When the simulation department of Management Science was created in 1978 it ushered in an era of significant methodological advances in stochastic simulation. However, the foundation for the field---not just the work that has been published in Management Science---was provided by two papers...

In Monte Carlo (MC) simulations of semiconductor devices it is necessary to enhance the statistics in sparsely populated regions of interest. In this work the Monte Carlo method for stationary carrier transport, known as the Single-Particle MC method, is considered. It gives a solution to the...

This paper reports fairly accurate simulations of insurance-linked securities within an arbitrage-free framework, while accounting for catastrophic events and allowing for stochastic interest rates. Assessing these contingent claims exhibits features of instability rooted in the discontinuity of...

Monte Carlo methods are often applied to problems in finance especially in the area of risk calculation by the Value-atRisk (VaR) measure. Different applications of statistical resampling techniques are shown, specifically bootstrapping, to refine the computational results in different ways....

The main discretization schemes for diffusion processes, both unrestricted and reflecting in a hyper-rectangle, are considered. For every discretized path, an `antithetic' path is obtained by changing the sign of the driving random variables, which are chosen symmetric. It is shown that, under...