| Publication | Date of Publication | Type |
|---|
| Optimal -correct best-arm selection for heavy-tailed distributions | 2025-02-19 | Paper |
Path-ZVA: general, efficient, and automated importance sampling for highly reliable Markovian systems
ACM Transactions on Modeling and Computer Simulation | 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
Advances in Applied Probability | 2021-10-12 | Paper |
American options under stochastic volatility: control variates, maturity randomization \& multiscale asymptotics
Quantitative Finance | 2021-07-16 | Paper |
Credit risk: simple closed-form approximate maximum likelihood estimator
Operations Research | 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
Operations Research Letters | 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
ACM Transactions on Modeling and Computer Simulation | 2018-06-12 | Paper |
Combining importance sampling and temporal difference control variates to simulate Markov Chains
ACM Transactions on Modeling and Computer Simulation | 2018-06-12 | Paper |
Efficient simulation of buffer overflow probabilities in Jackson networks with feedback
ACM Transactions on Modeling and Computer Simulation | 2018-06-12 | Paper |
Asymptotics and fast simulation for tail probabilities of maximum of sums of few random variables
ACM Transactions on Modeling and Computer Simulation | 2018-06-12 | Paper |
Asymptotic simulation efficiency based on large deviations
ACM Transactions on Modeling and Computer Simulation | 2018-04-16 | Paper |
Kernel smoothing for nested estimation with application to portfolio risk measurement
Operations Research | 2018-03-06 | Paper |
Regenerative Simulation for Queueing Networks with Exponential or Heavier Tail Arrival Distributions
ACM Transactions on Modeling and Computer Simulation | 2017-06-30 | Paper |
Rejection and Importance Sampling based Perfect Simulation for Gibbs hard-sphere models
(available as arXiv preprint) | 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
International Game Theory Review | 2015-05-20 | Paper |
State-independent importance sampling for random walks with regularly varying increments
(available as arXiv preprint) | 2015-04-23 | 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
International Game Theory Review | 2015-04-01 | Paper |
Estimating sensitivities of portfolio credit risk using Monte Carlo
INFORMS Journal on Computing | 2015-01-26 | Paper |
Overlap problems on the circle
Advances in Applied Probability | 2013-10-23 | Paper |
Efficient simulation of large deviation events for sums of random vectors using saddle-point representations
Journal of Applied Probability | 2013-10-17 | Paper |
Efficient simulation of large deviation events for sums of random vectors using saddle-point representations
Journal of Applied Probability | 2013-10-17 | Paper |
The concert queueing game: strategic arrivals with waiting and tardiness costs
Queueing Systems | 2013-09-09 | Paper |
Efficient simulation of tail probabilities of sums of correlated lognormals
Annals of Operations Research | 2012-03-08 | Paper |
Nested simulation in portfolio risk measurement
Management Science | 2012-02-27 | Paper |
Fast simulation of Markov chains with small transition probabilities
Management Science | 2012-02-19 | Paper |
The concert queueing game: to wait or to be late
Discrete Event Dynamic Systems | 2011-03-30 | Paper |
Variance reduction techniques for pricing American options using function approximations
The Journal of Computational Finance | 2009-11-10 | Paper |
Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation
Operations Research | 2009-08-13 | Paper |
Adaptive Importance Sampling Technique for Markov Chains Using Stochastic Approximation
Operations Research | 2009-08-13 | Paper |
Importance Sampling and the Cyclic Approach
Operations Research | 2009-07-03 | Paper |
Perwez Shahabuddin, 1962--2005
ACM Transactions on Modeling and Computer Simulation | 2008-12-21 | Paper |
Uniformly Efficient Importance Sampling for the Tail Distribution of Sums of Random Variables
Mathematics of Operations Research | 2008-05-27 | Paper |
Estimating tail probabilities of heavy tailed distributions with asymptotically zero relative error
Queueing Systems | 2008-01-07 | Paper |
On the inefficiency of state-independent importance sampling in the presence of heavy tails
Operations Research Letters | 2007-08-27 | Paper |
Performance analysis conditioned on rare events: an adaptive simulation scheme
Communications in Information and Systems | 2006-03-16 | Paper |
Monte Carlo methods for pricing financial options
Sādhanā | 2005-11-08 | Paper |
| scientific article; zbMATH DE number 2080881 (Why is no real title available?) | 2004-08-04 | Paper |
