Mohammad Mousavi

Stanford University - Management Science & Engineering

473 Via Ortega

Stanford, CA 94305-9025

United States

SCHOLARLY PAPERS

6

DOWNLOADS

684

SSRN CITATIONS

7

CROSSREF CITATIONS

1

Scholarly Papers (6)

1.

Exact and Efficient Simulation of Correlated Defaults

Number of pages: 36 Posted: 01 Nov 2009 Last Revised: 01 Oct 2010
Stanford University - Management Science & Engineering, Stanford University, Stanford University - Management Science & Engineering and Toho University
Downloads 169 (193,052)
Citation 1

Abstract:

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Correlated Default Risk, Portfolio Credit Risk, Intensity, Simulation, Variance Reduction, Intensity Model

2.

Exact Simulation of Point Processes with Stochastic Intensities

Number of pages: 31 Posted: 15 Feb 2010 Last Revised: 13 Sep 2010
Kay Giesecke, Hossein Kakavand and Mohammad Mousavi
Stanford University - Management Science & Engineering, Stanford University and Stanford University - Management Science & Engineering
Downloads 164 (198,055)
Citation 5

Abstract:

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Point Process, Stochastic Intensity, Filtering, Filtration

3.

Simulating Point Processes by Intensity Projection

Number of pages: 9 Posted: 14 Jul 2008
Kay Giesecke, Hossein Kakavand and Mohammad Mousavi
Stanford University - Management Science & Engineering, Stanford University and Stanford University - Management Science & Engineering
Downloads 131 (237,895)
Citation 1

Abstract:

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Point process simulation, exact simulation, stochastic intensity, affine point process

4.

Shape-Constrained Estimation of Value Functions

Number of pages: 41 Posted: 01 Jan 2014
Mohammad Mousavi and Peter Glynn
Stanford University - Management Science & Engineering and Stanford University
Downloads 84 (322,610)
Citation 1

Abstract:

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value function, dynamic programing, convexity, convex regression, Monte Carlo Methods, Harris Markov chains

5.

Exact Simulation of Non-Stationary Reflected Brownian Motion

Number of pages: 41 Posted: 31 Dec 2013
Mohammad Mousavi and Peter Glynn
Stanford University - Management Science & Engineering and Stanford University
Downloads 76 (342,183)
Citation 1

Abstract:

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Non-stationary Queue, exact simulation, RBM, planing simualtion

6.

Social Influence and Evolution of Market Share

Internet Mathematics, Vol. 7, Issue. 2, 2011
Number of pages: 25 Posted: 07 Jul 2011 Last Revised: 15 Sep 2011
Simla Ceyhan, Mohammad Mousavi and Amin Saberi
Stanford University, Stanford University - Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads 60 (387,931)
Citation 1

Abstract:

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Theory, Economics, Social Influence, Market Share, Social Network