Ross (2015) proposed a recovery theorem which uses prices of contingent claims to recover market’s expectations about underlying asset returns. His work relies on two assumptions. He assumes all uncertainty of the economy follows a finite state irreducible Markov chain and that the pricing kernel is transition independent. We first...
Simulation analytics treats stochastic simulation as data analytics for systems that do not yet exist, and extends traditional performance estimation and system optimization to uncovering underlying patterns and the key drivers and dynamics of system behavior by retaining the sample paths generated throughout simulation runs. My dissertation addresses two research...
It is well documented that an individual’s ability to know who knows whom in their network has positive benefits in various facets of professional life. But people vary in their network acuity - that is, their ability to accurately assess who knows whom in their network. This poster seeks to...
Traditionally, simulation analysis has focused on designing a computationally efficient algorithm assuming a correct simulation model is given. As computation becomes cheaper, we are now able to perform more sophisticated simulation analyses involving extensive computation and consider all sources of errors in the simulation model and their effects to the...
As the title suggests, this dissertation is composed of three major topics. The first two are optimization problems focusing on developing effective solution methodologies, while for the last topic we present a large-scale information retrieval system in the domain of sports. With the algorithms and frameworks developed in this dissertation,...
We introduce and advocate a new paradigm in simulation experiment design and analysis, called ``green simulation,'' for the setting in which experiments are performed repeatedly with the same simulation model but different input parameters. In this dissertation three classes of green simulation estimators are proposed: the likelihood-ratio-based estimators, the metamodeling-based...