Searching for authors named "Perwez Shahabuddin" – sorted by Relevance.
19 documents found, showing 1 through 10.
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FAST SIMULATION FOR MULTIFACTOR PORTFOLIO CREDIT RISK IN THE t-COPULA MODEL
- … model in Glasserman, Kang, and Shahabuddin (2005a), we devise and apply a change of measure to the chi…
- Cited by 5 (2 self) – Add To MetaCart
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Simulating Heavy Tailed Processes using Delayed Hazard Rate Twisting
- …@(email omitted); Perwez Shahabuddin Dept. of Industrial Engg. & Operations Research Columbia University New York, NY 10027…
- Cited by 7 (1 self) – Add To MetaCart
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Fast Simulation of Packet Loss Rates in a Shared Buffer Communications Switch
- …, Virginia 23665 Perwez Shahabuddin IBM T.J. Watson Research Center P.O. Box 704 Yorktown Heights, New York…
- Cited by 16 (1 self) – Add To MetaCart
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Importance Sampling in the Heath-Jarrow-Morton Framework
- … Research Center Yorktown Heights, NY 10598 January 1999 Abstract Perwez Shahabuddin IEOR Department…
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Importance Sampling and Stratification for Value-at-Risk
- …, Perwez Shahabuddin Abstract This paper proposes and evaluates variance reduction techniques for e…
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Likelihood Ratio Derivative Estimation for Finite-Time Performance Measures in Generalized Semi-Markov Processes
- … of Technology Newark, NJ 07102 Perwez Shahabuddin Department of Industrial Engineering and Operations Research…
- Cited by 1 (0 self) – Add To MetaCart
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Stratification issues in estimating value-at-risk
- … Perwez Shahabuddin IEOR Department Columbia University New York, New York 10027 IBM Research Division…
- Cited by 1 (1 self) – Add To MetaCart
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Effective Bandwidth and Fast Simulation of ATM Intree Networks
- … Heidelberger Sandeep Juneja z Perwez Shahabuddin IBM Research Division T.J. Watson Research Center P.O. Box…
- Cited by 44 (13 self) – Add To MetaCart
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Multilevel Splitting for Estimating Rare Event Probabilities
- … Perwez Shahabuddin Columbia University New York, NY 10027 1 Motivation The estimation of rare event…
- Cited by 25 (2 self) – Add To MetaCart
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Variance reduction techniques for estimating Value-at-Risk
- … Heights, NY 10598 Perwez Shahabuddin IEOR Department Columbia University New York, New York 10027 IBM…
- Cited by 12 (6 self) – Add To MetaCart
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