78577930"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":2.9326,"has_fulltext":false,"cited_by_count":12,"citation_normalized_percentile":{"value":0.91860465,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":90,"max":94},"biblio":{"volume":null,"issue":null,"first_page":"932","last_page":"940"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9986000061035156,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9986000061035156,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9959999918937683,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.989300012588501,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/laplace-transform","display_name":"Laplace transform","score":0.763159990310669},{"id":"https://openalex.org/keywords/sensitivity","display_name":"Sensitivity (control systems)","score":0.7221509218215942},{"id":"https://openalex.org/keywords/convergence","display_name":"Convergence (economics)","score":0.5553485751152039},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.546297550201416},{"id":"https://openalex.org/keywords/probability-density-function","display_name":"Probability density function","score":0.48696693778038025},{"id":"https://openalex.org/keywords/inverse-laplace-transform","display_name":"Inverse Laplace transform","score":0.48033538460731506},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.463998019695282},{"id":"https://openalex.org/keywords/function","display_name":"Function (biology)","score":0.4635661542415619},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.4334403872489929},{"id":"https://openalex.org/keywords/derivative","display_name":"Derivative (finance)","score":0.4334326684474945},{"id":"https://openalex.org/keywords/characteristic-function","display_name":"Characteristic function (probability theory)","score":0.42616862058639526},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.4193388521671295},{"id":"https://openalex.org/keywords/sample","display_name":"Sample (material)","score":0.41557803750038147},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.4139633774757385},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.2183181345462799},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.19517561793327332},{"id":"https://openalex.org/keywords/engineering","display_name":"Engineering","score":0.10010206699371338},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.09751355648040771},{"id":"https://openalex.org/keywords/electronic-engineering","display_name":"Electronic engineering","score":0.07714733481407166}],"concepts":[{"id":"https://openalex.org/C97937538","wikidata":"https://www.wikidata.org/wiki/Q199691","display_name":"Laplace transform","level":2,"score":0.763159990310669},{"id":"https://openalex.org/C21200559","wikidata":"https://www.wikidata.org/wiki/Q7451068","display_name":"Sensitivity (control systems)","level":2,"score":0.7221509218215942},{"id":"https://openalex.org/C2777303404","wikidata":"https://www.wikidata.org/wiki/Q759757","display_name":"Convergence (economics)","level":2,"score":0.5553485751152039},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.546297550201416},{"id":"https://openalex.org/C197055811","wikidata":"https://www.wikidata.org/wiki/Q207522","display_name":"Probability density function","level":2,"score":0.48696693778038025},{"id":"https://openalex.org/C60455284","wikidata":"https://www.wikidata.org/wiki/Q2162701","display_name":"Inverse Laplace transform","level":3,"score":0.48033538460731506},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.463998019695282},{"id":"https://openalex.org/C14036430","wikidata":"https://www.wikidata.org/wiki/Q3736076","display_name":"Function (biology)","level":2,"score":0.4635661542415619},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.4334403872489929},{"id":"https://openalex.org/C111771559","wikidata":"https://www.wikidata.org/wiki/Q66295","display_name":"Derivative (finance)","level":2,"score":0.4334326684474945},{"id":"https://openalex.org/C20538924","wikidata":"https://www.wikidata.org/wiki/Q822139","display_name":"Characteristic function (probability theory)","level":3,"score":0.42616862058639526},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.4193388521671295},{"id":"https://openalex.org/C198531522","wikidata":"https://www.wikidata.org/wiki/Q485146","display_name":"Sample (material)","level":2,"score":0.41557803750038147},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.4139633774757385},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.2183181345462799},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.19517561793327332},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.10010206699371338},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.09751355648040771},{"id":"https://openalex.org/C24326235","wikidata":"https://www.wikidata.org/wiki/Q126095","display_name":"Electronic engineering","level":1,"score":0.07714733481407166},{"id":"https://openalex.org/C97355855","wikidata":"https://www.wikidata.org/wiki/Q11473","display_name":"Thermodynamics","level":1,"score":0.0},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C50522688","wikidata":"https://www.wikidata.org/wiki/Q189833","display_name":"Economic growth","level":1,"score":0.0},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.0},{"id":"https://openalex.org/C78458016","wikidata":"https://www.wikidata.org/wiki/Q840400","display_name":"Evolutionary biology","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/wsc.2007.4419689","is_oa":false,"landing_page_url":"https://doi.org/10.1109/wsc.2007.4419689","pdf_url":null,"source":{"id":"https://openalex.org/S4363608517","display_name":"2007 Winter Simulation Conference","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"conference"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2007 Winter Simulation Conference","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[{"display_name":"Decent work and economic growth","score":0.4399999976158142,"id":"https://metadata.un.org/sdg/8"}],"awards":[],"funders":[{"id":"https://openalex.org/F4320306076","display_name":"National Science Foundation","ror":"https://ror.org/021nxhr62"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":10,"referenced_works":["https://openalex.org/W2043589266","https://openalex.org/W2079491906","https://openalex.org/W2100190417","https://openalex.org/W2125862561","https://openalex.org/W2797641211","https://openalex.org/W3123321876","https://openalex.org/W4206769493","https://openalex.org/W6630869627","https://openalex.org/W6749973064","https://openalex.org/W6981854922"],"related_works":["https://openalex.org/W3022275705","https://openalex.org/W1996624184","https://openalex.org/W3023736802","https://openalex.org/W3021788336","https://openalex.org/W2328813089","https://openalex.org/W2504967562","https://openalex.org/W2260908168","https://openalex.org/W3148077626","https://openalex.org/W3116142293","https://openalex.org/W4309989447"],"abstract_inverted_index":{"We":[0,59],"investigate":[1],"the":[2,5,14,18,75,81,98],"application":[3],"of":[4,49,63],"likelihood":[6],"ratio":[7],"method":[8,99],"(LRM)":[9],"for":[10,17,41,94],"sensitivity":[11],"estimation":[12],"when":[13,66],"relevant":[15],"density":[16,82],"underlying":[19],"model":[20],"is":[21,70],"known":[22,54],"only":[23,55],"through":[24,56,74],"its":[25,84],"characteristic":[26,76],"function":[27,77],"or":[28],"Laplace":[29],"transform.":[30],"This":[31,90],"problem":[32],"arises":[33],"in":[34,88,97],"financial":[35],"applications,":[36],"where":[37,45],"sensitivities":[38],"are":[39],"used":[40,71],"managing":[42],"risk":[43],"and":[44,78,83],"a":[46],"substantial":[47],"class":[48],"models":[50],"have":[51],"transition":[52],"densities":[53],"their":[57],"transforms.":[58],"quantify":[60],"various":[61],"sources":[62],"errors":[64],"arising":[65],"numerical":[67],"transform":[68],"inversion":[69],"to":[72,79,100],"sample":[73],"evaluate":[80],"derivative,":[85],"as":[86],"required":[87],"LRM.":[89],"analysis":[91],"provides":[92],"guidance":[93],"setting":[95],"parameters":[96],"accelerate":[101],"convergence.":[102]},"counts_by_year":[{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":1},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":1},{"year":2016,"cited_by_count":1},{"year":2012,"cited_by_count":1}],"updated_date":"2026-06-16T07:32:37.131356","created_date":"2025-10-10T00:00:00"}
