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Simulation eJournal

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Viewing: 1 - 50 of 252 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 9,080
3.

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
Center for Mathematics and Computer Science (CWI), Delft University of Technology and Center for Mathematics and Computer Science (CWI)
Downloads 864
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 AQR Capital Management, LLC
Downloads 858
5.

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 817
6.

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
The University of Melbourne - Centre for Actuarial Studies
Downloads 724
7.

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 702
8.

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 622
9.

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
The University of Melbourne - Centre for Actuarial Studies and The University of Sydney - Discipline of Finance
Downloads 620
10.

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 606
11.

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 593
12.

Estimating the Benefits and Risks of Implementing E-Procurement

IEEE Transactions on Engineering Management, Vol. 57, No. 2, pp. 338-349, 2010
Number of pages: 31 Posted: 22 May 2010
Accepted Paper Series
University of Ljubljana - Faculty of Economics and Independent
Downloads 525
13.

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 518
14.

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 452
15.

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
The University of Melbourne - Centre for Actuarial Studies and Monash University - Department of Econometrics & Business Statistics
Downloads 450
16.

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 430
17.

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 417
18.

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, Faculty of Business and Economics
Downloads 394
19.

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 383
20.

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
University of Lausanne - Department of Economics (DEEP) and World Trade Organization (WTO) - Economic Research and Analysis Division
Downloads 379
21.

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, Faculty of Business and Economics
Downloads 378
22.

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: 31 Jul 2013
Accepted Paper Series
Downloads 356
23.

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 331
24.

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 307
25.

Halo Effect in Trust

Number of pages: 42 Posted: 27 May 2008
Working Paper Series
Indian Institute of Management Indore
Downloads 299
26.

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, KAIST College of Business and University of Southern Denmark - Department of Marketing & Management - Strategic Organization Design (SOD) Group
Downloads 298
27.

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 281
28.

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 280
29.

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 275
30.

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

Quantitative Finance, 2017
Number of pages: 28 Posted: 17 Apr 2016 Last Revised: 15 Jul 2017
Accepted Paper Series
University of Barcelona - Riskcenter-IREA, Delft University of Technology and Center for Mathematics and Computer Science (CWI)
Downloads 263
31.

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 262
32.

Simulation in the Real World

Number of pages: 17 Posted: 31 Aug 2016
Working Paper Series
Independent, Bank of America and Bank of America Merrill Lynch
Downloads 262
33.

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 259
34.

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., Robert H. Smith School Research Paper No. RHS 06-085
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 253
35.

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
Ahmedabad University (AU)
Downloads 248
36.

Winning Football Penalty Shootouts

Number of pages: 56 Posted: 23 Aug 2013 Last Revised: 08 Jun 2016
Working Paper Series
University of Oxford - Saint Cross College
Downloads 236
37.

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 232
38.

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 231
39.

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 227
40.

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 220
41.

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
University of Burgos, University of Burgos and Universidad de Burgos
Downloads 219
42.

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 218
43.

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 213
44.

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 202
45.

Process Approach to Supply Chain Integration

Supply Chain Management: An International Journal, Vol. 12, No. 2, pp. 116-128, 2007
Number of pages: 23 Posted: 21 May 2010
Accepted Paper Series
University of Ljubljana - Faculty of Economics, University of Ljubljana - Faculty of Economics, University of Ljubljana - Faculty of Economics and University of Ljubljana - Faculty of Economics
Downloads 200
46.

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 199
47.

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 192
48.

Bankruptcy Classification of Firms Investigated by the US Securities and Exchange Commission: An Evolutionary Ensemble Computing Model Approach

International Journal of Applied Decision Sciences, 2009, Vol.2, No.4, pp.360-388.
Number of pages: 42 Posted: 31 Aug 2009 Last Revised: 20 Feb 2018
Accepted Paper Series
University of Washington, Tacoma - Milgard School of Business, University of Washington, Tacoma, University of Washington, Milgard School of Business-Accounting and University of Washington Tacoma
Downloads 187
49.

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 at Berkeley, Stanford University - Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads 181
50.

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
DoPT,Government of India and Government of India, Ministry of Railways
Downloads 178