| Publication | Date of Publication | Type |
|---|
| Path-ZVA: general, efficient, and automated importance sampling for highly reliable Markovian systems | 2024-08-06 | Paper |
| An introduction to financial mathematics | 2024-07-29 | Paper |
| 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 |
