Mohammad Mousavi

Stanford University - Department of Management Science & Engineering

473 Via Ortega

Stanford, CA 94305-9025

United States

  • Stanford University - Department of Management Science & Engineering

SCHOLARLY PAPERS

6

DOWNLOADS

972

SSRN CITATIONS

12

CROSSREF CITATIONS

1

Scholarly Papers (6)

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1.

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 - Department of Management Science & Engineering, Stanford University and Stanford University - Department of Management Science & Engineering
Downloads 245 (239,498)
Citation 8

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Point Process, Stochastic Intensity, Filtering, Filtration

2.

Exact and Efficient Simulation of Correlated Defaults

Number of pages: 36 Posted: 01 Nov 2009 Last Revised: 01 Oct 2010
Kay Giesecke, Hossein Kakavand, Mohammad Mousavi and Hideyuki Takada
Stanford University - Department of Management Science & Engineering, Stanford University, Stanford University - Department of Management Science & Engineering and Toho University
Downloads 241 (243,421)
Citation 3

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

3.

Simulating Point Processes by Intensity Projection

Number of pages: 9 Posted: 14 Jul 2008
Kay Giesecke, Hossein Kakavand and Mohammad Mousavi
Stanford University - Department of Management Science & Engineering, Stanford University and Stanford University - Department of Management Science & Engineering
Downloads 183 (314,204)
Citation 1

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

4.

Exact Simulation of Non-Stationary Reflected Brownian Motion

Number of pages: 41 Posted: 31 Dec 2013
Mohammad Mousavi and Peter Glynn
Stanford University - Department of Management Science & Engineering and Stanford University
Downloads 110 (473,264)
Citation 1

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

5.

Shape-Constrained Estimation of Value Functions

Number of pages: 41 Posted: 01 Jan 2014
Mohammad Mousavi and Peter Glynn
Stanford University - Department of Management Science & Engineering and Stanford University
Downloads 106 (486,097)
Citation 1

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

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 - Department of Management Science & Engineering and Stanford University - Department of Management Science & Engineering
Downloads 87 (553,578)
Citation 1

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