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IOR
2008
126views more  IOR 2008»
14 years 11 months ago
Fast Simulation of Multifactor Portfolio Credit Risk
This paper develops rare event simulation methods for the estimation of portfolio credit risk -- the risk of losses to a portfolio resulting from defaults of assets in the portfol...
Paul Glasserman, Wanmo Kang, Perwez Shahabuddin
AMMA
2009
Springer
15 years 6 months ago
Auctions with Dynamic Populations: Efficiency and Revenue Maximization
ABSTRACT: We examine an environment where goods and privately informed buyers arrive stochastically to a market. A seller in this setting faces a sequential allocation problem with...
Maher Said
ATMOS
2008
101views Optimization» more  ATMOS 2008»
15 years 1 months ago
Robust Line Planning under Unknown Incentives and Elasticity of Frequencies
The problem of robust line planning requests for a set of origin-destination paths (lines) along with their traffic rates (frequencies) in an underlying railway network infrastruct...
Spyros C. Kontogiannis, Christos D. Zaroliagis
TON
2002
116views more  TON 2002»
14 years 11 months ago
Managing capacity for telecommunications networks under uncertainty
The existing telecommunications infrastructure in most of the world is adequate to deliver voice and text applications, but demand for broadband services such as streaming video an...
Yann d'Halluin, Peter A. Forsyth, Kenneth R. Vetza...
MOBIHOC
2006
ACM
15 years 11 months ago
Fundamental scaling laws for energy-efficient storage and querying in wireless sensor networks
We use a constrained optimization framework to derive fundamental scaling laws for both unstructured sensor networks (which use blind sequential search for querying) and structure...
Joon Ahn, Bhaskar Krishnamachari