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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

Efficient Design and Sensitivity Analysis of Control Charts Using Monte Carlo Simulation

Fu, Michael C.; Hu, Jian-Qiang - In: Management Science 45 (1999) 3, pp. 395-413

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...

Persistent link: https://www.econbiz.de/10009214156

Conditional Monte Carlo Estimation of Quantile Sensitivities

Fu, Michael C.; Hong, L. Jeff; Hu, Jian-Qiang - In: Management Science 55 (2009) 12, pp. 2019-2027

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...

Persistent link: https://www.econbiz.de/10009208830

Copula sensitivity analysis for portfolio credit derivatives

Lei, Lei; Peng, Yijie; Fu, Michael; Hu, Jian-Qiang - In: European journal of operational research : EJOR 308 (2023) 1, pp. 455-466

Persistent link: https://www.econbiz.de/10014283065

Sensitivity analysis in Monte Carlo Simulation of stochastic activity networks

Fu, Michael - In: Perspectives in operations research : papers in honor …, (pp. 351-366). 2006

Persistent link: https://www.econbiz.de/10003674859

On estimating quantile sensitivities via infinitesimal perturbation analysis

Jiang, Guangxin; Fu, Michael - In: Operations research 63 (2015) 2, pp. 435-441

Persistent link: https://www.econbiz.de/10010526698

Conditional Monte Carlo gradient estimation in economic design of control limits

Fu, Michael; Lele, Shreevardhan; Vossen, Thomas W. M. - In: Production and operations management : an international … 18 (2009) 1, pp. 60-77

Persistent link: https://www.econbiz.de/10003827806

Optimal importance sampling in securities pricing

Su, Yi; Fu, Michael - In: The journal of computational finance 5 (2002) 4, pp. 27-50

Persistent link: https://www.econbiz.de/10001695832

Pricing continuous Asian options : a comparison of Monte Carlo and Laplace transform inversion methods

Fu, Michael; Madan, Dilip B.; Wang, Tong - In: The journal of computational finance 2 (1998/1999) 2, pp. 49-74

Persistent link: https://www.econbiz.de/10001633397

Maximum likelihood estimation by Monte Carlo simulation : toward data-driven stochastic modeling

Peng, Yijie; Fu, Michael; Heidergott, Bernd; Lam, Henry - In: Operations research 68 (2020) 6, pp. 1896-1912

Persistent link: https://www.econbiz.de/10012392175