TY - GEN
T1 - Simulation on demand for pricing many securities
AU - Liu, Ming
AU - Nelson, Barry L.
AU - Staum, Jeremy
PY - 2010/12/1
Y1 - 2010/12/1
N2 - We develop a sequential experiment design procedure to construct multiple metamodels based on a single stochastic simulation model. We apply the procedure to approximate many securities' prices as functions of a financial scenario. We propose a cross-validation method that adds design points and simulation effort at the design points to target all metamodels' relative prediction errors. To improve the expected quality of the metamodels given randomness of the scenario that is an input to the simulation model, we also propose a way to choose design points so that the scenario is likely to fall inside their convex hull.
AB - We develop a sequential experiment design procedure to construct multiple metamodels based on a single stochastic simulation model. We apply the procedure to approximate many securities' prices as functions of a financial scenario. We propose a cross-validation method that adds design points and simulation effort at the design points to target all metamodels' relative prediction errors. To improve the expected quality of the metamodels given randomness of the scenario that is an input to the simulation model, we also propose a way to choose design points so that the scenario is likely to fall inside their convex hull.
KW - USA
UR - http://www.scopus.com/inward/record.url?scp=79951626085&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=79951626085&partnerID=8YFLogxK
U2 - 10.1109/WSC.2010.5678973
DO - 10.1109/WSC.2010.5678973
M3 - Conference contribution
AN - SCOPUS:79951626085
SN - 9781424498666
T3 - Proceedings - Winter Simulation Conference
SP - 2782
EP - 2789
BT - Proceedings of the 2010 Winter Simulation Conference, WSC'10
T2 - 2010 43rd Winter Simulation Conference, WSC'10
Y2 - 5 December 2010 through 8 December 2010
ER -