Monte Carlo simulation is widely used to measure the credit risk in portfolios of loans, corporate bonds, and other … instruments subject to possible default. The accurate measurement of credit risk is often a rare-event simulation problem because …

Monte Carlo simulation has been used to value options since Boyle's seminal paper. Monte Carlo simulation, however, has … options by linking forward-moving simulation and the backward-moving recursion of dynamic programming through an iterative …

This paper describes a practical algorithm based on Monte Carlo simulation for the pricing of multidimensional American …

the problem of using simulation to estimate the number of transitions it takes the process to enter \scr{A}. Using …

how they can be used effectively for the simulation models that are typically encountered in the area of management …

a simulation-based quantile estimator fails to lie in a prespecified neighborhood of the true quantile. First, we show …

Using common random numbers (CRN) in simulation experiment design is known to reduce the variance of estimators of …, specifically multiple comparisons with the best. These models explain the effect of CRN via a linear regression of the simulation … output on "control variates" that are functions of the simulation inputs. We establish theoretically, and illustrate …

When the simulation department of Management Science was created in 1978 it ushered in an era of significant … methodological advances in stochastic simulation. However, the foundation for the field---not just the work that has been published … in Management Science---was provided by two papers published long before simulation had its own department in the journal …

. The emphasis is on the practical problems and potential of applying the method in the simulation of complex systems. The …