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    WSC
    2004
    71views Modeling And Simulation» more  WSC 2004»
    Permuted Weighted Area Estimators
    14 years 25 days ago
    Permuted Weighted Area Estimators
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    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...
    James M. Calvin, Marvin K. Nakayama
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    WSC
    2004
    82views Modeling And Simulation» more  WSC 2004»
    Simulation Output Analysis Based on Excursions
    14 years 25 days ago
    Simulation Output Analysis Based on Excursions
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    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...
    James M. Calvin
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    WSC
    2004
    136views Modeling And Simulation» more  WSC 2004»
    Monte Carlo Methods for American Options
    14 years 25 days ago
    Monte Carlo Methods for American Options
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    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...
    Russel E. Caflisch, Suneal Chaudhary
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    WSC
    2004
    80views Modeling And Simulation» more  WSC 2004»
    Simulation, a Framework for Analysing SME Supply Chains
    14 years 25 days ago
    Simulation, a Framework for Analysing SME Supply Chains
    Download  www.informs-sim.org
    The following paper briefly presents the formulation and development of a case study supply chain simulation model as developed for an industrial company. The case study company i...
    P. J. Byrne, Cathal Heavey
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    WSC
    2004
    75views Modeling And Simulation» more  WSC 2004»
    Joint Modeling and Analysis Using XMSF Web Services
    14 years 25 days ago
    Joint Modeling and Analysis Using XMSF Web Services
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    This paper describes the creation of a new analytical modeling capability by bringing together the Naval Simulation System (NSS) for sea strike and COMBATXXI for littoral and land...
    Arnold H. Buss, John Ruck
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    WSC
    2004
    140views Modeling And Simulation» more  WSC 2004»
    The Potential Coupling Interface: Metadata for Model Coupling
    14 years 25 days ago
    The Potential Coupling Interface: Metadata for Model Coupling
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    Model coupling is a nontrivial task that is not adequately supported in existing frameworks. Our long term goal is to support the fast-prototyping of model couplings, enabling sci...
    Tom Bulatewicz, Janice E. Cuny, Maureen Warman
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    WSC
    2004
    102views Modeling And Simulation» more  WSC 2004»
    An Automatic Distributed Simulation Environment
    14 years 25 days ago
    An Automatic Distributed Simulation Environment
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    Developing a sequential simulation program is not an easy task. Developing a distributed simulation program is harder than a sequential one because it is necessary to deal with ma...
    Sarita Mazzini Bruschi, Regina Helena Carlucci San...
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    WSC
    2004
    135views Modeling And Simulation» more  WSC 2004»
    Exact Simulation of Option Greeks under Stochastic Volatility and Jump Diffusion Models
    14 years 25 days ago
    Exact Simulation of Option Greeks under Stochastic Volatility and Jump Diffusion Models
    Download  www.columbia.edu
    This paper derives Monte Carlo simulation estimators to compute option price derivatives, i.e., the `Greeks,' under Heston's stochastic volatility model and some variant...
    Mark Broadie, Özgür Kaya
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    WSC
    2004
    168views Modeling And Simulation» more  WSC 2004»
    Poly-Functional Intelligent Agents for Computer Generated Forces
    14 years 25 days ago
    Poly-Functional Intelligent Agents for Computer Generated Forces
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    The authors present the requirement definition and methodological approach for developing a new generation of Computer Generated Forces (CGF) based on Intelligent Agents. The anal...
    Matteo Brandolini, Attilio Rocca, Agostino G. Bruz...
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    WSC
    2004
    105views Modeling And Simulation» more  WSC 2004»
    Global Likelihood Optimization Via the Cross-Entropy Method, with an Application to Mixture Models
    14 years 25 days ago
    Global Likelihood Optimization Via the Cross-Entropy Method, with an Application to Mixture Models
    Download  espace.library.uq.edu.au
    Global likelihood maximization is an important aspect of many statistical analyses. Often the likelihood function is highly multi-extremal. This presents a significant challenge t...
    Zdravko I. Botev, Dirk P. Kroese
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