메뉴 건너뛰기




Volumn , Issue , 2012, Pages 1-314

Financial modeling with crystal ball and excel

Author keywords

[No Author keywords available]

Indexed keywords


EID: 85100687884     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1002/9781119203216     Document Type: Book
Times cited : (44)

References (191)
  • 1
    • 77649108565 scopus 로고    scopus 로고
    • Coverage properties of beta estimated prediction intervals for multimodal recovery rates
    • Alvarez, S., and J. S. Baixauli. 2010. Coverage properties of beta estimated prediction intervals for multimodal recovery rates. Journal of Statistical Computation and Simulation 80, no. 1: 111-117.
    • (2010) Journal of Statistical Computation and Simulation , vol.80 , Issue.1 , pp. 111-117
    • Alvarez, S.1    Baixauli, J.S.2
  • 3
    • 0033312250 scopus 로고    scopus 로고
    • Variance reduction of Monte Carlo and randomized quasi-Monte Carlo estimators for stochastic volatility models in finance
    • eds. H. B. Nembhard, P. A. Farrington, D. T. Sturrock, and G. W. Evans, Piscataway, NJ: IEEE
    • Ameur, H. B., P. L’Ecuyer, and C. Lemieux. 1999. Variance reduction of Monte Carlo and randomized quasi-Monte Carlo estimators for stochastic volatility models in finance. In Proceedings of the Winter Simulation Conference, eds. H. B. Nembhard, P. A. Farrington, D. T. Sturrock, and G. W. Evans, 336-343. Piscataway, NJ: IEEE.
    • (1999) Proceedings of the Winter Simulation Conference , pp. 336-343
    • Ameur, H.B.1    L’Ecuyer, P.2    Lemieux, C.3
  • 6
    • 0004231080 scopus 로고
    • Fairland, MD: International Cooperative Publishing House
    • Arnold, B. C. 1983. Pareto distributions. Fairland, MD: International Cooperative Publishing House.
    • (1983) Pareto distributions.
    • Arnold, B.C.1
  • 9
    • 0033352189 scopus 로고    scopus 로고
    • Efficiency improvements for pricing American options with a stochastic mesh
    • ed. H. B. Nembhard, P. A. Farrington, D. T. Sturrock, and G. W. Evans, Piscataway, NJ: IEEE
    • Avramidis, A. N., and P. Hyden. 1999. Efficiency improvements for pricing American options with a stochastic mesh. In Proceedings of the Winter Simulation Conference, ed. H. B. Nembhard, P. A. Farrington, D. T. Sturrock, and G. W. Evans, 344-350. Piscataway, NJ: IEEE.
    • (1999) Proceedings of the Winter Simulation Conference , pp. 344-350
    • Avramidis, A.N.1    Hyden, P.2
  • 10
    • 0029480923 scopus 로고
    • Correlation-induction techniques for estimating quantiles in simulation experiments
    • ed. C. Alexopoulos, K. Kang, W. R. Lilegdon, and D. Goldsman, eds. Piscataway, NJ: IEEE
    • Avramidis, A. N., and J. R. Wilson. 1995. Correlation-induction techniques for estimating quantiles in simulation experiments. In Proceedings of the 1995 Winter Simulation Conference ed. C. Alexopoulos, K. Kang, W. R. Lilegdon, and D. Goldsman, eds. Piscataway, NJ: IEEE.
    • (1995) Proceedings of the 1995 Winter Simulation Conference
    • Avramidis, A.N.1    Wilson, J.R.2
  • 12
    • 0010693714 scopus 로고
    • The triangular distribution
    • Ayyangar, A. A. K. 1941. The triangular distribution. Mathematics Student 9:85-87.
    • (1941) Mathematics Student , vol.9 , pp. 85-87
    • Ayyangar, A.A.K.1
  • 15
    • 79955377471 scopus 로고    scopus 로고
    • Probabilistic estimation and allocation of project time contingency
    • April
    • Barraza, G. A. 2011. Probabilistic estimation and allocation of project time contingency. Journal of Construction Engineering and Management 137, no. 4 (April): 259-265.
    • (2011) Journal of Construction Engineering and Management , vol.137 , Issue.4 , pp. 259-265
    • Barraza, G.A.1
  • 17
    • 0001734221 scopus 로고
    • Determining Withdrawal Rates Using Historical Data
    • October, reprinted in 2004 Best of 25 Years series
    • Bengen, W. P. 1994. “Determining Withdrawal Rates Using Historical Data,” Journal of Financial Planning (October): 14-24 (reprinted in 2004 Best of 25 Years series).
    • (1994) Journal of Financial Planning , pp. 14-24
    • Bengen, W.P.1
  • 18
    • 77955958594 scopus 로고    scopus 로고
    • Asset Allocation for a Lifetime
    • August
    • Bengen, W. P. 1996. “Asset Allocation for a Lifetime,” Journal of Financial Planning (August): 58-66.
