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 ...
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 ...
Erkyihun S.T., E Zagona, B. Rajagopalan, (2017). “Wavelet and Hidden Markov-Based Stochastic Simulation Methods Comparison on Colorado River Streamflow,” Journal of Hydrologic Engineering 2017, 22(9): ...
With the semiconductor industry adopting 45nm and smaller technology nodes, process variation has become an increasingly challenging issue for both integrate circuit (IC) design and manufacturing, ...
This project aims at developing mathematical statistics and probability theory to provide methodologies for modeling and analysis of complex random systems. Statistical methods enable analysis of ...
In this paper, we present three new discretization schemes for the Heston stochastic volatility model: two schemes for simulating the variance process and one for simulating the integrated variance ...
This course is available on the BSc in Accounting and Finance, BSc in Data Science, BSc in Econometrics and Mathematical Economics, BSc in Economics, BSc in Management, BSc in Mathematics and ...
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