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, ...

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 ...