Paul Glasserman

Enrique Lelo de Larrea

Oper. Res., 2023

Assessing Look-Ahead Bias in Stock Return Predictions Generated By GPT Sentiment Analysis.

[BibT_eX]

[DOI]

Caden Lin

CoRR, 2023

2022

Collateralized Networks.

[BibT_eX]

[DOI]

Samim Ghamami

H. Peyton Young

Manag. Sci., 2022

Should Bank Stress Tests Be Fair?

[BibT_eX]

[DOI]

Mike Li

CoRR, 2022

2021

Linear Classifiers Under Infinite Imbalance.

[BibT_eX]

[DOI]

Mike Li

CoRR, 2021

2020

Swing Pricing for Mutual Funds: Breaking the Feedback Loop Between Fire Sales and Fund Redemptions.

[BibT_eX]

[DOI]

Agostino Capponi

Marko H. Weber

Manag. Sci., 2020

Choosing news topics to explain stock market returns.

[BibT_eX]

[DOI]

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

2019

Submodular Risk Allocation.

[BibT_eX]

[DOI]

Samim Ghamami

Manag. Sci., 2019

2018

Persistence and Procyclicality in Margin Requirements.

[BibT_eX]

[DOI]

Qi Wu

Manag. Sci., 2018

Simulation of bipartite or Directed graphs with prescribed degree sequences using Maximum Entropy Probabilities.

[BibT_eX]

[DOI]

Enrique Lelo de Larrea

Proceedings of the 2018 Winter Simulation Conference, 2018

2016

Hidden Illiquidity with Multiple Central Counterparties.

[BibT_eX]

[DOI]

Ciamac C. Moallemi

Kai Yuan

Oper. Res., 2016

Preface to the Special Issue on Systemic Risk: Models and Mechanisms.

[BibT_eX]

[DOI]

Fernando Vega-Redondo

Oper. Res., 2016

2014

OR Forum - Design of Risk Weights.

[BibT_eX]

[DOI]

Wanmo Kang

Oper. Res., 2014

2013

Robust Portfolio Control with Stochastic Factor Dynamics.

[BibT_eX]

[DOI]

Xingbo Xu

Oper. Res., 2013

2012

Quadratic Transform Approximation for CDO Pricing in Multifactor Models.

[BibT_eX]

[DOI]

Sira Suchintabandid

SIAM J. Financial Math., 2012

Contingent Capital with a Capital-Ratio Trigger.

[BibT_eX]

[DOI]

Behzad Nouri

Manag. Sci., 2012

2011

Valuing the Treasury's Capital Assistance Program.

[BibT_eX]

[DOI]

Zhenyu Wang

Manag. Sci., 2011

Gamma expansion of the Heston stochastic volatility model.

[BibT_eX]

[DOI]

Kyoung-Kuk Kim

Finance Stochastics, 2011

2010

Sensitivity Estimates from Characteristic Functions.

[BibT_eX]

[DOI]

Zongjian Liu

Oper. Res., 2010

Importance sampling for tail risk in discretely rebalanced portfolios.

[BibT_eX]

[DOI]

Xingbo Xu

Proceedings of the 2010 Winter Simulation Conference, 2010

Contingent capital with discrete conversion from debt to equity.

[BibT_eX]

[DOI]

Behzad Nouri

Proceedings of the 2010 Winter Simulation Conference, 2010

2008

Uniformly Efficient Importance Sampling for the Tail Distribution of Sums of Random Variables.

[BibT_eX]

[DOI]

Sandeep Juneja

Math. Oper. Res., 2008

Fast Simulation of Multifactor Portfolio Credit Risk.

[BibT_eX]

[DOI]

Wanmo Kang

Oper. Res., 2008

Fast Pricing of Basket Default Swaps.

[BibT_eX]

[DOI]

Zhiyong Chen

Oper. Res., 2008

Sensitivity estimates for portfolio credit derivatives using Monte Carlo.

