Sheldon Ross

University of Southern California - Viterbi School of Engineering

3650 McClintock Ave

Los Angeles, CA

United States

  • University of Southern California - Viterbi School of Engineering

SCHOLARLY PAPERS

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Scholarly Papers (4)

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1.

Efficient Simulation of a Random Knockout Tournament

Journal of Industrial and Systems Engineering, Vol. 2, No. 2, pp 88-96. Summer 2008
Posted: 03 Nov 2013
Sheldon Ross and Samim Ghamami
University of Southern California - Viterbi School of Engineering and

Abstract:

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Efficient Monte Carlo simulation, random knockout tournaments

2.

Improving the Normalized Importance Sampling Estimator

Probability in the Engineering and Informational Sciences, 2012
Posted: 27 Oct 2013
Samim Ghamami and Sheldon Ross
and University of Southern California - Viterbi School of Engineering

Abstract:

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Monte Carlo simulation, importance sampling, Delta method

3.

Improving the Asmussen-Kroese-Type Simulation Estimators

Journal of Applied Probability, Vol. 49, No. 4, 2012
Posted: 27 Oct 2013
Samim Ghamami and Sheldon Ross
and University of Southern California - Viterbi School of Engineering

Abstract:

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Heavy-tailed random variables, efficient Monte Carlo simulation, Asmussen-Kroese estimators, stop-loss transform

4.

Efficient Monte Carlo Barrier Option Pricing When the Underlying Security Price Follows a Jump-Diffusion Process

Journal of Derivatives, Vol. 17, No. 3, 2010
Posted: 27 Oct 2013
Sheldon Ross and Samim Ghamami
University of Southern California - Viterbi School of Engineering and

Abstract:

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Option pricing; jump-diffusion processes; efficient Monte Carlo simulation