Simulation research derives new methods for the design, analysis, and optimization of simulation experiments. Research on stochastic models develops and analyzes models of systems with random behavior ...

Fundamental concepts of probability theory; modeling and analysis of systems having random dynamics, and in particular, queueing systems. Homework, exams and problem-solving sessions. This course is a ...

Stochastic modelling is the development of mathematical models for non-deterministic physical systems, which can adopt many possible behaviours starting from any given initial condition.

The stochastic alpha beta rho model is a stochastic volatility model for forward prices commonly used in the modelling of interest rate derivatives. The alpha, beta and rho in the name are parameters ...