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Simulation eJournal

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Viewing: 1 - 50 of 279 papers

1.

P-Curve: A Key to the File Drawer

Journal of Experimental Psychology: General, Forthcoming
Number of pages: 14 Posted: 24 Apr 2013 Last Revised: 08 Jul 2014
Accepted Paper Series
Ramon Llull University - ESADE Business School, University of California, Berkeley - Haas School of Business and University of Pennsylvania - The Wharton School
Downloads 10,536
2.

Tactical Investment Algorithms

Number of pages: 11 Posted: 30 Sep 2019 Last Revised: 01 Oct 2019
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 4,151
4.

Determining Optimal Trading Rules Without Backtesting

Number of pages: 39 Posted: 12 Sep 2015
Working Paper Series
New York University Finance and Risk Engineering and Cornell University - Operations Research & Industrial Engineering
Downloads 1,197
5.

The Heston Stochastic-Local Volatility Model: Efficient Monte Carlo Simulation

International Journal of Theoretical and Applied Finance, Vol. 17, No. 7 (2014).
Number of pages: 25 Posted: 13 Jun 2013 Last Revised: 20 May 2018
Accepted Paper Series
Rabobank, Delft University of Technology and Center for Mathematics and Computer Science (CWI)
Downloads 1,050
6.

Merger Simulation in Competition Policy: A Survey

Number of pages: 39 Posted: 02 Jun 2008
Working Paper Series
Ilmenau University of Technology and University of Mannheim - Center for Doctoral Studies in Economics and Management (CDSEM)

Multiple version iconThere are 2 versions of this paper

Downloads 868
7.

Warehouse Real-Time Simulator – How to Optimize Order Picking Time

Number of pages: 18 Posted: 18 Nov 2013
Working Paper Series
Uniwersytet Ekonomiczny we Wroc?awiu
Downloads 853
8.

Kooderive: Multi-Core Graphics Cards, the Libor Market Model, Least-Squares Monte Carlo and the Pricing of Cancellable Swaps

Number of pages: 18 Posted: 03 Feb 2014 Last Revised: 02 Jun 2014
Working Paper Series
University of Melbourne - Centre for Actuarial Studies (deceased)
Downloads 750
9.

Risk Analysis of Collateralized Debt Obligations

Operations Research, Vol. 59, No. 1, pp. 32-49, 2011
Number of pages: 37 Posted: 12 Feb 2009 Last Revised: 15 Jun 2016
Accepted Paper Series
Stanford University - Management Science & Engineering and Korea University Business School (KUBS)
Downloads 713
10.

Least Squares Monte Carlo Credit Value Adjustment with Small and Unidirectional Bias

Number of pages: 14 Posted: 18 Jan 2016 Last Revised: 08 Apr 2016
Working Paper Series
University of Melbourne - Centre for Actuarial Studies (deceased) and The University of Sydney - Discipline of Finance
Downloads 689
11.

Multiple Event Studies in Public Finance and Labor Economics: A Simulation Study with Applications

Number of pages: 41 Posted: 19 Oct 2013
Working Paper Series
Government of the United States of America - Bureau of the Census and Consumer Financial Protection Bureau
Downloads 684
12.

Calibration of Credit Spread Scenarios for Monte Carlo Simulations

Number of pages: 117 Posted: 13 Jun 2012 Last Revised: 16 Jun 2012
Working Paper Series
Ecole Nationale des Ponts et Chaussées (ENPC)
Downloads 662
13.

Monte Carlo Methods for Pricing Discrete Parisian Options

European Journal of Finance, Vol. 17, Issue 3, 2011
Number of pages: 40 Posted: 11 Jul 2009 Last Revised: 24 Jan 2012
Accepted Paper Series
Grenoble Ecole de Management and Wilfrid Laurier University - School of Business & Economics
Downloads 633
14.

