{"435291":{"#nid":"435291","#data":{"type":"event","title":"ISyE Seminar Series - Paul Glasserman","body":[{"value":"\u003Cp\u003ETITLE:\u0026nbsp; Robust Monte Carlo\u003C\/p\u003E\u003Cp\u003EABSTRACT:\u003C\/p\u003E\u003Cp\u003ESimulation methodology has traditionally focused on measuring and reducing sampling error in simulating well-specified models; it has given less attention to quantifying the effect of model error or model uncertainty.\u0026nbsp; But simulation actually lends itself well to bounding this sort of model risk. In particular, if the set of alternative models consists of all models within a certain \u201cdistance\u201d of a baseline model, then the potential effect of model risk can be estimated at low cost within a simulation of the baseline model. I will illustrate this approach to making Monte Carlo robust with examples from finance, where concerns about model risk have received heightened attention. The problem of bounding \u201cwrong-way risk\u201d in\u0026nbsp; counterparty risk presents a related question in which model uncertainty is limited to the nature of the dependence between two otherwise certain marginal models for market and credit risk.\u0026nbsp; The effect of uncertain dependence can be bounded through convenient combinations of simulation with linear programming and\/or convex optimization. This talk is based on work with Xingbo Xu and Linan Yang.\u003C\/p\u003E\u003Cp\u003E\u0026nbsp; \u003Cbr \/\u003E\u003C\/p\u003E","summary":null,"format":"limited_html"}],"field_subtitle":"","field_summary":"","field_summary_sentence":[{"value":"ISyE Seminar Series - Paul Glasserman"}],"uid":"27187","created_gmt":"2015-08-17 15:47:20","changed_gmt":"2017-04-13 21:18:48","author":"Anita Race","boilerplate_text":"","field_publication":"","field_article_url":"","field_event_time":{"event_time_start":"2015-09-09T16:00:00-04:00","event_time_end":"2015-09-09T17:00:00-04:00","event_time_end_last":"2015-09-09T17:00:00-04:00","gmt_time_start":"2015-09-09 20:00:00","gmt_time_end":"2015-09-09 21:00:00","gmt_time_end_last":"2015-09-09 21:00:00","rrule":null,"timezone":"America\/New_York"},"extras":[],"groups":[{"id":"1242","name":"School of Industrial and Systems Engineering (ISYE)"}],"categories":[],"keywords":[],"core_research_areas":[],"news_room_topics":[],"event_categories":[{"id":"1795","name":"Seminar\/Lecture\/Colloquium"}],"invited_audience":[{"id":"78751","name":"Undergraduate students"},{"id":"78761","name":"Faculty\/Staff"},{"id":"174045","name":"Graduate students"}],"affiliations":[],"classification":[],"areas_of_expertise":[],"news_and_recent_appearances":[],"phone":[],"contact":[],"email":[],"slides":[],"orientation":[],"userdata":""}}}