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Probabilistic Error Bounds for Simulation Quantile Estimators
Jin, Xing; Fu, Michael C.; Xiong, Xiaoping - In: Management science : journal of the Institute for … 49 (2003) 2, pp. 230-246
Persistent link: https://www.econbiz.de/10006084824
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Conditional Monte Carlo estimation of quantile sensitivities
Fu, Michael; Hong, L. Jeff; Hu, Jian-Qiang - In: Management science : journal of the Institute for … 55 (2009) 12, pp. 2019-2027
Persistent link: https://www.econbiz.de/10003928512
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Tail risk and robust portfolio decisions
Jin, Xing; Luo, Dan; Zeng, Xudong - In: Management science : journal of the Institute for … 67 (2021) 5, pp. 3254-3275
Persistent link: https://www.econbiz.de/10012581376
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Option pricing for a jump-diffusion model with general discrete jump-size distributions
Fu, Michael; Li, Bingqing; Li, Guozhen; Wu, Rongwen - In: Management science : journal of the Institute for … 63 (2017) 11, pp. 3961-3977
Persistent link: https://www.econbiz.de/10011772831
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Pricing American-Style Derivatives with European Call Options
Laprise, Scott B.; Fu, Michael C.; Marcus, Steven I.; … - In: Management science : journal of the Institute for … 52 (2006) 1, pp. 95-110
Persistent link: https://www.econbiz.de/10006075519
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Efficent Design and Sensitivity Analysis of Control Charts Using Monte Carlo Simulation
Fu, Michael C.; Hu, Jian-Qiang - In: Management science : journal of the Institute for … 45 (1999) 3, pp. 395-413
Persistent link: https://www.econbiz.de/10006096805
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Optimization of (s, S) Inventory Systems with Random Lead Times and a Service Level Constraint
Bashyam, Sridhar; Fu, Michael C. - In: Management science : journal of the Institute for … 44 (1998) 12, pp. 243-256
Persistent link: https://www.econbiz.de/10006098319
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Second Derivative Sample Path Estimators for the Gl-G-m Queue
Fu, Michael C.; Hu, Jian-Qiang - In: Management science : journal of the Institute for … 39 (1993) 3, pp. 359-383
Persistent link: https://www.econbiz.de/10006106589
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On the Recoverability of Choice Behaviors with Random Coefficients Choice Models in the Context of Limited Data and Unobserved Effects
Fu, Michael C.; Hong, L. Jeff; Hu, Jian-Qiang - In: Management science : journal of the Institute for … 54 (2008) 1, pp. 83-100
Persistent link: https://www.econbiz.de/10008345048
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Reclaiming QuasiMonte Carlo Efficiency in Portfolio Value-at-Risk Simulation Through Fourier Transform
Jin, Xing; Zhang, Allen X. - In: Management science : journal of the Institute for … 52 (2006) 6, pp. 925-938
Persistent link: https://www.econbiz.de/10007263048