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作者：L'Ecuyer, P; Lemieux, C
作者单位：Universite de Montreal
摘要：This is a review article on lattice methods for multiple integration over the unit hypercube, with a variance-reduction viewpoint. It also contains some new results and ideas. The aim is to examine the basic principles supporting these methods and how they can be used effectively for the simulation models that are typically encountered in the area of management science. These models can usually be reformulated as integration problems over the unit hypercube with a large (sometimes infinite) nu...
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作者：Åkesson, F; Lehoczky, JP
作者单位：Carnegie Mellon University; Royal Institute of Technology; Carnegie Mellon University
摘要：Monte Carlo simulation is playing an increasingly important role in the pricing and hedging of complex, path dependent financial instruments. Low discrepancy simulation methods offer the potential to provide faster rates of convergence than those of standard Monte Carlo methods; however, in high dimensional problems special methods are required to ensure that the faster convergence rates hold. Indeed, Ninomiya and Tezuka (1996) have shown high-dimensional examples, in which low discrepancy met...
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作者：Glasserman, P; Heidelberger, P; Shahabuddin, P
作者单位：Columbia University; International Business Machines (IBM); IBM USA; Columbia University
摘要：This paper describes, analyzes and evaluates an algorithm for estimating portfolio loss probabilities using Monte Carlo simulation. Obtaining accurate estimates of such loss probabilities is essential to calculating value-at-risk, which is a quantile of the loss distribution. The method employs a quadratic (''delta-gamma'') approximation to the change in portfolio value to guide the selection of effective variance reduction techniques; specifically importance sampling and stratified sampling. ...
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作者：Resnick, S; Samorodnitsky, G
作者单位：Cornell University
摘要：A system with heavy tailed service requirements under heavy load having a single server has an equilibrium waiting time distribution which is approximated by the Mittag-Leffler distribution. This fact is understood by a direct analysis of the weak convergence of a sequence of negative drift random walks with heavy right tail and the associated all time maxima of these random walks. This approach complements the recent transform view of Boxma and Cohen (1997).
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作者：Dewan, R; Freimer, M; Seidmann, A
作者单位：University of Rochester
摘要：Rapid technological developments and deregulation of the telecommunications industry have changed the way in which content providers distribute and price their goods and services. Instead of selling a bundle of content and access through proprietary networks, these firms are shifting their distribution channels to the Internet. In this new setting, the content and Internet service providers find themselves in a relationship that is simultaneously cooperative and competitive. We find that propr...
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作者：Das, SR; Sundaram, RK
作者单位：Harvard University; National Bureau of Economic Research; New York University
摘要：This paper develops a framework for modelling risky debt and valuing credit derivatives that is flexible and simple to implement, and that is, to the maximum extent possible, based on observables. Our approach is based on expanding the Heath-Jarrow-Morton term-structure model to allow for defaultable debt. Rather than follow the procedure of implying out the behavior of spreads from assumptions concerning the default process, we work directly with the evolution of spreads. The risk-neutral dri...
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作者：Fragnière, E; Gondzio, J; Sarkissian, R; Vial, JP
作者单位：University of Lausanne; Polish Academy of Sciences; Systems Research Institute of the Polish Academy of Sciences; University of Geneva
摘要：A new concept is proposed for linking algebraic modeling languages with structure-exploiting solvers. SPI (Structure-Passing Interface) is a program that retrieves structure new concept is proposed for linking algebraic modeling languages with structure from an anonymous mathematical program built by an algebraic modeling language. SPI passes the special structure of the problem to an SES (Structure-Exploiting Solver). An integration of SPI and SES leads to SET (Structure-Exploiting Tool) and ...
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作者：van Ryzin, G; McGill, J
作者单位：Columbia University; Queens University - Canada
摘要：We investigate a simple adaptive approach to optimizing seat protection levels in airline revenue management systems. The approach uses only historical observations of the relative frequencies of certain seat-filling events to guide direct adjustments of the seat protection levels in accordance with the optimality conditions of Brumelle and McGill (1993). Stochastic approximation theory is used to prove the convergence of this adaptive algorithm to the optimal protection levels. in a simulatio...
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作者：Lioui, A; Poncet, P
作者单位：Bar Ilan University; heSam Universite; Universite Pantheon-Sorbonne; ESSEC Business School
摘要：In an environment where interest rates are stochastic, we examine the case of a pure hedger endowed with a fixed position in a long term bond. In contrast to conventional wisdom according to which the difference between hedging through forward contracts and futures is immaterial, it turns out that the minimum variance hedge ratio using forwards comprises two terms instead of one only when using futures. The magnitude of the difference between the two hedge ratios may be important under some pl...
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作者：Mendelson, H
作者单位：Stanford University
摘要：This paper studies an organizational architecture that I call information-age architecture. I define a measure of organizational IQ and test whether it is related to financial and market success using data from the fast-moving information technology industry. Higher organizational IQ is associated with higher profitability and growth. This relationship is stronger in business environments that are characterized by faster clockspeeds.
