This paper presents a method for test scenario generation based on formal specifications and usage profiles. It is a major component of a framework for testing object-oriented programs. In this framework, the requirements of a software system are formally specified. The anticipated application of the system is expressed in a usage profile, which is a state model that indicates the dynamic behav...

The Geometric Brownian motion (GBM) is a standard method for modeling financial time series. An important criticism of this method is that the parameters of the GBM are assumed to be constants; due to this fact, GBM has been considered unable to properly capture important features, like extreme behaviour or volatility clustering. We propose an approach by which, the parameters of the GBM follow...

Scenarios, in most situations, are descriptions of required interactions between a desired system and its environment which detail normative system behaviour. There is considerable current interest in the use of scenarios for acquisition, elaboration and validation of system requirements. However, despite this interest, there remains a lack of methods and software tools to generate and use scen...

We provide a new approach to scenario generation for the purpose of risk management in the banking industry. We connect ideas from standard techniques – like historical and Monte Carlo simulation – to a hybrid technique that shares the advantages of standard procedures but reduces several of their drawbacks. Instead of considering the static problem of constructing one or ten day ahead distribu...

This paper presents a natural language processing based automated system for generating UML diagrams after analyzing the given business scenario. A new model is presented for analyzing the natural languages and extracting the relative and required information from the given storyline by the user. User writes the requirements in simple English in a few paragraphs and the designed system has cons...

We consider the global optimization of two problems arising from financial applications. The first problem originates from the portfolio selection problem when high-order moments are taken into account. The second issue we address is the problem of scenario generation. Both problems are non-convex, large-scale, and highly relevant in financial engineering. For the two problems we consider, we a...

Multistage stochastic programs are effective for solving long-term planning problems under uncertainty. Such programs are usually based on a scenario model of future environment developments. A good approximation of the underlying stochastic process may involve a very large number of scenarios and their probabilities. We discuss the case when enough data paths can be generated, but due to solva...

Scenario planning is a commonly used method that various organizations use to develop their long term plans. Scenario planning for risk management puts an added emphasis on identifying the extreme yet possible risks that are not usually considered in daily operations. While a variety of methods and tools have been proposed for this purpose, we show that formulating an AI planning problem, and a...

CREWS-SAVRE is a prototype software tool for systematic scenario generation and use. This paper reports on two interleaved strands of research and development of CREWS-SAVRE. The first is theoretical research into classes of exceptions in software-intensive systems. The second is the development of a software prototype which has been used to acquire requirements from current scenario users. Thi...