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CISSE
2007
Springer
13 years 11 months ago
Issues in Simulation for Valuing Long-Term Forwards
Abstract- This paper explores valuing long-term equity forwardcontracts or futures where both the underlying volatility and the interest rates are modeled as stochastic random vari...
Phillip G. Bradford, Alina Olteanu
CCE
2010
13 years 5 months ago
Multi-scale methods and complex processes: A survey and look ahead
AbstrAct A comprehensive overview of numerical methodologies currently available for analyzing and building understanding of complex processes is presented. Both equation-free and ...
Angelo Lucia
WSC
2007
13 years 10 months ago
Controlled sequential bifurcation for software reliability study
Computer simulation is an appealing approach for the reliability analysis of structure-based software systems as it can accommodate important complexities present in realistic sys...
Jun Xu, Feng Yang, Hong Wan
WSC
1998
13 years 9 months ago
LABATCH.2: Software for Statistical Analysis of Simulation Sample Path Data
LABATCH.2 is a collection of computer programs available in C, FORTRAN, and SIMSCRIPT II.5 by anonymous ftp, at http://www.or.unc.edu/gfish/labatch.2.html. It performs statistical...
George S. Fishman
CSSE
2008
IEEE
14 years 2 months ago
Stochastic Gradient Algorithm for Multi-input Systems Based on the Auxiliary Model
—This paper presents an auxiliary model based stochastic gradient parameter estimation algorithm for multiinput output-error systems by minimizing a quadratic cost function. The ...
Yuwu Liao, Xianfang Wang, Rui Feng Ding