Now showing items 1-5 of 5
A Large Deviations Analysis of Quantile Estimation with Application to Value at Risk
Quantile estimation has become increasingly important, particularly in the financial industry, where Value-at-Risk has emerged as a standard measurement tool for controlling portfolio risk. In this paper we apply the theory ...
Sensitivity Analysis for Monte Carlo Simulation of Option Pricing
Monte Carlo simulation is one alternative for analyzing options markets when the assumptions of simpler analytical models are violated. We introduce techniques for the sensitivity analysis of option pricing which can ...
Multi-Echelon Models for Repairable Items: A Review
We review multi-echelon inventory models for repairable items. Such models have been widely applied to the management of critical spare parts for military equipment for around three decades, but the application to ...
Stochastic Gradient Estimation
We consider the problem of efficiently estimating gradients from stochastic simulation. Although the primary motivation is their use in simulation optimization, the resulting estimators can also be useful in other ...