Wanmo Kang

Available identifiers

Publication	Date of Publication	Type
Unbiased Sensitivity Estimation of One-Dimensional Diffusion Processes	2020-03-12	Paper
Stress scenario selection by empirical likelihood	2018-09-19	Paper
Exploiting regenerative structure to estimate finite time averages via simulation	2018-06-12	Paper
Transform formulae for linear functionals of affine processes and their bridges on positive semidefinite matrices	2017-12-15	Paper
Information on jump sizes and hedging	2016-06-10	Paper
Robustness of Order-Up-to Policies in Lost-Sales Inventory Systems	2015-09-11	Paper
OR Forum—Design of Risk Weights	2015-08-28	Paper
Large deviations for affine diffusion processes on \(\mathbb R_+^m \times\mathbb R^n\)	2014-08-28	Paper
Transform formulae for linear functionals of affine processes and their bridges on positive semidefinite matrices	2014-04-10	Paper
Denoising Monte Carlo sensitivity estimates	2012-08-17	Paper
Fast Simulation of Multifactor Portfolio Credit Risk	2009-08-13	Paper
Optimization Problems in the Simulation of Multifactor Portfolio Credit Risk	2009-02-10	Paper
LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK	2007-11-21	Paper
Inverse conic programming with applications	2005-06-01	Paper

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