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» Performance modeling using Monte Carlo simulation
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WSC
2004
15 years 1 months ago
Simulation-Based Pricing of Mortgage-Backed Securities
Mortgage-Backed-Securities (MBS), as the largest investment class of fixed income securities, have always been hard to price. Because of the following reasons, normal numerical me...
Jian Chen
ISSRE
2003
IEEE
15 years 5 months ago
Assessing Uncertainty in Reliability of Component-Based Software Systems
Many architecture–based software reliability models were proposed in the past. Regardless of the accuracy of these models, if a considerable uncertainty exists in the estimates ...
Katerina Goseva-Popstojanova, Sunil Kamavaram
NCA
2006
IEEE
15 years 5 months ago
Parallelization of Geant4 Using TOP-C and Marshalgen
Geant4 is a very large, highly accurate toolkit for Monte Carlo simulation of particle-matter interaction. It has been applied to high-energy physics, cosmic ray modeling, radiati...
Gene Cooperman, Viet Ha Nguyen, Igor Malioutov
IOR
2006
192views more  IOR 2006»
14 years 12 months ago
Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
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
FSS
2008
87views more  FSS 2008»
14 years 12 months ago
Representing parametric probabilistic models tainted with imprecision
Numerical possibility theory, belief function have been suggested as useful tools to represent imprecise, vague or incomplete information. They are particularly appropriate in unc...
Cédric Baudrit, Didier Dubois, Nathalie Per...