57 search results - page 2 / 12 » Monte Carlo simulation in financial engineering |
FPL
2008
Springer
13 years 6 months ago
2008
Springer
In recent years the financial world has seen an increasing demand for faster risk simulations, driven by growth in client portfolios. Traditionally many financial models employ Mo...
RC
2007
13 years 4 months ago
2007
Abstract. In engineering applications, we need to make decisions under uncertainty. Traditionally, in engineering, statistical methods are used, methods assuming that we know the p...
ICML
2009
IEEE
14 years 6 months ago
2009
IEEE
In this paper we introduce the first algorithms for efficiently learning a simulation policy for Monte-Carlo search. Our main idea is to optimise the balance of a simulation polic...
WSC
2000
13 years 6 months ago
2000
The calculation of value-at-risk (VAR) for large portfolios of complex instruments is among the most demanding and widespread computational challenges facing the financial industr...
WSC
2000
13 years 6 months ago
2000
We develop a financial model for a manufacturing process where quality can be affected by an assignable cause. We evaluate the options associated with applying a statistical proce...