    • (1996) Journal of Financial Planning , pp. 58-66
    • Bengen, W.P.1
  • 19
    • 38649138110 scopus 로고    scopus 로고
    • Conserving client portfolios during retirement, Part III
    • December
    • Bengen, W. P. 1997. Conserving client portfolios during retirement, Part III. Journal of Financial Planning (December): 84-97.
    • (1997) Journal of Financial Planning , pp. 84-97
    • Bengen, W.P.1
  • 20
    • 0036147494 scopus 로고    scopus 로고
    • Resources, real options and corporate strategy
    • January
    • Bernardo, A. E., and B. Chowdry. 2002. Resources, real options and corporate strategy. Journal of Financial Economics 63, no. 1 (January): 211-234.
    • (2002) Journal of Financial Economics , vol.63 , Issue.1 , pp. 211-234
    • Bernardo, A.E.1    Chowdry, B.2
  • 21
    • 85015692260 scopus 로고
    • The pricing of options and corporate liabilities
    • Black, F., and M. Scholes. 1973. The pricing of options and corporate liabilities. Journal of Political Economy 81:637-654.
    • (1973) Journal of Political Economy , vol.81 , pp. 637-654
    • Black, F.1    Scholes, M.2
  • 26
    • 0035623733 scopus 로고    scopus 로고
    • Real options analysis and strategic decision making
    • November/December
    • Bowman, E. H., and G. T. Moskowitz. 2001. Real options analysis and strategic decision making. Organization Science 12, no. 6 (November/December): 772-777.
    • (2001) Organization Science , vol.12 , Issue.6 , pp. 772-777
    • Bowman, E.H.1    Moskowitz, G.T.2
  • 27
  • 28
    • 0347241309 scopus 로고    scopus 로고
    • Real options: Valuing flexibility in capital investment decisions
    • December
    • Brabazon, T. 1999. Real options: Valuing flexibility in capital investment decisions. Accountancy Ireland 31, no. 6 (December): 16-18.
    • (1999) Accountancy Ireland , vol.31 , Issue.6 , pp. 16-18
    • Brabazon, T.1
  • 32
    • 0029517149 scopus 로고
    • Recent advances in simulation for security pricing
    • ed. C. Alexopoulos, K. Kang, W. R. Lilegdon, and D. Goldsman, Piscataway, NJ: IEEE
    • Boyle P., M. Broadie, and P. Glasserman. 1995. Recent advances in simulation for security pricing. In Proceedings of the Winter Simulation Conference, ed. C. Alexopoulos, K. Kang, W. R. Lilegdon, and D. Goldsman, 212-219. Piscataway, NJ: IEEE.
    • (1995) Proceedings of the Winter Simulation Conference , pp. 212-219
    • Boyle, P.1    Broadie, M.2    Glasserman, P.3
  • 34
    • 0001064964 scopus 로고    scopus 로고
    • Estimating security price derivatives using simulation
    • Broadie, M., and P. Glasserman. 1996. Estimating security price derivatives using simulation. Management Science 42, no. 2: 269-285.
    • (1996) Management Science , vol.42 , Issue.2 , pp. 269-285
    • Broadie, M.1    Glasserman, P.2
  • 36
    • 0003008716 scopus 로고    scopus 로고
    • Valuation of mortgage-backed securities using Brownian bridges to reduce effective dimension
    • Caflisch R. E., W. Morokoff, and A. B. Owen. 1997. Valuation of mortgage-backed securities using Brownian bridges to reduce effective dimension. Journal of Computational Finance 1, no. 1: 27-46.
    • (1997) Journal of Computational Finance , vol.1 , Issue.1 , pp. 27-46
    • Caflisch, R.E.1    Morokoff, W.2    Owen, A.B.3
  • 37
    • 0036497756 scopus 로고    scopus 로고
    • Real options analysis of the timing of IS investment decisions
    • March
    • Campbell, J. A. 2002. Real options analysis of the timing of IS investment decisions. Information and Management 39, no. 5 (March): 336-344.
    • (2002) Information and Management , vol.39 , Issue.5 , pp. 336-344
    • Campbell, J.A.1
  • 38
    • 0034428952 scopus 로고    scopus 로고
    • Using simulation for option pricing
    • ed J. A. Joines, R. R. Burton, K. Kang, and P. A. Fishwick. Orlando, FL
    • Charnes, J. M. 2000. Using simulation for option pricing. In Proceedings of the 2000 Winter Simulation Conference, ed J. A. Joines, R. R. Burton, K. Kang, and P. A. Fishwick. Orlando, FL.
    • (2000) Proceedings of the 2000 Winter Simulation Conference
    • Charnes, J.M.1
  • 39
    • 77952746821 scopus 로고    scopus 로고
    • Sharper estimates of derivative values
    • June/July
    • Charnes, J. M. 2002. Sharper estimates of derivative values. Financial Engineering News, no. 26 (June/July): 6-8.
    • (2002) Financial Engineering News , Issue.26 , pp. 6-8
    • Charnes, J.M.1
  • 40
    • 85100607090 scopus 로고    scopus 로고
    • A forward Monte Carlo method for solving influence diagrams using local computation
    • Charnes, J. M., and P. P. Shenoy. 2002. A forward Monte Carlo method for solving influence diagrams using local computation. Management Science.
