Simulation on demand for pricing many securities

Ming Liu*, Barry L. Nelson, Jeremy Staum

*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceedingConference contribution

4 Scopus citations

Abstract

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.

Original languageEnglish (US)
Title of host publicationProceedings of the 2010 Winter Simulation Conference, WSC'10
Pages2782-2789
Number of pages8
DOIs
StatePublished - Dec 1 2010
Event2010 43rd Winter Simulation Conference, WSC'10 - Baltimore, MD, United States
Duration: Dec 5 2010Dec 8 2010

Publication series

NameProceedings - Winter Simulation Conference
ISSN (Print)0891-7736

Other

Other2010 43rd Winter Simulation Conference, WSC'10
CountryUnited States
CityBaltimore, MD
Period12/5/1012/8/10

Keywords

  • USA

ASJC Scopus subject areas

  • Software
  • Modeling and Simulation
  • Computer Science Applications

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