Kay Giesecke

According to our database, Kay Giesecke authored at least 35 papers between 2007 and 2025.

Collaborative distances:

• Dijkstra number of four.
• Erdős number of four.

2025

AICO: Feature Significance Tests for Supervised Learning.

Kay Giesecke, Enguerrand Horel, Chartsiri Jirachotkulthorn

CoRR, June, 2025

A Set-Sequence Model for Time Series.

Elliot L. Epstein, Apaar Sadhwani, Kay Giesecke

CoRR, May, 2025

2024

Call for Papers - <i>Management Science</i> Virtual Special Issue on Digital Finance.

Lin William Cong, Kay Giesecke, Cami Kuhnen

Manag. Sci., 2024

Call for Papers - <i>Management Science</i> Virtual Special Issue on AI for Finance and Business Decisions.

Baris Ata, Lin William Cong, Kay Giesecke, Peng Sun, Chung-Piaw Teo

Manag. Sci., 2024

2023

Advances in Blockchain and Crypto Economics.

Bruno Biais, Agostino Capponi, Lin William Cong, Vishal Gaur, Kay Giesecke

Manag. Sci., November, 2023

2022

Reducing Bias in Event Time Simulations via Measure Changes.

Kay Giesecke, Alexander D. Shkolnik

Math. Oper. Res., 2022

Introduction to the Special Section on Data-Driven Prescriptive Analytics.

Kay Giesecke, Gui Liberali, Hamid Nazerzadeh, J. George Shanthikumar, Chung-Piaw Teo

Manag. Sci., 2022

Computationally Efficient Feature Significance and Importance for Predictive Models.

Enguerrand Horel, Kay Giesecke

Proceedings of the 3rd ACM International Conference on AI in Finance, 2022

2021

Call for Papers - <i>Management Science</i> Special Issue on Blockchains and Crypto Economics.

Bruno Biais, Agostino Capponi, Lin William Cong, Vishal Gaur, Kay Giesecke

Manag. Sci., 2021

2020

Unbiased Simulation Estimators for Path Integrals of Diffusions.

Guanting Chen, Alexander D. Shkolnik, Kay Giesecke

Proceedings of the Winter Simulation Conference, 2020

Explainable clustering and application to wealth management compliance.

Enguerrand Horel, Kay Giesecke, Victor Storchan, Naren Chittar

Proceedings of the ICAIF '20: The First ACM International Conference on AI in Finance, 2020

2019

Dynamic Portfolio Execution.

Gerry Tsoukalas, Jiang Wang, Kay Giesecke

Manag. Sci., 2019

Risk Analysis for Large Pools of Loans.

Justin A. Sirignano, Kay Giesecke

Manag. Sci., 2019

Computationally Efficient Feature Significance and Importance for Machine Learning Models.

Enguerrand Horel, Kay Giesecke

CoRR, 2019

Towards Explainable AI: Significance Tests for Neural Networks.

Enguerrand Horel, Kay Giesecke

CoRR, 2019

Unbiased Simulation Estimators for Jump-Diffusions.

Guanting Chen, Alexander D. Shkolnik, Kay Giesecke

Proceedings of the 2019 Winter Simulation Conference, 2019

2018

Call for Papers - <i>Management Science</i> - Special Issue on Data-Driven Prescriptive Analytics.

Kay Giesecke, Gui Liberali, Hamid Nazerzadeh, J. George Shanthikumar, Chung-Piaw Teo

Manag. Sci., 2018

Sensitivity based Neural Networks Explanations.

Enguerrand Horel, Virgile Mison, Tao Xiong, Kay Giesecke, Lidia Mangu

CoRR, 2018

2016

Large-Scale Loan Portfolio Selection.

Justin A. Sirignano, Gerry Tsoukalas, Kay Giesecke

Oper. Res., 2016

2015

Affine Point Processes: Approximation and Efficient Simulation.

Xiaowei Zhang, Jose H. Blanchet, Kay Giesecke, Peter W. Glynn

Math. Oper. Res., 2015

2014

Optimal Credit Swap Portfolios.

Kay Giesecke, Baeho Kim, Jack Kim, Gerry Tsoukalas

Manag. Sci., 2014

2013

Exact Sampling of Jump Diffusions.

Kay Giesecke, Dmitry Smelov

Oper. Res., 2013

2012

Sequential Importance Sampling and Resampling for Dynamic Portfolio Credit Risk.

Shaojie Deng, Kay Giesecke, Tze Leung Lai

Oper. Res., 2012

2011

Monte Carlo Algorithms for Default Timing Problems.

Kay Giesecke, Baeho Kim, Shilin Zhu

Manag. Sci., 2011

Systemic Risk: What Defaults Are Telling Us.

Kay Giesecke, Baeho Kim

Manag. Sci., 2011

Exact Simulation of Point Processes with Stochastic Intensities.

Kay Giesecke, Hossein Kakavand, Mohammad Mousavi

Oper. Res., 2011

Risk Analysis of Collateralized Debt Obligations.

Kay Giesecke, Baeho Kim

Oper. Res., 2011

A Top-Down Approach to Multiname Credit.

Kay Giesecke, Lisa R. Goldberg, Xiaowei Ding

Oper. Res., 2011

2010

Exact and Efficient Simulation of Correlated Defaults.

Kay Giesecke, Hossein Kakavand, Mohammad Mousavi, Hideyuki Takada

SIAM J. Financial Math., 2010

Affine Point Processes and Portfolio Credit Risk.

Eymen Errais, Kay Giesecke, Lisa R. Goldberg

SIAM J. Financial Math., 2010

Importance sampling for indicator Markov chains.

Kay Giesecke, Alexander D. Shkolnik

Proceedings of the 2010 Winter Simulation Conference, 2010

2009

Time-Changed Birth Processes and Multiname Credit Derivatives.

Xiaowei Ding, Kay Giesecke, Pascal I. Tomecek

Oper. Res., 2009

Rare Event Simulation for a Generalized Hawkes Process.

Xiaowei Zhang, Peter W. Glynn, Kay Giesecke, Jose H. Blanchet

Proceedings of the 2009 Winter Simulation Conference, 2009

2008

Simulating point processes by intensity projection.

Kay Giesecke, Hossein Kakavand, Mohammad Mousavi

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

2007

Estimating tranche spreads by loss process simulation.

Kay Giesecke, Baeho Kim

Proceedings of the Winter Simulation Conference, 2007