    • (2002) Management Science.
    • Charnes, J.M.1    Shenoy, P.P.2
  • 42
    • 33645772371 scopus 로고    scopus 로고
    • Does international diversification increase the sustainable withdrawal rates from retirement portfolios?
    • Cooley, P. L., C. M. Hubbard, and D. T. Walz. 2003. Does international diversification increase the sustainable withdrawal rates from retirement portfolios? Journal of Financial Planning 16, no. 1: 74-80.
    • (2003) Journal of Financial Planning , vol.16 , Issue.1 , pp. 74-80
    • Cooley, P.L.1    Hubbard, C.M.2    Walz, D.T.3
  • 44
    • 24144500548 scopus 로고    scopus 로고
    • The real options approach to capital allocation
    • October
    • Copeland, T. 2001. The real options approach to capital allocation. Strategic Finance 83, no. 4 (October): 33-37.
    • (2001) Strategic Finance , vol.83 , Issue.4 , pp. 33-37
    • Copeland, T.1
  • 46
    • 0002972299 scopus 로고    scopus 로고
    • How much is flexibility worth?
    • 1998
    • Copeland, T., and P. T. Keenan. 1998a. How much is flexibility worth? The McKinsey Quarterly, no. 2 (1998), 38-49.
    • (1998) The McKinsey Quarterly , Issue.2 , pp. 38-49
    • Copeland, T.1    Keenan, P.T.2
  • 47
    • 0002972299 scopus 로고    scopus 로고
    • Making real options real
    • 1998
    • Copeland, T., and P. T. Keenan. 1998b. Making real options real. TheMcKinsey Quarterly, no. 3 (1998), 128-141.
    • (1998) TheMcKinsey Quarterly , Issue.3 , pp. 128-141
    • Copeland, T.1    Keenan, P.T.2
  • 49
    • 0022077624 scopus 로고
    • Risk analysis and risk management: An historical perspective
    • Covello, V. T., and J. Mumpower. 1985. Risk analysis and risk management: An historical perspective. Risk Analysis 5, no. 2: 103-120.
    • (1985) Risk Analysis , vol.5 , Issue.2 , pp. 103-120
    • Covello, V.T.1    Mumpower, J.2
  • 52
    • 0032631088 scopus 로고    scopus 로고
    • Investment and capacity choice under uncertain demand
    • September
    • Dangl, T. 1999. Investment and capacity choice under uncertain demand. European Journal of Operational Research 117, no. 3 (September): 415-428.
    • (1999) European Journal of Operational Research , vol.117 , Issue.3 , pp. 415-428
    • Dangl, T.1
  • 56
    • 85100700361 scopus 로고    scopus 로고
    • Harvard Business School Case and Teaching Paper Series, Case No.: 201-004, Teaching Note: 202-060 9
    • Desai, A. M., and P. Tufano. 2002. Laura Martin: Real options and the cable industry. Harvard Business School Case and Teaching Paper Series, Case No.: 201-004, Teaching Note: 202-060 9.
    • (2002) Laura Martin: Real options and the cable industry.
    • Desai, A.M.1    Tufano, P.2
  • 58
    • 0004018246 scopus 로고    scopus 로고
    • 3rd ed. Princeton, NJ: Princeton University Press
    • Duffie, D. 2001. Dynamic asset pricing theory, 3rd ed. Princeton, NJ: Princeton University Press.
    • (2001) Dynamic asset pricing theory
    • Duffie, D.1
  • 59
    • 0002341699 scopus 로고    scopus 로고
    • Customer lifetime valuation to support marketing decision making
    • Fall
    • Dwyer, F. R. 1997. Customer lifetime valuation to support marketing decision making. Journal of Direct Marketing 11, no. 4 (Fall): 7-13.
    • (1997) Journal of Direct Marketing , vol.11 , Issue.4 , pp. 7-13
    • Dwyer, F.R.1
  • 61
    • 0010829166 scopus 로고
    • On the maximization of the geometric mean with lognormal return distribution
    • Elton, E. J., and M. J. Gruber. 1974. On the maximization of the geometric mean with lognormal return distribution. Management Science 21, no. 4: 483-488.
    • (1974) Management Science , vol.21 , Issue.4 , pp. 483-488
    • Elton, E.J.1    Gruber, M.J.2
  • 66
    • 0039548892 scopus 로고    scopus 로고
    • A one-parameter representation of credit risk and transition matrices
    • Forest, L. R., B. Belkin, and S. J. Suchower. 1998. A one-parameter representation of credit risk and transition matrices. Credit Metrics Monitor (Q3): 45-56.
    • (1998) Credit Metrics Monitor , Issue.Q3 , pp. 45-56
    • Forest, L.R.1    Belkin, B.2    Suchower, S.J.3
  • 68
    • 0029505629 scopus 로고
    • Pricing of financial derivatives via simulation
    • ed. C. Alexopoulos, K. Kang, W. R. Lilegdon, and D. Goldsman, Piscataway, NJ: IEEE
    • Fu, M. C. 1995. Pricing of financial derivatives via simulation. In Proceedings of the Winter Simulation Conference, ed. C. Alexopoulos, K. Kang, W. R. Lilegdon, and D. Goldsman, 126-132. Piscataway, NJ: IEEE.
