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WSC
2004
15 years 7 months ago
Exact Simulation of Option Greeks under Stochastic Volatility and Jump Diffusion Models
This paper derives Monte Carlo simulation estimators to compute option price derivatives, i.e., the `Greeks,' under Heston's stochastic volatility model and some variant...
Mark Broadie, Özgür Kaya
MABS
1998
Springer
15 years 10 months ago
Towards Modeling Other Agents: A Simulation-Based Study
In this paper, we present some of our ongoing experimental research towards investigating advantages of modeling other agents in multiagent environments. We attempt to quantify the...
Leonardo Garrido-Luna, Ramón F. Brena, Kati...
ASAP
2009
IEEE
142views Hardware» more  ASAP 2009»
16 years 3 months ago
Parallel Discrete Event Simulation of Molecular Dynamics Through Event-Based Decomposition
—Molecular dynamics simulation based on discrete event simulation (DMD) is emerging as an alternative to time-step driven molecular dynamics (MD). DMD uses simplified discretize...
Martin C. Herbordt, Md. Ashfaquzzaman Khan, Tony D...
ICCAD
1998
IEEE
82views Hardware» more  ICCAD 1998»
15 years 10 months ago
Symbolic model checking of process networks using interval diagram techniques
In this paper, an approach to symbolic model checking of process networks is introduced. It is based on interval decision diagrams (IDDs), a representation of multi-valued functio...
Karsten Strehl, Lothar Thiele
WSC
2007
15 years 8 months ago
Modeling and simulation of group behavior in e-government implementation
This study proposes a multi-agent modeling and simulation approach using EGGBM (E-Government Group Behavior Model) to research complex group behavior in Egovernment implementation...
Jiang Wu, Bin Hu