Jeremy Staum

SIAM J. Optim., 2018

Uniform convergence of sample Average Approximation with adaptive Multiple Importance Sampling.

[BibT_eX]

[DOI]

Proceedings of the 2018 Winter Simulation Conference, 2018

2017

Green Simulation: Reusing the Output of Repeated Experiments.

[BibT_eX]

[DOI]

Mingbin Feng

ACM Trans. Model. Comput. Simul., 2017

Multilevel Monte Carlo Metamodeling.

[BibT_eX]

[DOI]

Imry Rosenbaum

Oper. Res., 2017

2016

Moving Least Squares Regression for High-Dimensional Stochastic Simulation Metamodeling.

[BibT_eX]

[DOI]

Peter Salemi

ACM Trans. Model. Comput. Simul., 2016

Shapley Effects for Global Sensitivity Analysis: Theory and Computation.

[BibT_eX]

[DOI]

Eunhye Song

SIAM/ASA J. Uncertain. Quantification, 2016

2015

Database monte carlo for simulation on demand.

[BibT_eX]

[DOI]

Imry Rosenbaum

Proceedings of the 2015 Winter Simulation Conference, 2015

Green simulation designs for repeated experiments.

[BibT_eX]

[DOI]

Mingbin Feng

Proceedings of the 2015 Winter Simulation Conference, 2015

2014

Discrete optimization via simulation using gaussian markov random fields.

[BibT_eX]

[DOI]

Peter Salemi

Proceedings of the 2014 Winter Simulation Conference, 2014

2013

Excess invariance and shortfall risk measures.

[BibT_eX]

[DOI]

Oper. Res. Lett., 2013

2012

Moving least squares regression for high dimensional simulation metamodeling.

[BibT_eX]

[DOI]

Peter Salemi

Proceedings of the Winter Simulation Conference, 2012

2011

Efficient Nested Simulation for Estimating the Variance of a Conditional Expectation.

[BibT_eX]

[DOI]

Yunpeng Sun

Daniel W. Apley

Oper. Res., 2011

2010

Sensitivity analysis of the Eisenberg-Noe model of contagion.

[BibT_eX]

[DOI]

Oper. Res. Lett., 2010

A Confidence Interval Procedure for Expected Shortfall Risk Measurement via Two-Level Simulation.

[BibT_eX]

[DOI]

Hai Lan

Oper. Res., 2010

Stochastic Kriging for Simulation Metamodeling.

[BibT_eX]

[DOI]

Bruce E. Ankenman

Oper. Res., 2010

The influence of correlation functions on stochastic kriging metamodels.

[BibT_eX]

[DOI]

Wei Xie

Proceedings of the 2010 Winter Simulation Conference, 2010

An efficient simulation procedure for point estimation of expected shortfall.

[BibT_eX]

[DOI]

Proceedings of the 2010 Winter Simulation Conference, 2010

Simulation on demand for pricing many securities.

[BibT_eX]

[DOI]

Proceedings of the 2010 Winter Simulation Conference, 2010

2009

Better Simulation Metamodeling: The Why, What, and How of Stochastic Kriging.

[BibT_eX]

[DOI]

Proceedings of the 2009 Winter Simulation Conference, 2009

Estimating Expected Shortfall with Stochastic Kriging.

[BibT_eX]

[DOI]

Proceedings of the 2009 Winter Simulation Conference, 2009

2008

Response surface methodology for simulating hedging and trading strategies.

[BibT_eX]

[DOI]

R. Evren Baysal

Proceedings of the 2008 Winter Simulation Conference, Global Gateway to Discovery, 2008

2007

Simulation of Coherent Risk Measures Based on Generalized Scenarios.

[BibT_eX]

[DOI]

Manag. Sci., 2007

A confidence interval for tail conditional expectation via two-level simulation.

[BibT_eX]

[DOI]

Hai Lan

Proceedings of the Winter Simulation Conference, 2007

2006

Control variates for screening, selection, and estimation of the best.

[BibT_eX]

[DOI]

ACM Trans. Model. Comput. Simul., 2006

An adaptive procedure for estimating coherent risk measures based on generalized scenarios.

[BibT_eX]

[DOI]

Proceedings of the Winter Simulation Conference WSC 2006, 2006

2004

Simulation of Coherent Risk Measures.

[BibT_eX]

[DOI]

Proceedings of the 36th conference on Winter simulation, 2004

2003

Resource Allocation Among Simulation Time Steps.

[BibT_eX]

[DOI]

Paul Glasserman

Oper. Res., 2003

New simulation methodology for finance: work reduction in financial simulations.

[BibT_eX]

[DOI]

Samuel Ehrlichman

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.

[BibT_eX]

[DOI]

Proceedings of the 35th Winter Simulation Conference: Driving Innovation, 2003

2002

Simulation in financial engineering: simulation in financial engineering.

[BibT_eX]

[DOI]

Proceedings of the 34th Winter Simulation Conference: Exploring New Frontiers, 2002

2001

Conditioning on One-Step Survival for Barrier Option Simulations.

[BibT_eX]

[DOI]

Paul Glasserman

Oper. Res., 2001

Option pricing: simulation in financial engineering.

[BibT_eX]

[DOI]

Proceedings of the 33nd conference on Winter simulation, 2001

Simulation in financial engineering: stopping simulated paths early.

[BibT_eX]

[DOI]

Paul Glasserman