We give the background and required tools for applying quasi-Monte Carlo methods efficiently to problems in computational finance, and survey recent developments in this field. W...
The stochastic differential equations for affine jump diffusion models do not yield exact solutions that can be directly simulated. Discretization methods can be used for simulati...
We propose a class of alternative stochastic volatility models for electricity prices using the quantile function modeling approach. Specifically, we fit marginal distributions ...
In this paper, we extend the classical result by Huang, Kintala, Kolettis and Fulton (1995), and in addition propose a modified stochastic model to determine the software rejuvena...
Second order statistics have formed the basis of learning and adaptation due to its appeal and analytical simplicity. On the other hand, in many realistic engineering problems requ...