    • (1995) Proceedings of the Winter Simulation Conference , pp. 126-132
    • Fu, M.C.1
  • 74
    • 84944838936 scopus 로고
    • The American put option valued analytically
    • Geske, R., and H. E. Johnson. 1984. The American put option valued analytically. The Journal of Finance 39, no. 5: 1511-1524.
    • (1984) The Journal of Finance , vol.39 , Issue.5 , pp. 1511-1524
    • Geske, R.1    Johnson, H.E.2
  • 76
    • 27744504782 scopus 로고    scopus 로고
    • Importance sampling for portfolio credit risk
    • Glasserman P., and J. Li. 2005. Importance sampling for portfolio credit risk. Management Science 51, no. 11: 1643-1656.
    • (2005) Management Science , vol.51 , Issue.11 , pp. 1643-1656
    • Glasserman, P.1    Li, J.2
  • 77
    • 7244249832 scopus 로고    scopus 로고
    • Fast greeks by simulation in forward LIBOR models
    • Glasserman P., and X. Zhao. 1999. Fast greeks by simulation in forward LIBOR models. Journal of Computational Finance 3, no. 1: 5-39.
    • (1999) Journal of Computational Finance , vol.3 , Issue.1 , pp. 5-39
    • Glasserman, P.1    Zhao, X.2
  • 78
    • 84989487658 scopus 로고
    • Heuristics for integer programming using surrogate constraints
    • Glover, F. 1977. Heuristics for integer programming using surrogate constraints. Decision Sciences 8:156-166.
    • (1977) Decision Sciences , vol.8 , pp. 156-166
    • Glover, F.1
  • 79
    • 0001853336 scopus 로고    scopus 로고
    • Tabu search and adaptive memory programming-advances, applications and challenges
    • ed. Barr, Helgason, and Kennington. Kluwer Academic Publishers
    • Glover, F. 1997. Tabu search and adaptive memory programming-advances, applications and challenges. In Interfaces in computer science and operations research, ed. Barr, Helgason, and Kennington. Kluwer Academic Publishers.
    • (1997) Interfaces in computer science and operations research
    • Glover, F.1
  • 80
    • 0031272229 scopus 로고    scopus 로고
    • Path-dependent options: Extending the Monte Carlo simulation approach
    • Grant D., G. Vora, and D. Weeks. 1997. Path-dependent options: Extending the Monte Carlo simulation approach. Management Science 43, no. 11: 1589-1602.
    • (1997) Management Science , vol.43 , Issue.11 , pp. 1589-1602
    • Grant, D.1    Vora, G.2    Weeks, D.3
  • 82
    • 33645769937 scopus 로고    scopus 로고
    • Decision rules and portfolio management for retirees: Is the “safe” initial withdrawal rate too safe?
    • October
    • Guyton, J. T. 2004. Decision rules and portfolio management for retirees: Is the “safe” initial withdrawal rate too safe? Journal of Financial Planning October, 54-62.
    • (2004) Journal of Financial Planning , pp. 54-62
    • Guyton, J.T.1
  • 83
    • 33746341778 scopus 로고    scopus 로고
    • Valuing the real option of abandoning unprofitable customers when calculating customer lifetime value
    • July
    • Haenlein, M., A. M. Kaplan, and D. Schoder. 2006. Valuing the real option of abandoning unprofitable customers when calculating customer lifetime value. Journal of Marketing 70 (July): 5-20.
    • (2006) Journal of Marketing , vol.70 , pp. 5-20
    • Haenlein, M.1    Kaplan, A.M.2    Schoder, D.3
  • 86
    • 85100608390 scopus 로고    scopus 로고
    • Simulating Value at Risk (VaR) and conditional tail expectation
    • February
    • Hardy, M. 2006. Simulating Value at Risk (VaR) and conditional tail expectation. Financial Engineering News 47, no. 17 (February).
    • (2006) Financial Engineering News , vol.47 , Issue.17
    • Hardy, M.1
  • 87
    • 85100623996 scopus 로고    scopus 로고
    • Simplified spreadsheet solutions: Models for critical path method and time-cost tradeoff analysis
    • July
    • Hegazy, T., and A. Ayed. 1999. Simplified spreadsheet solutions: Models for critical path method and time-cost tradeoff analysis. Cost Engineering 47, no. 7 (July): 26-33.
    • (1999) Cost Engineering , vol.47 , Issue.7 , pp. 26-33
    • Hegazy, T.1    Ayed, A.2
  • 88
    • 0011804726 scopus 로고    scopus 로고
    • Economic analysis of R&D projects: An options approach
    • Herath, H. S. B., and C. S. Park. 1999. Economic analysis of R&D projects: An options approach. Engineering Economist 44, no. 1: 1-35.
