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Department seminar by Ben Feng, Northwestern UniversityExport this event to calendar

Wednesday, January 6, 2016 — 4:00 PM EST

Green Simulation: Reusing the Output of Simulation Experiment

In finance and insurance, simulations are often run repeatedly with different inputs. For example, in a simulation for risk management, the simulation model for valuing derivative securities is run many times with different macroeconomic conditions. We present a new concept of green simulation, which seeks to increase the computational efficiency of the current experiment by reusing simulation output generated during previous experiments. By reusing simulation outputs, green simulation views simulation output as scarce resource and turns the computational expense in an experiment into computation investment for future ones. We propose and examine two green simulation estimators for repeated experiments whose inputs are observations from an underlying stochastic process. Two types of convergence are shown for these green simulation estimators under different assumptions. As illustrated by two practical applications: catastrophe bond pricing and periodic credit risk evaluation, green simulation is both theoretically sound and practically useful.

Location 
M3 - Mathematics 3
3127

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