Jeremy Staum

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Bias-corrected estimation of the density of a conditional expectation in nested simulation problems ACM Transactions on Modeling and Computer Simulation	2024-08-08	Paper
Green Simulation ACM Transactions on Modeling and Computer Simulation	2023-07-21	Paper
Density Deconvolution With Additive Measurement Errors Using Quadratic Programming Journal of Computational and Graphical Statistics	2022-03-28	Paper
Generalized integrated Brownian fields for simulation metamodeling Operations Research	2020-10-20	Paper
Gaussian Markov random fields for discrete optimization via simulation: framework and algorithms Operations Research	2020-10-12	Paper
Control variates for screening, selection, and estimation of the best ACM Transactions on Modeling and Computer Simulation	2018-06-12	Paper
A derivative-free trust-region algorithm for the optimization of functions smoothed via Gaussian convolution using adaptive multiple importance sampling SIAM Journal on Optimization	2018-05-18	Paper
Multilevel Monte Carlo Metamodeling Operations Research	2017-09-26	Paper
Moving least squares regression for high-dimensional stochastic simulation metamodeling ACM Transactions on Modeling and Computer Simulation	2017-06-30	Paper
Shapley Effects for Global Sensitivity Analysis: Theory and Computation SIAM/ASA Journal on Uncertainty Quantification	2016-12-21	Paper
Estimating the density of a conditional expectation Electronic Journal of Statistics	2016-03-30	Paper
Systemic risk components and deposit insurance premia Quantitative Finance	2014-01-17	Paper
Excess invariance and shortfall risk measures Operations Research Letters	2013-06-24	Paper
Efficient nested simulation for estimating the variance of a conditional expectation Operations Research	2012-03-26	Paper
Stochastic kriging for simulation metamodeling Operations Research	2011-11-24	Paper
A confidence interval procedure for expected shortfall risk measurement via two-level simulation Operations Research	2011-11-24	Paper
Monte Carlo Computation in Finance Monte Carlo and Quasi-Monte Carlo Methods 2008	2010-02-15	Paper
Resource Allocation Among Simulation Time Steps Operations Research	2009-07-09	Paper
Conditioning on One-Step Survival for Barrier Option Simulations Operations Research	2009-07-03	Paper
Fundamental Theorems of Asset Pricing for Good Deal Bounds Mathematical Finance	2004-11-16	Paper

Research outcomes over time

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