Simulation on demand for pricing many securities
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 an...
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| creator | Ming Liu Nelson, B L Staum, J |
| description | 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. |
| doi_str_mv | 10.1109/WSC.2010.5678973 |
| format | Conference Proceeding |
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| ispartof | Proceedings of the 2010 Winter Simulation Conference, 2010, p.2782-2789 |
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| language | eng |
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| source | IEEE Electronic Library (IEL) Conference Proceedings |
| subjects | Computational modeling Correlation Mathematical model Metamodeling Predictive models Security Stochastic processes |
| title | Simulation on demand for pricing many securities |
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