[BibT_eX]

[DOI]

Zhiyong Chen

Finance Stochastics, 2008

Beta approximations for bridge sampling.

[BibT_eX]

[DOI]

Kyoung-Kuk Kim

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

2007

Perwez Shahabuddin, 1962-2005: A professional appreciation.

[BibT_eX]

[DOI]

ACM Trans. Model. Comput. Simul., 2007

Additive and multiplicative duals for American option pricing.

[BibT_eX]

[DOI]

Nan Chen

Finance Stochastics, 2007

Approximations and control variates for pricing portfolio credit derivatives.

[BibT_eX]

[DOI]

Zhiyong Chen

Proceedings of the Winter Simulation Conference, 2007

Recent advances in simulation for security pricing (1995).

[BibT_eX]

[DOI]

Phelim Boyle

Proceedings of the Winter Simulation Conference, 2007

2005

Importance Sampling for Portfolio Credit Risk.

[BibT_eX]

[DOI]

Jingyi Li

Manag. Sci., 2005

Large Sample Properties of Weighted Monte Carlo Estimators.

[BibT_eX]

[DOI]

Bin Yu

Oper. Res., 2005

2004

Function-Approximation-Based Importance Sampling for Pricing American Options.

[BibT_eX]

[DOI]

Nomesh Bolia

Sandeep Juneja

Proceedings of the 36th conference on Winter simulation, 2004

2003

Resource Allocation Among Simulation Time Steps.

[BibT_eX]

[DOI]

Jeremy Staum

Oper. Res., 2003

Numerical solution of jump-diffusion LIBOR market models.

[BibT_eX]

[DOI]

Nicolas Merener

Finance Stochastics, 2003

New simulation methodology for risk analysis: importance sampling for a mixed Poisson model of portfolio credit risk.

[BibT_eX]

[DOI]

Jingyi Li

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

2001

Conditioning on One-Step Survival for Barrier Option Simulations.

[BibT_eX]

[DOI]

Jeremy Staum

Oper. Res., 2001

Simulation in financial engineering: stopping simulated paths early.

[BibT_eX]

[DOI]

Jeremy Staum

Proceedings of the 33nd conference on Winter simulation, 2001

2000

Arbitrage-free discretization of lognormal forward Libor and swap rate models.

[BibT_eX]

[DOI]

Xiaoliang Zhao

Finance Stochastics, 2000

Variance reduction techniques for value-at-risk with heavy-tailed risk factors.

[BibT_eX]

[DOI]

Proceedings of the 32nd conference on Winter simulation, 2000

Value-at-risk with heavy-tailed risk factors.

[BibT_eX]

[DOI]

Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on Computational Intelligence for Financial Engineering, 2000

1999

Fill-Rate Bottlenecks in Production-Inventory Networks.

[BibT_eX]

[DOI]

Yashan Wang

Manuf. Serv. Oper. Manag., 1999

Multilevel Splitting for Estimating Rare Event Probabilities.

[BibT_eX]

[DOI]

Oper. Res., 1999

Connecting discrete and continuous path-dependent options.

[BibT_eX]

[DOI]

Shing-Gang Kou

Finance Stochastics, 1999

Stratification issues in estimating value-at-risk.

[BibT_eX]

[DOI]

Proceedings of the 31st conference on Winter simulation: Simulation, 1999

1998

A large deviations perspective on the efficiency of multilevel splitting.

[BibT_eX]

[DOI]

IEEE Trans. Autom. Control., 1998

Leadtime-Inventory Trade-Offs in Assemble-to-Order Systems.

[BibT_eX]

[DOI]

Yashan Wang

Oper. Res., 1998

Gaussian Importance Sampling and Stratification: Computational Issues.

[BibT_eX]

[DOI]

Proceedings of the 30th conference on Winter simulation, 1998

1997

Corrected Diffusion Approximations for a Multistage Production-Inventory System.

