Jeremy Staum

According to our database1, Jeremy Staum authored at least 36 papers between 2001 and 2019.

Collaborative distances:
  • Dijkstra number2 of four.
  • Erdős number3 of four.

Timeline

Legend:

Book 
In proceedings 
Article 
PhD thesis 
Other 

Links

On csauthors.net:

Bibliography

2019
Gaussian Markov Random Fields for Discrete Optimization via Simulation: Framework and Algorithms.
Oper. Res., 2019

Generalized Integrated Brownian Fields for Simulation Metamodeling.
Oper. Res., 2019

2018
A Derivative-Free Trust-Region Algorithm for the Optimization of Functions Smoothed via Gaussian Convolution Using Adaptive Multiple Importance Sampling.
SIAM J. Optim., 2018

Uniform convergence of sample Average Approximation with adaptive Multiple Importance Sampling.
Proceedings of the 2018 Winter Simulation Conference, 2018

2017
Green Simulation: Reusing the Output of Repeated Experiments.
ACM Trans. Model. Comput. Simul., 2017

Multilevel Monte Carlo Metamodeling.
Oper. Res., 2017

2016
Moving Least Squares Regression for High-Dimensional Stochastic Simulation Metamodeling.
ACM Trans. Model. Comput. Simul., 2016

Shapley Effects for Global Sensitivity Analysis: Theory and Computation.
SIAM/ASA J. Uncertain. Quantification, 2016

Green simulation with database Monte Carlo.
Proceedings of the Winter Simulation Conference, WSC 2016, 2016

2015
Database monte carlo for simulation on demand.
Proceedings of the 2015 Winter Simulation Conference, 2015

Green simulation designs for repeated experiments.
Proceedings of the 2015 Winter Simulation Conference, 2015

2014
Discrete optimization via simulation using gaussian markov random fields.
Proceedings of the 2014 Winter Simulation Conference, 2014

2013
Excess invariance and shortfall risk measures.
Oper. Res. Lett., 2013

2012
Moving least squares regression for high dimensional simulation metamodeling.
Proceedings of the Winter Simulation Conference, 2012

2011
Efficient Nested Simulation for Estimating the Variance of a Conditional Expectation.
Oper. Res., 2011

2010
Sensitivity analysis of the Eisenberg-Noe model of contagion.
Oper. Res. Lett., 2010

A Confidence Interval Procedure for Expected Shortfall Risk Measurement via Two-Level Simulation.
Oper. Res., 2010

Stochastic Kriging for Simulation Metamodeling.
Oper. Res., 2010

The influence of correlation functions on stochastic kriging metamodels.
Proceedings of the 2010 Winter Simulation Conference, 2010

An efficient simulation procedure for point estimation of expected shortfall.
Proceedings of the 2010 Winter Simulation Conference, 2010

Simulation on demand for pricing many securities.
Proceedings of the 2010 Winter Simulation Conference, 2010

2009
Better Simulation Metamodeling: The Why, What, and How of Stochastic Kriging.
Proceedings of the 2009 Winter Simulation Conference, 2009

Estimating Expected Shortfall with Stochastic Kriging.
Proceedings of the 2009 Winter Simulation Conference, 2009

2008
Response surface methodology for simulating hedging and trading strategies.
Proceedings of the 2008 Winter Simulation Conference, Global Gateway to Discovery, 2008

2007
Simulation of Coherent Risk Measures Based on Generalized Scenarios.
Manag. Sci., 2007

A confidence interval for tail conditional expectation via two-level simulation.
Proceedings of the Winter Simulation Conference, WSC 2007, 2007

2006
Control variates for screening, selection, and estimation of the best.
ACM Trans. Model. Comput. Simul., 2006

An adaptive procedure for estimating coherent risk measures based on generalized scenarios.
Proceedings of the Winter Simulation Conference WSC 2006, 2006

2004
Simulation of Coherent Risk Measures.
Proceedings of the 36th conference on Winter simulation, 2004

2003
Resource Allocation Among Simulation Time Steps.
Oper. Res., 2003

New simulation methodology for finance: work reduction in financial simulations.
Proceedings of the 35th Winter Simulation Conference: Driving Innovation, 2003

State of the art tutorial II: simulations for financial engineering: efficient simulations for option pricing.
Proceedings of the 35th Winter Simulation Conference: Driving Innovation, 2003

2002
Simulation in financial engineering: simulation in financial engineering.
Proceedings of the 34th Winter Simulation Conference: Exploring New Frontiers, 2002

2001
Conditioning on One-Step Survival for Barrier Option Simulations.
Oper. Res., 2001

Option pricing: simulation in financial engineering.
Proceedings of the 33nd conference on Winter simulation, 2001

Simulation in financial engineering: stopping simulated paths early.
Proceedings of the 33nd conference on Winter simulation, 2001


  Loading...