We extend the basic theory of kriging, as applied to the design and analysis of deterministic computer experiments, to the stochastic simulation setting.Expand

We extend the basic theory of kriging, as applied to the design and analysis of deterministic computer experiments, to the stochastic simulation setting.Expand

Variance-based global sensitivity analysis decomposes the variance of the output of a computer model, resulting from uncertainty about the model's inputs, into variance components associated with each input's contribution.Expand

We prove fundamental theorems of asset pricing for good deal bounds in incomplete markets. These theorems relate arbitrage-freedom and uniqueness of prices for over-the-counter derivatives to… Expand

This paper develops variance reduction techniques that take advantage of the special structure of barrier options, and are appropriate for general simulation problems with similar structure.Expand

We construct an improved measure of skill among commodity trading advisors (CTAs) and hedge fund managers. The theoretical issues surrounding the possibility of internal leverage receive particular… Expand

An ANOVA-like estimator of the variance of the conditional expectation is unbiased under mild conditions, and we discuss the optimal number of inner-level samples to minimize this estimator's variance given a fixed computational budget.Expand

We propose procedures to form fixed-width, simulation-based confidence intervals for the maximum of several expectations, explore their correctness and computational efficiency, and illustrate them on risk-management problems.Expand

We develop and evaluate a two-level simulation procedure that produces a confidence interval for tail conditional expectation, otherwise known as conditional tail expectation.Expand