Fast Discrete-Event Simulation of Markovian Queueing Networks through Euler Approximation.
CoRR, 2024
Fast Approximation to Discrete-Event Simulation of Markovian Queueing Networks.
Proceedings of the Winter Simulation Conference, 2023
Irreversible investment with random delay and partial prepayment.
Oper. Res. Lett., 2022
Computable Error Bounds of Laplace Inversion for Pricing Asian Options.
INFORMS J. Comput., 2018
Exact Simulation of the SABR Model.
Oper. Res., 2017
A General Framework for Pricing Asian Options Under Markov Processes.
Oper. Res., 2015