A Quantitative Analysis of Disruption Risk in a Multi-Echelon Supply Chain

Number of pages: 30 Posted: 28 Aug 2009 Last Revised: 11 Jul 2011
Working Paper Series
MIT Center for Transportation & Logistics and Malaysia Institute for Supply Chain Innovation (MISI)
Downloads 555
15.

Monte Carlo Simulation in Financial Valuation

Number of pages: 160 Posted: 29 Sep 2013 Last Revised: 21 Feb 2014
Working Paper Series
Hvass Laboratories
Downloads 552
16.

Evaluation of Structural Stability to Threats

Journal Mechanics, Transport, Communications, vol. 15, issue 1, 2017,
Number of pages: 6 Posted: 03 Apr 2017
Accepted Paper Series
University of National and World Economy, Department of Management
Downloads 535
17.

A Microsoft Excel Version of Parrondo’s Paradox

Number of pages: 18 Posted: 11 Jul 2009 Last Revised: 26 Jul 2009
Working Paper Series
DePauw University
Downloads 501
18.

Using Statistical Estimators to Gain Much Improved Convergence of Nested Monte-Carlo Simulations

Number of pages: 33 Posted: 12 Jun 2017 Last Revised: 26 Jul 2017
Working Paper Series
University of Melbourne - Centre for Actuarial Studies (deceased) and Monash University - Department of Econometrics & Business Statistics
Downloads 486
19.

Spatial Dynamic Panel Model and System GMM: A Monte Carlo Investigation

Number of pages: 45 Posted: 21 Feb 2009 Last Revised: 13 Jul 2009
Working Paper Series
Webster University Geneva and World Trade Organization (WTO) - Economic Research and Analysis Division
Downloads 428
20.

Vine-Copula GARCH Model with Dynamic Conditional Dependence

Number of pages: 28 Posted: 04 Aug 2013
Working Paper Series
Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics & Operations Management and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 420
21.

An Analysis of the Fish Pool Market in the Context of Schwartz' (1997) Multifactor Model with Stochastic Convenience Yield

Number of pages: 37 Posted: 28 Aug 2012 Last Revised: 13 Mar 2015
Working Paper Series
University of Glasgow, University of Sydney, University of Glasgow - Adam Smith Business School and Macquarie University, Macquarie Business School
Downloads 409
22.

Risk Minimizing Hedging of Crude-Oil Options: Theory and Empirical Performance

Number of pages: 35 Posted: 25 May 2011 Last Revised: 27 Jul 2011
Working Paper Series
University of Glasgow, University of Sydney and Macquarie University, Macquarie Business School
Downloads 391
23.

The Impact of Size and Occupancy of Hospital on the Extent of Ambulance Diversion: Theory and Evidence

Operations Research, 61 (3), 544-562
Number of pages: 50 Posted: 03 Dec 2009 Last Revised: 27 Mar 2019
Accepted Paper Series
University of Pennsylvania - The Wharton School, Indian School of Business (ISB), Hyderabad - Operations Management and Northwestern University - Kellogg School of Management
Downloads 361
24.

On an Efficient Multiple Time-Step Monte Carlo Simulation of the SABR Model

Quantitative Finance 17(10): 1549-1565, 2017
Number of pages: 28 Posted: 17 Apr 2016 Last Revised: 28 Oct 2018
Accepted Paper Series
University of Coruña - Department of Mathematics - M2NICA, Delft University of Technology and Center for Mathematics and Computer Science (CWI)
Downloads 348
25.

Simulation in the Real World

Number of pages: 17 Posted: 31 Aug 2016
Working Paper Series
Independent, Bank of America and Hebrew University of Jerusalem
Downloads 343
26.

Arrival Processes for Vessels in a Port Simulation

ERIM Report Series Reference No. ERS-2003-067-LIS
Number of pages: 20 Posted: 06 Nov 2003
Working Paper Series
Erasmus University Rotterdam - Faculty of Economics and Business, Econometric Institute, Erasmus University Rotterdam - Faculty of Economics and Business, Erasmus University Rotterdam - Faculty of Economics and Business and Erasmus University Rotterdam - Faculty of Economics and Business
Downloads 337
27.

