E-LIB Suche - Ergebnisse für: Shahabuddin, Perwez

1

Fast Simulation of Multifactor Portfolio Credit Risk:

Glasserman, Paul ; Kang, Wanmo ; Shahabuddin, Perwez
Operations Research. 56 (2008) 5 - p. 1200-1217 , 2008

2

Exploiting regenerative structure to estimate finite time a..:

Kang, Wanmo ; Shahabuddin, Perwez ; Whitt, Ward
ACM Transactions on Modeling and Computer Simulation (TOMACS). 17 (2007) 2 - p. 8-es , 2007

Link: https://dl.acm.org/doi/1..

3

Exploiting regenerative structure to estimate finite time a..:

Kang, Wanmo ; Shahabuddin, Perwez ; Whitt, Ward
ACM Transactions on Modeling and Computer Simulation. 17 (2007) 2 - p. 8 , 2007

Link: https://doi.org/10.1145/..

4

LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK:

Glasserman, Paul ; Kang, Wanmo ; Shahabuddin, Perwez
Mathematical Finance. 17 (2007) 3 - p. 345-379 , 2007

Link: https://doi.org/10.1111/..

5

Varaince reduction in mean time to failure simulations (198..:

, In: Proceedings of the 39th conference on Winter simulation: 40 years! The best is yet to come,

Shahabuddin, Perwez ; Nicola, Victor F. ; Heidelberger, Philip.. - p. 1-9 , 2007

Link: https://dl.acm.org/doi/1..

6

Fast simulation for multifactor portfolio credit risk in th..:

, In: Proceedings of the 37th conference on Winter simulation,

Kang, Wanmo ; Shahabuddin, Perwez - p. 1859-1868 , 2005

Link: https://dl.acm.org/doi/1..

7

Session details: Risk analysis: simulation methodology for ..:

, In: Proceedings of the 37th conference on Winter simulation,

Shahabuddin, Perwez , 2005

Link: https://dl.acm.org/doi/1..

8

A unified approach for finite-dimensional, rare-event Monte..:

, In: Proceedings of the 36th conference on Winter simulation,

Huang, Zhi ; Shahabuddin, Perwez - p. 1616-1624 , 2004

Link: https://dl.acm.org/doi/1..

9

Session details: Risk analysis: new simulation methodology ..:

, In: Proceedings of the 36th conference on Winter simulation,

Shahabuddin, Perwez , 2004

Link: https://dl.acm.org/doi/1..

10

On Finite Exponential Moments for Branching Processes and B..:

Nakayama, Marvin K. ; Shahabuddin, Perwez ; Sigman, Karl
Journal of Applied Probability. 41 (2004) - p. 273-280 , 2004

Link: https://www.jstor.org/st..

11

QUICK SIMULATION METHODS FOR ESTIMATING THE UNRELIABILITY O..:

Nakayama, Marvin K. ; Shahabuddin, Perwez
Probability in the Engineering and Informational Sciences. 18 (2004) 3 - p. , 2004

Link: https://doi.org/10.1017/..

12

New simulation methodology for risk analysis : rare-even..:

, In: Proceedings of the 35th conference on Winter simulation: driving innovation,

Huang, Zhi ; Shahabuddin, Perwez - p. 276-284 , 2003

Link: https://dl.acm.org/doi/1..

13

Simulating heavy tailed processes using delayed hazard rate..:

Juneja, Sandeep ; Shahabuddin, Perwez
ACM Transactions on Modeling and Computer Simulation (TOMACS). 12 (2002) 2 - p. 94-118 , 2002

Link: https://dl.acm.org/doi/1..

14

Simulating heavy tailed processes using delayed hazard rate..:

Juneja, Sandeep ; Shahabuddin, Perwez
ACM Transactions on Modeling and Computer Simulation. 12 (2002) 2 - p. 94-118 , 2002

Link: https://doi.org/10.1145/..

15

Portfolio Value‐at‐Risk with Heavy‐Tailed Risk Factors:

Glasserman, Paul ; Heidelberger, Philip ; Shahabuddin, Perwez
Mathematical Finance. 12 (2002) 3 - p. 239-269 , 2002

Link: https://doi.org/10.1111/..