The design of control charts in statistical quality control addresses the optimal selection of the design parameters (such as the sampling frequency and the control limits) and includes sensitivity analysis with respect to system parameters (such as the various process parameters and the...

Estimating quantile sensitivities is important in many optimization applications, from hedging in financial engineering to service-level constraints in inventory control to more general chance constraints in stochastic programming. Recently, Hong (Hong, L. J. 2009. Estimating quantile...

Applying the technique of smoothed perturbation analysis (SPA) to the GI/G/m queue with first-come, first-served (FCFS) queue discipline, we derive sample path estimators for the second derivative of mean steady-state system time with respect to a parameter of the service time distribution. Such...

This dissertation includes three essays on hedging the interest rate and credit risks of Mortgage-Backed Securities (MBS).Essay one addresses the problem of how to efficiently estimate interest rate sensitivity parameters of MBS. To do this in Monte Carlo simulation, we derive perturbation...