Halo Effect in Trust

Number of pages: 42 Posted: 27 May 2008
Working Paper Series
Indian Institute of Management Indore
Downloads 336
28.

A Multilevel Approach to Control Variates

Journal of Computational Finance, Forthcoming
Number of pages: 21 Posted: 18 Feb 2009 Last Revised: 22 Jun 2016
Accepted Paper Series
Georgia State University
Downloads 327
29.

The Power of Imperfect Imitation

Strategic Management Journal, Forthcoming
Number of pages: 39 Posted: 16 Feb 2010 Last Revised: 29 Oct 2012
Accepted Paper Series
University of Wisconsin-Madison, College of Business, Korea Advanced Institute of Science and Technology (KAIST) and University of Southern Denmark - Department of Marketing & Management - Strategic Organization Design (SOD) Group
Downloads 311
30.

Understanding Monte Carlo Method Using @Risk for Project

The Vth International Conference Globalization and Higher Education in Economics and Business Administration, GEBA 2011, October 2011
Number of pages: 12 Posted: 02 Oct 2012
Accepted Paper Series
Alexandru Ioan Cuza University - Faculty of Economics and Business Administration
Downloads 291
31.

Simulation Models for Just-in-Time Provision of Resources in an Emergency Department

Number of pages: 19 Posted: 02 Jul 2008 Last Revised: 23 Nov 2012
Working Paper Series
Vanderbilt University - Operations Management, Vanderbilt University, Vanderbilt University, Vanderbilt University, Vanderbilt University, Vanderbilt University, Vanderbilt University and Vanderbilt University
Downloads 288
32.

Feature Screening for Ultrahigh Dimensional Categorical Data with Applications

Number of pages: 21 Posted: 15 Jan 2014
Working Paper Series
Peking University, Pennsylvania State University and Peking University - Guanghua School of Management
Downloads 282
33.

On Generating Multivariate Poisson Data in Management Science Applications

Yahav I. and Shmueli G., On Generating Multivariate Poisson Data in Management Science Applications (2011). Applied Stochastic Models in Business and Industry, 28(1), pp. 91-102. Wiley Online Library.
Number of pages: 17 Posted: 19 Aug 2009 Last Revised: 18 Jan 2016
Accepted Paper Series
Bar-Ilan University - Graduate School of Business Administration and Institute of Service Science, National Tsing Hua University, Taiwan
Downloads 278
34.

Chasing a Moving Target: Exploitation and Exploration in Dynamic Environments

Management Science, Forthcoming
Number of pages: 38 Posted: 24 Jan 2010 Last Revised: 05 Oct 2011
Accepted Paper Series
University of Wisconsin-Madison and University of Pennsylvania - Management Department
Downloads 277
35.

Simulation Design: Negotiation Learning Gains

Intl. Association for Conflict Management, IACM 25th Annual Conference
Number of pages: 31 Posted: 01 Jul 2012
Working Paper Series
Creighton University Graduate School - Department of Interdisciplinary Studies and George Mason University - Department of Public & International Affairs
Downloads 268
36.

Valuation of Large Variable Annuity Portfolios Under Nested Simulations: A Functional Data Approach

Gan, G. and Lin, X.S. (2015). Valuation of large variable annuity portfolios under nested simulation: a functional data approach, Insurance: Mathematics and Economics, 62, 138-150.
Number of pages: 13 Posted: 22 Nov 2013 Last Revised: 26 Dec 2015
Accepted Paper Series
Manulife Asset Management and Department of Statistical Sciences, University of Toronto
Downloads 262
37.

