| Publication | Date of Publication | Type |
|---|
Practical Nonparametric Sampling Strategies for Quantile-Based Ordinal Optimization
INFORMS Journal on Computing | 2022-06-30 | Paper |
Tractable sampling strategies for ordinal optimization
Operations Research | 2020-11-08 | Paper |
Numerical solutions to dynamic portfolio problems with upper bounds
Computational Management Science | 2018-10-10 | Paper |
High-dimensional portfolio optimization with transaction costs
International Journal of Theoretical and Applied Finance | 2016-06-22 | Paper |
Risk estimation via regression
Operations Research | 2016-03-22 | Paper |
Multidimensional stochastic approximation
ACM Transactions on Modeling and Computer Simulation | 2015-03-05 | Paper |
General bounds and finite-time improvement for the Kiefer-Wolfowitz stochastic approximation algorithm
Operations Research | 2012-03-26 | Paper |
Application of the fast Gauss transform to option pricing
Management Science | 2012-02-19 | Paper |
Efficient risk estimation via nested sequential simulation
Management Science | 2011-08-09 | Paper |
MANAGING CORPORATE LIQUIDITY: STRATEGIES AND PRICING IMPLICATIONS
International Journal of Theoretical and Applied Finance | 2011-06-20 | Paper |
Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
Operations Research | 2009-08-13 | Paper |
A Double-Exponential Fast Gauss Transform Algorithm for Pricing Discrete Path-Dependent Options
Operations Research | 2009-07-18 | Paper |
THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
International Journal of Theoretical and Applied Finance | 2009-04-21 | Paper |
Improved lower and upper bound algorithms for pricing American options by simulation
Quantitative Finance | 2009-02-23 | Paper |
| Pricing American options by simulation using a stochastic mesh with optimized weights | 2003-07-13 | Paper |
| Monte Carlo methods for security pricing | 2002-08-25 | Paper |
A continuity correction for discrete barrier options
Mathematical Finance | 2001-03-29 | Paper |
Nonparametric estimation of American options' exercise boundaries and call prices
Journal of Economic Dynamics and Control | 2000-10-26 | Paper |
American options with stochastic dividends and volatility: a nonparametric investigation
Journal of Econometrics | 2000-03-19 | Paper |
Connecting discrete and continuous path-dependent options
Finance and Stochastics | 1999-09-14 | Paper |
| scientific article; zbMATH DE number 1284287 (Why is no real title available?) | 1999-07-19 | Paper |
| scientific article; zbMATH DE number 1069618 (Why is no real title available?) | 1998-11-01 | Paper |
Monte Carlo methods for security pricing
Journal of Economic Dynamics and Control | 1998-07-22 | Paper |
Pricing American-style securities using simulation
Journal of Economic Dynamics and Control | 1998-07-22 | Paper |
| scientific article; zbMATH DE number 1103058 (Why is no real title available?) | 1998-01-12 | Paper |
Estimating Security Price Derivatives Using Simulation
Management Science | 1997-11-12 | Paper |
The Valuation of American Options on Multiple Assets
Mathematical Finance | 1997-09-18 | Paper |
Computing efficient frontiers using estimated parameters
Annals of Operations Research | 1994-01-26 | Paper |
A variable rate refining triangulation
Mathematical Programming | 1987-01-01 | Paper |
A theorem about antiprisms
Linear Algebra and its Applications | 1985-01-01 | Paper |
An introduction to the octahedral algorithm for the computation of economic equilibria
Mathematical Programming Studies | 1985-01-01 | Paper |
A note on triangulating the 5-cube
Discrete Mathematics | 1984-01-01 | Paper |
