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2006

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Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes

13 years 4 months ago

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The stochastic differential equations for affine jump diffusion models do not yield exact solutions that can be directly simulated. Discretization methods can be used for simulati...

Mark Broadie, Özgür Kaya

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Id	Views	Title	Status

1	192	Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes	claim
2	177	Combinatorial Benders' Cuts for Mixed-Integer Linear Programming	claim
3	173	A Branch-and-Cut Algorithm for the Dial-a-Ride Problem	claim
4	163	Adaptive Importance Sampling Technique for Markov Chains Using Stochastic Approximation	claim
5	126	A New Linear Programming Approach to Radiation Therapy Treatment Planning Problems	claim
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7	93	A Branch-and-Price Algorithm for the Multilevel Generalized Assignment Problem	claim
8	91	Robust One-Period Option Hedging	claim
9	87	Discrete Optimization via Simulation Using COMPASS	claim
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11	75	Sensitivity of Performance in the Erlang-A Queueing Model to Changes in the Model Parameters	claim
12	74	Controlled Sequential Bifurcation: A New Factor-Screening Method for Discrete-Event Simulation	claim
13	74	On the Asymptotic Validity of Fully Sequential Selection Procedures for Steady-State Simulation	claim
14	73	A New Bottom-Left-Fill Heuristic Algorithm for the Two-Dimensional Irregular Packing Problem	claim
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19	66	Fine-Tuning of Algorithms Using Fractional Experimental Designs and Local Search	claim
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23	59	A Robust Optimization Approach to Inventory Theory	claim
24	59	A Continuum Model for a Re-entrant Factory	claim
25	58	Evaluating Portfolio Policies: A Duality Approach	claim
26	57	Dynamic Pricing Through Discounts for Optimizing Multiple-Class Demand Fulfillment	claim
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30	54	Revenue Management Through Dynamic Cross Selling in E-Commerce Retailing	claim
31	54	Piled-Slab Searches	claim
32	52	Increasing Risk and Increasing Informativeness: Equivalence Theorems	claim
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34	50	Fluid Models for Multiserver Queues with Abandonments	claim
35	45	Tracking a Financial Benchmark Using a Few Assets	claim
36	44	Optimal Selection of a Connected Reserve Network	claim
37	44	Order Assignment and Scheduling in a Supply Chain	claim
38	43	A Nonparametric Approach to Multiproduct Pricing	claim
39	40	Optimizing Chemotherapy Scheduling Using Local Search Heuristics	claim
40	39	Solving Nonlinear Single-Unit Commitment Problems with Ramping Constraints	claim

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