Monte Carlo based SSTA serves as the golden standard against alternative SSTA algorithms, but it is seldom used in practice due to its high computation time. In this paper, we acc...
Jason Cong, Karthik Gururaj, Wei Jiang, Bin Liu, K...
In recent years the financial world has seen an increasing demand for faster risk simulations, driven by growth in client portfolios. Traditionally many financial models employ Mo...
The recent turmoil in global credit markets has demonstrated the need for advanced modelling of credit risk, which can take into account the effects of changing economic condition...
—We present a new technique for statistical static timing analysis (SSTA) based on Markov chain Monte Carlo (MCMC), that allows fast and accurate estimation of the right-hand tai...
Yashodhan Kanoria, Subhasish Mitra, Andrea Montana...
Today, quasi-Monte Carlo (QMC) methods are widely used in finance to price derivative securities. The QMC approach is popular because for many types of derivatives it yields an es...