Understanding Applied Yield Management Practices in the Hotel Industry Using Simulation Techniques

MIT School of Management (MITSOM), Post Graduate Research Centre, Vol. 1. Issue 2
Number of pages: 6 Posted: 06 Apr 2012 Last Revised: 16 Apr 2012
Working Paper Series
MICA
Downloads 260
38.

Numerical Solution of Jump-Diffusion SDEs

Number of pages: 39 Posted: 02 Aug 2013 Last Revised: 20 Mar 2018
Working Paper Series
Stanford University - Management Science & Engineering, University of California, Santa Barbara (UCSB), Stanford University - Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads 255
39.

A Brief Introduction to the Use of Machine Learning Techniques in the Analysis of Agent-Based Models

Number of pages: 8 Posted: 14 Nov 2015
Working Paper Series
Universidad Politécnica de Madrid, University of Burgos and Universidad de Burgos
Downloads 254
40.

A Note on the Ordinal Canonical Correlation Analysis of Two Sets of Ranking Scores

Number of pages: 21 Posted: 15 Jan 2009
Working Paper Series
North-Eastern Hill University (NEHU)
Downloads 253
41.

Winning Football Penalty Shootouts

Number of pages: 56 Posted: 23 Aug 2013 Last Revised: 25 Nov 2018
Working Paper Series
University of Oxford - Saint Cross College
Downloads 252
42.

Assessing the Performance of Hospital Capacity Planning Through Simulation Analysis

Number of pages: 26 Posted: 29 Jan 2011
Working Paper Series
Catholic University of Leuven (KUL). Faculty of business and Economics (FBE) and Catholic University of Leuven (KUL)
Downloads 245
43.

Forecasting Emergency Department Crowding by Discrete Event Simulation

Annals of Emergency Medicine, April 2008
Number of pages: 32 Posted: 01 Feb 2008
Accepted Paper Series
Vanderbilt University, Vanderbilt University - Operations Management, Vanderbilt University, Vanderbilt University, Vanderbilt University, Vanderbilt University, Vanderbilt University and Vanderbilt University
Downloads 240
44.

Efficient Inaccuracy: User-Generated Information Sharing in a Queue

Rotman School of Management Working Paper No. 3046905
Number of pages: 53 Posted: 03 Oct 2017 Last Revised: 09 Jul 2019
Working Paper Series
City University of Hong Kong and University of Toronto - Rotman School of Management
Downloads 229
45.

Monte Carlo Algorithms for Default Timing Problems

Management Science, Vol. 57, No. 12, pp. 2115-2129, 2011
Number of pages: 31 Posted: 16 Sep 2010 Last Revised: 18 Mar 2012
Accepted Paper Series
Stanford University - Management Science & Engineering, Korea University Business School (KUBS) and Stanford University - Department of Statistics
Downloads 228
46.

Exact Sampling of Jump-Diffusions

Operations Research, Forthcoming
Number of pages: 40 Posted: 19 Aug 2011 Last Revised: 12 Apr 2013
Accepted Paper Series
Stanford University - Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads 227
47.

The Programmable Economy: Envisaging an Entire Planned Economic System as a Single Computer Through Blockchain Networks

Number of pages: 32 Posted: 02 May 2017
Working Paper Series
Independent and Government of India, Ministry of Railways
Downloads 225
48.

Multi-Level Monte Carlo Simulations with Importance Sampling

Number of pages: 30 Posted: 03 Jun 2013 Last Revised: 21 Mar 2014
Working Paper Series
University of Manchester - Manchester Business School and University of Manchester - Manchester Business School
Downloads 210
49.

Fast Simulation of Levy Processes

Number of pages: 31 Posted: 31 Aug 2012 Last Revised: 15 Sep 2012
Working Paper Series
University of Michigan - Department of Mathematics
Downloads 209
50.

Analytic Formulas for Options in the Schwartz 97 Multifactor Framework with Added Regime Shifts

Number of pages: 26 Posted: 22 May 2015
Working Paper Series
University of Glasgow - Adam Smith Business School and University of Glasgow
Downloads 205