WSC
2004
13 years 11 months ago
2004
WSC
2004
13 years 11 months ago
2004
WSC
2004
13 years 11 months ago
2004
The labor intensive aspects of simulation development and maintenance make exploration of reuse essential. However, reuse is generally difficult to achieve in practice due to infl...
WSC
2004
13 years 11 months ago
2004
Determination of credit portfolio loss distributions is essential for the valuation and risk management of multiname credit derivatives such as CDOs. The default time model has re...
WSC
2004
13 years 11 months ago
2004
Credit risk analysis for portfolios containing CDO tranches is a challenging task for risk managers. We propose here a basis function approach for CDO tranche valuation and portfo...
WSC
2004
13 years 11 months ago
2004
Calvin and Nakayama previously introduced permuting as a way of improving existing standardized time series methods. The basic idea is to split a simulated sample path into nonove...
WSC
2004
13 years 11 months ago
2004
We consider the steady state output analysis problem for a process that satisfies a functional central limit theorem. We construct asymptotically valid confidence intervals for th...
WSC
2001
13 years 11 months ago
2001
Taking into account input-model, input-parameter, and stochastic uncertainties inherent in many simulations, our Bayesian approach to input modeling yields valid point and confide...
WSC
2004
13 years 11 months ago
2004
We review the basic properties of American options and the difficulties of applying Monte Carlo valuation to American options. Recent progress on the Least Squares Monte Carlo (LS...
WSC
2001
13 years 11 months ago
2001
Due to high demand uncertainty, excess inventory has been a key issue in inventory control. Caterpillar developed the dealers' parts inventory sharing (DPIS) and returns prog...