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 …

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

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 …

control variates to estimate the mean response in a designed simulation experiment. In Combined Method I, we perform h … independent pairs of simulation runs as follows---on the second run of each such pair, we use random number streams that are … simulation model; and we use independent random number streams to drive the control-variate components of the simulation model …

new estimators for use in simulation experiments designed to estimate such quantiles or probabilities of system …

algorithms for estimating integrals. The basic idea is to replace the original random mechanism in the simulation by a new one … simulation of stochastic systems. Discrete-time Markov chains, continuous-time Markov chains, and generalized semi …

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