Governments around the world have implemented preventive measures against the spread of the coronavirus disease (COVID-19). In this study, we consider a multivariate discrete-time Markov model to analyze the propagation of COVID-19 across 33 provincial regions in China. This approach enables us...

Infinitesimal perturbation analysis is a widely used approach to assess the input sensitivities of stochas- tic dynamic systems in the classical simulation context. In this paper, we introduce an efficient nu- merical approach to undertake Infinitesimal perturbation analysis in the context of...

We compute first and second-order sensitivities of functions simulated by rejection techniques. The methodology is to perform a measure change on every acceptance test, so that the pathwise discontinuities resulting from the rejection decisions are removed. The change of measure is chosen to be...

We extend the limit optimal partial proxy method to compute second order sensitivities of financial products with discontinuous or angular payoffs by Monte Carlo simulation. The methodology is optimal in terms of minimizing the variance of likelihood ratios terms. Applications are presented for...

Prudential regulations require financial institutions to hold initial capital so that the possibility of ruin is very low. An important practical problem is to estimate the regulatory capital so the ruin probability is at the regulatory level, typically less than 0.1% over a finite-time horizon....

We introduce a new simulation algorithm for computing the Hessians of Bermudan swaptions and cancellable swaps, the resulting pathwise estimates are unbiased and accurate. Given the exercise strategy, the pathwise angularities are removed by a sequence of measure changes. The change of measure...

Bayesian inference relies heavily on numerical Markov chain Monte carlo (MCMC) methods for the estimation of the typically intractable high-dimensional posterior distributions and requires specific inputs. In this paper we introduce a new general and efficient numerical approach to address...

The development of management science (MS) in China has been a long and dynamic journey involving many unexpected events. Beginning in 1955 and continuing through the present, the revolution roughly consisted of four stages. The first stage (1955-1965) was characterized by large-scale campaigns....