An empirical evaluation of sampling methods in risk analysis simulation: Quasi-Monte Carlo, descriptive sampling, and Latin Hypercube Sampling

Winter Simulation Conference Proceedings

Volumn 2, Issue , 2002, Pages 1606-1610

  Saliby, Eduardo ^a   Pacheco, Flavio ^b  

^a FEDERAL UNIVERSITY OF RIO DE JANEIRO   (Brazil)

^b Microecon and Investment Analysis   (Brazil)

Author keywords

[No Author keywords available]

Indexed keywords

COMPUTER SIMULATION; DECISION MAKING; MONTE CARLO METHODS; RISK MANAGEMENT;

SAMPLING METHODS;

FINANCE;

EID: 0036932439     PISSN: 02750708     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

References (10)

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2. McKay, M.D., R. J. Beckman, and W. J. Conover. 1979. A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code. Technometrics 21(2): 239-245.
3. Morokoff, W. J. and R. E. Caflisch. 1995. Quasi-Monte Carlo Integration. Journal of Computational Physics 122: 218-230.
4. Niederreiter, H. 1988. Quasi-Monte Carlo Methods for Multidimensional Numerical Integration. In: Numerical Integration III, ed. H. Brass and G. Hämmerlin. International Series of Numerical Math. 85:157-171.
5. Niederreiter, H. 1992. Random Number Generation and Quasi-Monte Carlo Methods. Philadelphia: SIAM.
6. Owen, A. 1998. Latin Supercube Sampling for Very High Dimensional Simulations. ACM Transactions on Modeling and Computer Simulation 8(1) 71-102.
7. Paskov, S. H. and J. F. Traub. 1995. Faster Valuation of Financial Derivatives: a Promising Alternative to Monte Carlo. The Journal of Portfolio Management 22(1): 113-120.
8. Saliby, E. 1990. Descriptive Sampling: a Better Approach to Monte Carlo Simulation. Journal of the Operational Research Society 41(12): 1133-1142.
9. Saliby, E. 1997. Descriptive Sampling: an Improvement over Latin Hypercube Sampling. In Proceedings of the 1997 Winter Simulation Conference, 230-233. IEEE Press.
10. Traub, J. F. and A. Papageorgiou. 1996. New results on deterministic pricing of financial derivatives. In: Mathematical Problems in Finance, April 15, 1996. Princeton, New Jersey: Institute for Advanced Study.