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...
Abstract. In engineering applications, we need to make decisions under uncertainty. Traditionally, in engineering, statistical methods are used, methods assuming that we know the p...
Vladik Kreinovich, Jan Beck, Carlos Ferregut, Arac...
In this paper we introduce the first algorithms for efficiently learning a simulation policy for Monte-Carlo search. Our main idea is to optimise the balance of a simulation polic...
The calculation of value-at-risk (VAR) for large portfolios of complex instruments is among the most demanding and widespread computational challenges facing the financial industr...
Paul Glasserman, Philip Heidelberger, Perwez Shaha...
We develop a financial model for a manufacturing process where quality can be affected by an assignable cause. We evaluate the options associated with applying a statistical proce...