    • (1999) Engineering Economist , vol.44 , Issue.1 , pp. 1-35
    • Herath, H.S.B.1    Park, C.S.2
  • 89
    • 19644369611 scopus 로고    scopus 로고
    • Multi-stage capital investment opportunities as compound real options
    • Herath, H. S. B., and C. S. Park. 2002. Multi-stage capital investment opportunities as compound real options. Engineering Economist 47, no. 1: 1-27.
    • (2002) Engineering Economist , vol.47 , Issue.1 , pp. 1-27
    • Herath, H.S.B.1    Park, C.S.2
  • 90
    • 0002557669 scopus 로고
    • Investment policies that pay off
    • Hertz, D. B. 1968. Investment policies that pay off. Harvard Business Review 46, 96-108.
    • (1968) Harvard Business Review , vol.46 , pp. 96-108
    • Hertz, D.B.1
  • 92
    • 38149143437 scopus 로고
    • Asset allocation, life expectancy and shortfall
    • Ho, K., M. A. Milevsky, and C. Robinson. 1994. “Asset allocation, life expectancy and shortfall.” Financial Services Review 3, no. 2: 109-126.
    • (1994) Financial Services Review , vol.3 , Issue.2 , pp. 109-126
    • Ho, K.1    Milevsky, M.A.2    Robinson, C.3
  • 95
    • 0035239263 scopus 로고    scopus 로고
    • Project management under risk: Using the real options approach to evaluate flexibility in R&D
    • January
    • Huchzermeier, A., and C. H. Loch. 2001. Project management under risk: Using the real options approach to evaluate flexibility in R&D. Management Science 47, no. 1 (January): 85-101.
    • (2001) Management Science , vol.47 , Issue.1 , pp. 85-101
    • Huchzermeier, A.1    Loch, C.H.2
  • 98
    • 0001900607 scopus 로고
    • Efficient procedures for valuing European and American path-dependent options
    • Fall
    • Hull J., and A. White. 1993. Efficient procedures for valuing European and American path-dependent options. Journal of Derivatives (Fall): 21-31.
    • (1993) Journal of Derivatives , pp. 21-31
    • Hull, J.1    White, A.2
  • 99
    • 84977709229 scopus 로고
    • The pricing of options on assets with stochastic volatilities
    • Hull, J., and A. White. 1987. The pricing of options on assets with stochastic volatilities. Journal of Finance. 42, no. 2: 281-300.
    • (1987) Journal of Finance. , vol.42 , Issue.2 , pp. 281-300
    • Hull, J.1    White, A.2
  • 102
    • 79958150754 scopus 로고    scopus 로고
    • An explicit model of default time with given survival probability
    • Jeanblanc, M., and S. Song. 2011. An explicit model of default time with given survival probability. Stochastic Processes and their Applications 121, no. 8: 1678-1704.
    • (2011) Stochastic Processes and their Applications , vol.121 , Issue.8 , pp. 1678-1704
    • Jeanblanc, M.1    Song, S.2
  • 103
    • 85100615783 scopus 로고    scopus 로고
    • Stockholm School of Economics Working Paper Series in Business Administration No. 1998:1, Fifth revision, February 20
    • Jennergren, L. P. 2006. A tutorial on the McKinsey model for valuation of companies. Stockholm School of Economics Working Paper Series in Business Administration No. 1998:1, Fifth revision, February 20.
    • (2006) A tutorial on the McKinsey model for valuation of companies.
    • Jennergren, L.P.1
  • 108
    • 0000781839 scopus 로고    scopus 로고
    • Quasi-Monte Carlo methods in numerical finance
    • Joy C., P. P. Boyle, and K. S. Tan. 1996. Quasi-Monte Carlo methods in numerical finance. Management Science 42, no. 6: 926-938.
    • (1996) Management Science , vol.42 , Issue.6 , pp. 926-938
    • Joy, C.1    Boyle, P.P.2    Tan, K.S.3
  • 110
    • 0001954909 scopus 로고    scopus 로고
    • Real-options valuation for a biotechnology company
    • May/June
    • Kellogg, D., and J. Charnes. 2000. Real-options valuation for a biotechnology company. Financial Analysts Journal, May/June: 76-84.
    • (2000) Financial Analysts Journal , pp. 76-84
    • Kellogg, D.1    Charnes, J.2
  • 111
    • 0001323268 scopus 로고
    • A pricing method for options based on average asset values
    • Kemna, A. G. Z., and A. C. F. Vorst. 1990. A pricing method for options based on average asset values. Journal of Banking and Finance 14:113-129.
    • (1990) Journal of Banking and Finance , vol.14 , pp. 113-129
    • Kemna, A.G.Z.1    Vorst, A.C.F.2
  • 112
    • 0000135893 scopus 로고
    • Today’s options for tomorrow’s growth
    • March/April
    • Kester, W. C. 1984. Today’s options for tomorrow’s growth. Harvard Business Review March/April: 153-158.
