WSC
2004
13 years 9 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 9 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
2004
13 years 9 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
2004
13 years 9 months ago
2004
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...
WSC
2004
13 years 9 months ago
2004
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...
WSC
2004
13 years 9 months ago
2004
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...
WSC
2004
13 years 9 months ago
2004
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...
WSC
2004
13 years 9 months ago
2004
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...
WSC
2004
13 years 9 months ago
2004
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...
WSC
2004
13 years 9 months ago
2004
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...