Sandeep Juneja

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

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