    • (1984) Harvard Business Review , pp. 153-158
    • Kester, W.C.1
  • 114
    • 0003657590 scopus 로고    scopus 로고
    • 3rd ed., Volume 2: Seminumerical algorithms. Reading, MA: Addison-Wesley
    • Knuth, D. E. 1998. The art of computer programming, 3rd ed., Volume 2: Seminumerical algorithms. Reading, MA: Addison-Wesley.
    • (1998) The art of computer programming
    • Knuth, D.E.1
  • 118
    • 0032254831 scopus 로고    scopus 로고
    • Efficiency improvement by lattice rules for pricing Asian options
    • ed. D. J. Medeiros, E. F. Watson, J. S. Carson, and M. S. Mannivannan, Piscataway, NJ: IEEE
    • Lemieux, C., and P. L’Ecuyer. 1998. Efficiency improvement by lattice rules for pricing Asian options. In Proceedings of the Winter Simulation Conference, ed. D. J. Medeiros, E. F. Watson, J. S. Carson, and M. S. Mannivannan, 579-585. Piscataway, NJ: IEEE.
    • (1998) Proceedings of the Winter Simulation Conference , pp. 579-585
    • Lemieux, C.1    L’Ecuyer, P.2
  • 125
    • 0141953053 scopus 로고    scopus 로고
    • Wall Street made me do it: A preliminary analysis of the major institutional investors in U.S. newspaper comapnies
    • Maguire, M. 2003. Wall Street made me do it: A preliminary analysis of the major institutional investors in U.S. newspaper comapnies. The Journal of Media Economics 16, no. 4: 253-264.
    • (2003) The Journal of Media Economics , vol.16 , Issue.4 , pp. 253-264
    • Maguire, M.1
  • 126
    • 0004094457 scopus 로고    scopus 로고
    • 7th ed. Hoboken, NJ: John Wiley & Sons
    • Mann, P. S. 2010. Introductory Statistics, 7th ed. Hoboken, NJ: John Wiley & Sons.
    • (2010) Introductory Statistics
    • Mann, P.S.1
  • 127
    • 0345131401 scopus 로고    scopus 로고
    • 2nd ed., Boston, MA: Pearson Education
    • McDonald, R. L. 2006. Derivatives markets, 2nd ed., Boston, MA: Pearson Education.
    • (2006) Derivatives markets
    • McDonald, R.L.1
  • 128
    • 0032642848 scopus 로고    scopus 로고
    • Revenue management: Research overview and prospects
    • May
    • McGill, J. I., and Van G. J. Ryzin. 1999. Revenue management: Research overview and prospects. Transportation Science 33, no. 2 (May): 233-256.
    • (1999) Transportation Science , vol.33 , Issue.2 , pp. 233-256
    • McGill, J.I.1    Van Ryzin, G.J.2
  • 129
    • 0018468345 scopus 로고
    • A comparison of three methods for selecting values of input variables in the analysis of output from a computer code
    • 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, no. 2: 239-245.
    • (1979) Technometrics , vol.21 , Issue.2 , pp. 239-245
    • McKay, M.D.1    Beckman, R.J.2    Conover, W.J.3
  • 134
    • 0004999243 scopus 로고
    • The beginning of the Monte Carlo method
    • Metropolis, N. 1987. The beginning of the Monte Carlo method. Los Alamos Science, Special Issue (15): 125-130.
    • (1987) Los Alamos Science , Issue.15 , pp. 125-130
    • Metropolis, N.1
  • 136
    • 85027042796 scopus 로고    scopus 로고
    • Article ID 828795 (Revision 7.0), obtained from, Accessed September 29
    • Microsoft Corporation. 2011. Description of the RAND function in Excel, Article ID 828795 (Revision 7.0), obtained from http://support.microsoft.com/kb/828795. Accessed September 29.
    • (2011) Description of the RAND function in Excel
  • 137
    • 0345806814 scopus 로고    scopus 로고
    • Asset allocation via the conditional first exit time or how to avoid outliving your money
    • Milevsky, M. A., K. Ho, and C. Robinson. 1997. Asset allocation via the conditional first exit time or how to avoid outliving your money.” Review of Quantitative Finance and Accounting 9: 53-70.
    • (1997) Review of Quantitative Finance and Accounting , vol.9 , pp. 53-70
    • Milevsky, M.A.1    Ho, K.2    Robinson, C.3
  • 138
    • 1642581349 scopus 로고    scopus 로고
    • Decision making under uncertainty-Real options to the rescue?
    • Miller, L., and C. S. Park. 2002. Decision making under uncertainty-Real options to the rescue? Engineering Economist, 47, no. 2, 105-150.
    • (2002) Engineering Economist , vol.47 , Issue.2 , pp. 105-150
    • Miller, L.1    Park, C.S.2
  • 139
    • 85100643211 scopus 로고    scopus 로고
    • Reservoir engineering for geologists, Part 8a: Monte Carlo simulation/risk assessment
    • Mireault, R., and L. Dean. 2008a. Reservoir engineering for geologists, Part 8a: Monte Carlo simulation/risk assessment. Canadian Society of Petroleum Geologists Reservoir 35, no. 6: 26-28.
