Person:364613

Available identifiers

zbMath Open juneja.sandeepMaRDI QIDQ364613

List of research outcomes

Publication	Date of Publication	Type
Rejection- and importance-sampling-based perfect simulation for Gibbs hard-sphere models	2021-10-12	Paper
American options under stochastic volatility: control variates, maturity randomization & multiscale asymptotics	2021-07-16	Paper
Credit Risk: Simple Closed-Form Approximate Maximum Likelihood Estimator	2021-06-17	Paper
Discriminative Learning via Adaptive Questioning	2020-04-11	Paper
Optimal $\delta$-Correct Best-Arm Selection for Heavy-Tailed Distributions	2019-08-24	Paper
Unbiased Estimation of the Reciprocal Mean for Non-negative Random Variables	2019-07-03	Paper
Incorporating views on marginal distributions in the calibration of risk models	2018-09-28	Paper
Random Fixed Points, Limits and Systemic risk	2018-09-13	Paper
Path-ZVA: general, efficient and automated importance sampling for highly reliable Markovian systems	2018-06-28	Paper
Simulating heavy tailed processes using delayed hazard rate twisting	2018-06-12	Paper
Combining importance sampling and temporal difference control variates to simulate Markov Chains	2018-06-12	Paper
Efficient simulation of buffer overflow probabilities in jackson networks with feedback	2018-06-12	Paper
Asymptotics and fast simulation for tail probabilities of maximum of sums of few random variables	2018-06-12	Paper
Asymptotic Simulation Efficiency Based on Large Deviations	2018-04-16	Paper
Kernel Smoothing for Nested Estimation with Application to Portfolio Risk Measurement	2018-03-06	Paper
Regenerative Simulation for Queueing Networks with Exponential or Heavier Tail Arrival Distributions	2017-06-30	Paper
Rejection and Importance Sampling based Perfect Simulation for Gibbs hard-sphere models	2017-04-29	Paper
Exact and efficient simulation of tail probabilities of heavy-tailed infinite series	2016-09-06	Paper
Selecting the best system and multi-armed bandits	2015-07-16	Paper
The Concert Queueing Game: Fluid Regime with Random Order Service	2015-05-20	Paper
State-independent Importance Sampling for Random Walks with Regularly Varying Increments	2015-04-23	Paper
Nearest Neighbor Based Estimation Technique for Pricing Bermudan Options	2015-04-01	Paper
Estimating Sensitivities of Portfolio Credit Risk Using Monte Carlo	2015-01-26	Paper
Overlap Problems on the Circle	2013-10-23	Paper
Efficient Simulation of Large Deviation Events for Sums of Random Vectors Using Saddle-Point Representations	2013-10-17	Paper
The concert queueing game: strategic arrivals with waiting and tardiness costs	2013-09-09	Paper
Efficient simulation of tail probabilities of sums of correlated lognormals	2012-03-08	Paper
Nested Simulation in Portfolio Risk Measurement	2012-02-27	Paper
Fast Simulation of Markov Chains with Small Transition Probabilities	2012-02-19	Paper
The concert queueing game: to wait or to be late	2011-03-30	Paper
Variance reduction techniques for pricing American options using function approximations	2009-11-10	Paper
Adaptive Importance Sampling Technique for Markov Chains Using Stochastic Approximation	2009-08-13	Paper
Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation	2009-08-13	Paper
Importance Sampling and the Cyclic Approach	2009-07-03	Paper
Perwez Shahabuddin, 1962--2005	2008-12-21	Paper
Uniformly Efficient Importance Sampling for the Tail Distribution of Sums of Random Variables	2008-05-27	Paper
Estimating tail probabilities of heavy tailed distributions with asymptotically zero relative error	2008-01-07	Paper
On the inefficiency of state-independent importance sampling in the presence of heavy tails	2007-08-27	Paper
Performance analysis conditioned on rare events: an adaptive simulation scheme	2006-03-16	Paper
Monte Carlo methods for pricing financial options	2005-11-08	Paper
https://portal.mardi4nfdi.de/entity/Q4473930	2004-08-04	Paper

Research outcomes over time

Doctoral students

No records found.

Known relations from the MaRDI Knowledge Graph

Property	Value
MaRDI profile type	MaRDI person profile
instance of	human

This page was built for person: Sandeep Juneja