407 search results - page 8 / 82 » Monte Carlo simulation approach to stochastic programming |
182
click to vote
CSE
2012
IEEE
13 years 5 months ago
2012
IEEE
—Continuum quantum Monte Carlo (QMC) has proved to be an invaluable tool for predicting the properties of matter from fundamental principles. By solving the manybody Schr¨odinge...
WSC
2004
14 years 11 months ago
2004
This paper derives Monte Carlo simulation estimators to compute option price derivatives, i.e., the `Greeks,' under Heston's stochastic volatility model and some variant...
WSC
2004
14 years 11 months ago
2004
We review the basic properties of American options and the difficulties of applying Monte Carlo valuation to American options. Recent progress on the Least Squares Monte Carlo (LS...
NOMS
2008
IEEE
15 years 3 months ago
2008
IEEE
—In this paper∗ , we devise a novel method for bottleneck analysis of UDP networks based on the concept of network utility maximization. To determine the losses on the links in...
WSC
2008
14 years 11 months ago
2008
The Monte Carlo and discrete-event simulation code associated with the Simulation 101 pre-conference workshop (offered at the 2006, 2007, and 2008 Winter Simulation Conferences) i...