    • (2008) Canadian Society of Petroleum Geologists Reservoir , vol.35 , Issue.6 , pp. 26-28
    • Mireault, R.1    Dean, L.2
  • 140
    • 85100643211 scopus 로고    scopus 로고
    • Reservoir engineering for geologists, Part 8b: Monte Carlo simulation/risk assessment
    • Mireault, R., and L. Dean. 2008b. Reservoir engineering for geologists, Part 8b: Monte Carlo simulation/risk assessment. Canadian Society of Petroleum Geologists Reservoir 35, no. 7: 14-19.
    • (2008) Canadian Society of Petroleum Geologists Reservoir , vol.35 , Issue.7 , pp. 14-19
    • Mireault, R.1    Dean, L.2
  • 141
    • 85100643211 scopus 로고    scopus 로고
    • Reservoir engineering for geologists, Part 8c: Monte Carlo simulation/risk assessment
    • Mireault, R., and L. Dean. 2008c. Reservoir engineering for geologists, Part 8c: Monte Carlo simulation/risk assessment. Canadian Society of Petroleum Geologists Reservoir 35, no. 78: 24-28.
    • (2008) Canadian Society of Petroleum Geologists Reservoir , vol.35 , Issue.78 , pp. 24-28
    • Mireault, R.1    Dean, L.2
  • 142
    • 0032303389 scopus 로고    scopus 로고
    • Generating quasi-random paths for stochastic processes
    • Morokoff, W. J. 1998. Generating quasi-random paths for stochastic processes. SIAM Review 40, no. 4: 765-788.
    • (1998) SIAM Review , vol.40 , Issue.4 , pp. 765-788
    • Morokoff, W.J.1
  • 144
    • 0003099819 scopus 로고
    • Finance theory and financial strategy
    • January-February
    • Myers, S. C. 1984. Finance theory and financial strategy. Interfaces 14 (January-February): 126-137.
    • (1984) Interfaces , vol.14 , pp. 126-137
    • Myers, S.C.1
  • 147
    • 0002071152 scopus 로고
    • Low discrepancy and low dispersion sequences
    • Niederreiter, H. 1988. Low discrepancy and low dispersion sequences. Journal of Number Theory 30:51-70.
    • (1988) Journal of Number Theory , vol.30 , pp. 51-70
    • Niederreiter, H.1
  • 149
  • 150
    • 0032256235 scopus 로고    scopus 로고
    • Monte Carlo extension of quasi-Monte Carlo
    • ed. E. F. Watson, D. J. Medeiros, J. S. Carson, and M. S. Mannivannan, Piscataway, NJ: IEEE
    • Owen, A. B. 1998. Monte Carlo extension of quasi-Monte Carlo. In Proceedings of the Winter Simulation Conference, ed. E. F. Watson, D. J. Medeiros, J. S. Carson, and M. S. Mannivannan, 571-577. Piscataway, NJ: IEEE.
    • (1998) Proceedings of the Winter Simulation Conference , pp. 571-577
    • Owen, A.B.1
  • 151
    • 0001883611 scopus 로고
    • Pascal and the invention of probability theory
    • May
    • Ore, O. 1960. Pascal and the invention of probability theory. American Mathematical Monthly 67, no. 5 (May): 409-419.
    • (1960) American Mathematical Monthly , vol.67 , Issue.5 , pp. 409-419
    • Ore, O.1
  • 152
    • 85100679715 scopus 로고    scopus 로고
    • 3rd ed. June, online version September 2011, accessed 29 September 2011. An entry for this word was first included in New English Dictionary, 1909
    • Oxford English Dictionary, 3rd ed. June 2010; online version September 2011. http://oed.com/view/Entry/166306; accessed 29 September 2011. An entry for this word was first included in New English Dictionary, 1909.
    • (2010)
  • 156
    • 0004256568 scopus 로고
    • New York: Springer-Verlag
    • Pitman, J. Probability. New York: Springer-Verlag, 1993.
    • (1993) Probability.
    • Pitman, J.1
  • 161
    • 0034195444 scopus 로고    scopus 로고
    • Sustainable investment withdrawals
    • Summer
    • Pye, G. 2000. Sustainable investment withdrawals, Journal of Portfolio Management, Summer: 73-83.
    • (2000) Journal of Portfolio Management , pp. 73-83
    • Pye, G.1
  • 162
    • 0141530679 scopus 로고
    • Bortkiewicz’s data and the law of small numbers
    • Quine, M. P., and E. Seneta. 1987. Bortkiewicz’s data and the law of small numbers. International Statistical Review 55:173-181.
    • (1987) International Statistical Review , vol.55 , pp. 173-181
    • Quine, M.P.1    Seneta, E.2
  • 167
    • 0000314743 scopus 로고
    • Lifetime portfolio selection by dynamic stochastic programming
    • August
    • Samuelson, Paul A. 1969. Lifetime portfolio selection by dynamic stochastic programming. Review of Economics and Statistics 51, no. 3 (August): 239-246.
