simulation.Obtaining accurate estimates of such loss probabilities is essential to calculating value-at-risk, which is a quantile …

Monte Carlo simulation is commonly used for computing prices of derivative securities when an analytical solution does … not exist. Recently, a new simulation technique known as empirical martingale simulation (EMS) has been proposed by Duan … and Simonato (1998) as a way of improving simulation accuracy. EMS has one drawback however. Because of the dependency …

Empirical martingale simulation (EMS) was proposed by Duan and Simonato (Duan, J.-C., J.-G. Simonato. 1998. Empirical … martingale simulation for asset prices. Management Sci. 44(9) 1218-1233) as an adjustment to the standard Monte Carlo simulation … to reduce simulation errors. The EMS price estimator of derivative contracts was shown to be asymptotically normally …

global warming policies. Because there are typically profound uncertainties in these models, a simulation approach is often …

portfolios of credit-sensitive assets such as loans and corporate bonds. Monte Carlo simulation is an important tool for … performing computations in these models. This paper develops, analyzes, and evaluates two simulation algorithms for intensity … Zeevi, stochastic models and simulation.</i> …

Sequential sampling problems arise in stochastic simulation and many other applications. Sampling is used to infer the …, as is common in the literature. <i>This paper was accepted by Assaf Zeevi, stochastic models and simulation.</i> …

. The emphasis is on the practical problems and potential of applying the method in the simulation of complex systems. The …

We continue our survey of methods for constructing confidence intervals for steady-state means via simulation by … studying sequential procedures which determine the length of the simulation during the course of the run. Our goal is to … provide the simulation practitioner with some guidance as to which published procedures might actually perform well in …

Consider a stochastic system of such complexity that its performance can only be evaluated by using simulation or …