[BibT_eX]

[DOI]

Tai-Wen Liu

Math. Oper. Res., 1997

Bounds and Asymptotics for Planning Critical Safety Stocks.

[BibT_eX]

[DOI]

Oper. Res., 1997

1996

Allocating Production Capacity Among Multiple Products.

[BibT_eX]

[DOI]

Oper. Res., 1996

Structured buffer-allocation problems.

[BibT_eX]

[DOI]

Discret. Event Dyn. Syst., 1996

Splitting for Rare Event Simulation: Analysis of Simple Cases.

[BibT_eX]

[DOI]

Proceedings of the 28th conference on Winter simulation, 1996

1995

Analysis of an Importance Sampling Estimator for Tandem Queues.

[BibT_eX]

[DOI]

Shing-Gang Kou

ACM Trans. Model. Comput. Simul., 1995

Subadditivity and stability of a class of discrete-event systems.

[BibT_eX]

[DOI]

IEEE Trans. Autom. Control., 1995

Hedging-point production control with multiple failure modes.

[BibT_eX]

[DOI]

IEEE Trans. Autom. Control., 1995

A Pruned and Bootstrapped American Option Simulator.

[BibT_eX]

[DOI]

Proceedings of the 27th conference on Winter simulation, 1995

Recent Advances in Simulation for Security Pricing.

[BibT_eX]

[DOI]

Phelim Boyle

Proceedings of the 27th conference on Winter simulation, 1995

1994

Monotone Optimal Control of Permutable GSMPs.

[BibT_eX]

[DOI]

Math. Oper. Res., 1994

The Stability of a Capacitated, Multi-Echelon Production-Inventory System Under a Base-Stock Policy.

[BibT_eX]

[DOI]

Sridhar R. Tayur

Oper. Res., 1994

1993

Filtered Monte Carlo.

[BibT_eX]

[DOI]

Math. Oper. Res., 1993

1992

Stationary waiting time derivatives.

[BibT_eX]

[DOI]

Queueing Syst. Theory Appl., 1992

Generalized Semi-Markov Processes: Antimatroid Structure and Second-Order Properties.

[BibT_eX]

[DOI]

Math. Oper. Res., 1992

Monotonicity in Generalized Semi-Markov Processes.

[BibT_eX]

[DOI]

Math. Oper. Res., 1992

Derivative Estimates from Simulation of Continuous-Time Markov Chains.

[BibT_eX]

[DOI]

Oper. Res., 1992

Smoothing complements and randomized score functions.

[BibT_eX]

[DOI]

Ann. Oper. Res., 1992

Correlation of Markov Chains Simulated in Parallel.

[BibT_eX]

[DOI]

Pirooz Vakili

Proceedings of the 24th Winter Simulation Conference, 1992

Gradient estimation for regenerative processes.

[BibT_eX]

[DOI]

Peter W. Glynn

Proceedings of the 24th Winter Simulation Conference, 1992

1991

Structural Conditions for Perturbation Analysis of Queuing Systems.

[BibT_eX]

[DOI]

J. ACM, 1991

Structural Conditions for Perturbation Analysis Derivative Estimation: Finite-Time Performance Indices.

[BibT_eX]

[DOI]

Oper. Res., 1991

Algebraic structure of some stochastic discrete event systems, with applications.

[BibT_eX]

[DOI]

Discret. Event Dyn. Syst., 1991

1989

Aggregation Approximations for Sensitivity Analysis of Multi-Class Queueing Networks.

[BibT_eX]

[DOI]

Yu-Chi Ho

Perform. Evaluation, 1989

Derivative estimates from discontinuous realizations: smoothing techniques.

[BibT_eX]

[DOI]

Wei-Bo Gong

Proceedings of the 21st Winter Simulation Conference, 1989

1988

Performance continuity and differentiability in Monte Carlo optimization.

[BibT_eX]

[DOI]