    • (1969) Review of Economics and Statistics , vol.51 , Issue.3 , pp. 239-246
    • Samuelson, P.A.1
  • 171
    • 0003316318 scopus 로고    scopus 로고
    • Options in the real world: Lessons learned in evaluating oil and gas investments
    • January/February
    • Smith, J. E., and K. F. McCardle. 1999. Options in the real world: Lessons learned in evaluating oil and gas investments. Operations Research 47, no. 1 (January/February): 1-15.
    • (1999) Operations Research , vol.47 , Issue.1 , pp. 1-15
    • Smith, J.E.1    McCardle, K.F.2
  • 172
    • 0023349730 scopus 로고
    • Large sample properties of simulations using Latin Hypercube sampling
    • Stein, M. 1987. Large sample properties of simulations using Latin Hypercube sampling. Technometrics 29:143-151.
    • (1987) Technometrics , vol.29 , pp. 143-151
    • Stein, M.1
  • 173
    • 84950622021 scopus 로고
    • EDF Statistics for Goodness of Fit and Some Comparisons
    • September
    • Stephens, M. A. 1979. EDF Statistics for Goodness of Fit and Some Comparisons. Journal of the American Statistical Association 69, no. 347 (September): 730-737.
    • (1979) Journal of the American Statistical Association , vol.69 , Issue.347 , pp. 730-737
    • Stephens, M.A.1
  • 174
    • 0001237510 scopus 로고
    • Asymptotic results for goodness of fit statistics with unknown parameters
    • March
    • Stephens, M. A. 1976. Asymptotic results for goodness of fit statistics with unknown parameters. The Annals of Statistics 4, no. 2 (March): 357-369.
    • (1976) The Annals of Statistics , vol.4 , Issue.2 , pp. 357-369
    • Stephens, M.A.1
  • 175
    • 0036071510 scopus 로고    scopus 로고
    • Expected shortfall and beyond
    • Tasche, D. 2002. Expected shortfall and beyond. Journal of Banking and Finance 26:1519-1533.
    • (2002) Journal of Banking and Finance , vol.26 , pp. 1519-1533
    • Tasche, D.1
  • 176
    • 0000832328 scopus 로고    scopus 로고
    • Options analysis of software platform decisions: A case study
    • June
    • Taudes, A., M. Feurstein, and A. Mild. 2000. Options analysis of software platform decisions: A case study. MIS Quarterly 24, no. 2 (June): 227-243.
    • (2000) MIS Quarterly , vol.24 , Issue.2 , pp. 227-243
    • Taudes, A.1    Feurstein, M.2    Mild, A.3
  • 177
    • 79953197143 scopus 로고    scopus 로고
    • The relation between portfolio composition and sustainable withdrawal rates
    • May
    • Terry, R. 2003. The relation between portfolio composition and sustainable withdrawal rates. Journal of Financial Planning, May: 64-78.
    • (2003) Journal of Financial Planning , pp. 64-78
    • Terry, R.1
  • 179
    • 0001433087 scopus 로고
    • Valuing American options in a path simulation model
    • Tilley, J. A. 1993. Valuing American options in a path simulation model. Transactions of the Society of Actuaries 45:83-104.
    • (1993) Transactions of the Society of Actuaries , vol.45 , pp. 83-104
    • Tilley, J.A.1
  • 183
    • 0036508482 scopus 로고    scopus 로고
    • Short-term generation asset valuation: A real options approach
    • March/April
    • Tseng, C. L., and G. Barz. 2002. Short-term generation asset valuation: A real options approach. Operations Research 50, no. 2 (March/April): 297-310.
    • (2002) Operations Research , vol.50 , Issue.2 , pp. 297-310
    • Tseng, C.L.1    Barz, G.2
  • 185
    • 0033731507 scopus 로고    scopus 로고
    • Conditional Value-at-Risk: Optimization algorithms and applications
    • February
    • Uryasev, S. 2000. Conditional Value-at-Risk: Optimization algorithms and applications. Financial Engineering News 14 (February).
    • (2000) Financial Engineering News , pp. 14
    • Uryasev, S.1
  • 187
    • 0032257707 scopus 로고    scopus 로고
    • Accelerated simulation for pricing Asian options
    • ed. D. J. Medeiros, E. F. Watson, C. J. S. and M. S. Mannivannan, 1493-1500, Piscataway, NJ: IEEE
    • Vézquez-Abad, F. J., and D. Dufresne. 1998. Accelerated simulation for pricing Asian options. In Proceedings of the Winter Simulation Conference, ed. D. J. Medeiros, E. F. Watson, C. J. S. and M. S. Mannivannan, 1493-1500, Piscataway, NJ: IEEE.
    • (1998) Proceedings of the Winter Simulation Conference
    • Vézquez-Abad, F.J.1    Dufresne, D.2
  • 191
    • 0034257393 scopus 로고    scopus 로고
    • Accounting information, capital investment decisions, and equity valuation: Theory and empirical implications
    • Zhang, G. 2000. Accounting information, capital investment decisions, and equity valuation: Theory and empirical implications. Journal of Accounting Research 38, no. 2: 271-295.
    • (2000) Journal of Accounting Research , vol.38 , Issue.2 , pp. 271-295
    • Zhang, G.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.