Simulation research derives new methods for the design, analysis, and optimization of simulation experiments. Research on stochastic models develops and analyzes models of systems with random behavior ...

Stochastic volatility models are increasingly important in practical derivatives pricing applications, yet relatively little work has been undertaken in the development of practical Monte Carlo ...

1 Civil, Environmental and Architectural Engineering, University of Colorado Boulder, Boulder, CO, USA, 2 Cooperative Institute for Research in Environmental Sciences (CIRES), University of Colorado ...

Reading course on current topics in stochastic simulation design and analysis, including some subset of input modeling, output analysis, experiment design, simulation optimization, model risk, ...

This paper documents the specification of a model that was constructed to assess debt sustainability in emerging market economies. Key features of the model include external and fiscal sectors, which ...