When running Monte Carlo type simulations in situations where you're only interested in tail outcomes, do you know of a way to only simulate those outcomes, so that you can come up with more reliable answers in fewer simulations.


closed as off-topic by Myshkin, arsmath, Alexey Ustinov, Wolfgang, Carlo Beenakker Nov 19 '15 at 16:34

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  • $\begingroup$ "Importance Sampling" is the keyword you are looking for. For a start you might look in Paul Glasserman's book on Monte Carlo Methods for Financial Engineering. $\endgroup$ – Stephan Sturm Nov 19 '15 at 14:01
  • $\begingroup$ Thanks a ton, Stephan! I am not very good at this kind of mathematics. Can you explain be the concept in layman terms? An example, maybe? TIA! $\endgroup$ – aayush anand Nov 19 '15 at 14:07
  • $\begingroup$ Sorry, but this is really not the site for layman's term questions, it is a site for questions people have that do math for a living. Moreover a quick google search should be enough to give you some ideas. $\endgroup$ – Stephan Sturm Nov 19 '15 at 14:11
  • $\begingroup$ Okay, apologies! Thanks for taking time out. $\endgroup$ – aayush anand Nov 19 '15 at 14:15