Kay Giesecke

According to our database1, Kay Giesecke authored at least 24 papers between 2007 and 2019.

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

Timeline

Legend:

Book 
In proceedings 
Article 
PhD thesis 
Other 

Links

On csauthors.net:

Bibliography

2019
Dynamic Portfolio Execution.
Manag. Sci., 2019

Risk Analysis for Large Pools of Loans.
Manag. Sci., 2019

Computationally Efficient Feature Significance and Importance for Machine Learning Models.
CoRR, 2019

Towards Explainable AI: Significance Tests for Neural Networks.
CoRR, 2019

Unbiased Simulation Estimators for Jump-Diffusions.
Proceedings of the 2019 Winter Simulation Conference, 2019

2018
Call for Papers - <i>Management Science</i> - Special Issue on Data-Driven Prescriptive Analytics.
Manag. Sci., 2018

Sensitivity based Neural Networks Explanations.
CoRR, 2018

2016
Large-Scale Loan Portfolio Selection.
Oper. Res., 2016

2015
Affine Point Processes: Approximation and Efficient Simulation.
Math. Oper. Res., 2015

2014
Optimal Credit Swap Portfolios.
Manag. Sci., 2014

2013
Exact Sampling of Jump Diffusions.
Oper. Res., 2013

2012
Sequential Importance Sampling and Resampling for Dynamic Portfolio Credit Risk.
Oper. Res., 2012

2011
Monte Carlo Algorithms for Default Timing Problems.
Manag. Sci., 2011

Systemic Risk: What Defaults Are Telling Us.
Manag. Sci., 2011

Exact Simulation of Point Processes with Stochastic Intensities.
Oper. Res., 2011

Risk Analysis of Collateralized Debt Obligations.
Oper. Res., 2011

A Top-Down Approach to Multiname Credit.
Oper. Res., 2011

2010
Exact and Efficient Simulation of Correlated Defaults.
SIAM J. Financial Math., 2010

Affine Point Processes and Portfolio Credit Risk.
SIAM J. Financial Math., 2010

Importance sampling for indicator Markov chains.
Proceedings of the 2010 Winter Simulation Conference, 2010

2009
Time-Changed Birth Processes and Multiname Credit Derivatives.
Oper. Res., 2009

Rare Event Simulation for a Generalized Hawkes Process.
Proceedings of the 2009 Winter Simulation Conference, 2009

2008
Simulating point processes by intensity projection.
Proceedings of the 2008 Winter Simulation Conference, Global Gateway to Discovery, 2008

2007
Estimating tranche spreads by loss process simulation.
Proceedings of the Winter Simulation Conference, WSC 2007, 2007


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