This paper proposes a new approach, entitled discrete event simulation with probabilistic event list (DESPEL), for … traditional discrete event simulation approach, which is based on replications to find the project completion time, this approach … only requires one simulation run. This approach is similar to the program evaluation and review technique (PERT) approach …

Kriging provides metamodels for deterministic and random simulation models. Actually, there are several types of … estimation of the trend in the input-output data of the underlying simulation model; this estimation deteriorates the Kriging … replications that varies with the input combination of the simulation model. To compare the performance of intrinsic Kriging and …

In this short note we derive an exact simulation scheme for the joint distribution of (r(t),N(t)), where r denotes the … generate biases if the model uses larger simulation time-steps.Large time-step simulation of short rate models and the American …

We present a stochastic simulation model for estimating forward-looking corporate probability of default and loss given … identify the default condition, and solve the model by Monte Carlo simulation. First, we present the model; then we show how to …