| Publication | Date of Publication | Type |
|---|
Tail risk monotonicity in GARCH(1,1) models
International Journal of Theoretical and Applied Finance | 2024-11-27 | Paper |
| Buy rough, sell smooth | 2024-09-06 | Paper |
Maximum Entropy Distributions with Applications to Graph Simulation
Operations Research | 2024-03-12 | Paper |
Total positivity and relative convexity of option prices
Frontiers of Mathematical Finance | 2023-06-26 | Paper |
W-shaped implied volatility curves and the Gaussian mixture model
Quantitative Finance | 2023-06-20 | Paper |
Buy rough, sell smooth
Quantitative Finance | 2021-06-02 | Paper |
Estimating a covariance matrix for market risk management and the case of credit default swaps
Quantitative Finance | 2019-03-06 | Paper |
Market-triggered changes in capital structure: equilibrium price dynamics
Econometrica | 2019-01-31 | Paper |
Stress scenario selection by empirical likelihood
Quantitative Finance | 2018-09-19 | Paper |
Bounding wrong-way risk in CVA calculation
Mathematical Finance | 2018-04-13 | Paper |
Hidden illiquidity with multiple central counterparties
Operations Research | 2016-12-20 | Paper |
OR Forum—Design of Risk Weights
Operations Research | 2015-08-28 | Paper |
Gamma expansion of the Heston stochastic volatility model
Finance and Stochastics | 2014-12-17 | Paper |
Robust risk measurement and model risk
Quantitative Finance | 2014-09-05 | Paper |
| Portfolio rebalancing error with jumps and mean reversion in asset prices | 2014-07-21 | Paper |
Robust portfolio control with stochastic factor dynamics
Operations Research | 2014-06-26 | Paper |
Robust portfolio control with stochastic factor dynamics
Operations Research | 2014-06-26 | Paper |
Risk horizon and rebalancing horizon in portfolio risk measurement
Mathematical Finance | 2013-02-28 | Paper |
Quadratic transform approximation for CDO pricing in multifactor models
SIAM Journal on Financial Mathematics | 2013-01-25 | Paper |
Importance sampling for portfolio credit risk
Management Science | 2012-02-21 | Paper |
Variance Reduction Techniques for Estimating Value-at-Risk
Management Science | 2012-02-19 | Paper |
Sensitivity estimates from characteristic functions
Operations Research | 2011-11-17 | Paper |
Forward and future implied volatility
International Journal of Theoretical and Applied Finance | 2011-06-20 | Paper |
Moment explosions and stationary distributions in affine diffusion models
Mathematical Finance | 2010-03-12 | Paper |
Sensitivity estimates for compound sums
Monte Carlo and Quasi-Monte Carlo Methods 2008 | 2010-02-15 | Paper |
Fast Pricing of Basket Default Swaps
Operations Research | 2009-08-13 | Paper |
Fast Simulation of Multifactor Portfolio Credit Risk
Operations Research | 2009-08-13 | Paper |
Sensitivity estimates for portfolio credit derivatives using Monte Carlo
Finance and Stochastics | 2009-08-08 | Paper |
Saddlepoint approximations for affine jump-diffusion models
Journal of Economic Dynamics and Control | 2009-08-07 | 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 |
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 |
Malliavin Greeks without Malliavin calculus
Stochastic Processes and their Applications | 2007-12-17 | Paper |
Additive and multiplicative duals for American option pricing
Finance and Stochastics | 2007-12-16 | Paper |
LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK
Mathematical Finance | 2007-11-21 | Paper |
A conversation with Chris Heyde
Statistical Science | 2007-09-18 | Paper |
A conversation with Chris Heyde
Statistical Science | 2007-09-18 | Paper |
Estimating Derivatives Via Poisson's Equation
Probability in the Engineering and Informational Sciences | 2007-01-19 | Paper |
Optimal couplings are totally positive and more
Journal of Applied Probability | 2004-10-25 | Paper |
The Term Structure of Simple Forward Rates with Jump Risk
Mathematical Finance | 2004-08-23 | Paper |
Convergence of a discretization scheme for jump-diffusion processes with state–dependent intensities
Proceedings of the Royal Society of London. Series A: Mathematical and Physical Sciences | 2004-08-06 | Paper |
Numerical solution of jump-diffusion LIBOR market models
Finance and Stochastics | 2004-03-16 | Paper |
| scientific article; zbMATH DE number 1999206 (Why is no real title available?) | 2003-11-02 | Paper |
| Pricing American options by simulation using a stochastic mesh with optimized weights | 2003-07-13 | Paper |
Portfolio Value-at-Risk with Heavy-Tailed Risk Factors
Mathematical Finance | 2003-03-13 | Paper |
Discretization of deflated bond prices
Advances in Applied Probability | 2002-11-24 | Paper |
| Shortfall risk in long-term hedging with short-term futures contracts | 2002-10-21 | Paper |
| Monte Carlo methods for security pricing | 2002-08-25 | Paper |
Leadtime-inventory trade-offs in assemble-to-order systems
Operations Research | 2002-03-18 | Paper |
Multilevel splitting for estimating rare event probabilities
Operations Research | 2002-02-07 | Paper |
Asymptotically optimal importance sampling and stratification for pricing path-dependent options
Mathematical Finance | 2001-11-26 | Paper |
A continuity correction for discrete barrier options
Mathematical Finance | 2001-03-29 | Paper |
A large deviations perspective on the efficiency of multilevel splitting
IEEE Transactions on Automatic Control | 2000-10-17 | Paper |
| scientific article; zbMATH DE number 1501023 (Why is no real title available?) | 2000-09-04 | Paper |
Arbitrage-free discretization of lognormal forward Libor and swap rate models
Finance and Stochastics | 2000-05-24 | Paper |
Connecting discrete and continuous path-dependent options
Finance and Stochastics | 1999-09-14 | 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 |
Rare-Event Simulation for Multistage Production-Inventory Systems
Management Science | 1998-02-05 | Paper |
| scientific article; zbMATH DE number 1103058 (Why is no real title available?) | 1998-01-12 | Paper |
| scientific article; zbMATH DE number 1103062 (Why is no real title available?) | 1998-01-12 | Paper |
Bounds and Asymptotics for Planning Critical Safety Stocks
Operations Research | 1997-11-25 | Paper |
Estimating Security Price Derivatives Using Simulation
Management Science | 1997-11-12 | Paper |
Counterexamples in importance sampling for large deviations probabilities
The Annals of Applied Probability | 1997-10-28 | Paper |
| scientific article; zbMATH DE number 958672 (Why is no real title available?) | 1997-08-25 | Paper |
Allocating Production Capacity Among Multiple Products
Operations Research | 1997-07-23 | Paper |
Corrected Diffusion Approximations for a Multistage Production-Inventory System
Mathematics of Operations Research | 1997-06-09 | Paper |
Analysis of an importance sampling estimator for tandem queues
ACM Transactions on Modeling and Computer Simulation | 1996-07-15 | Paper |
Subadditivity and stability of a class of discrete-event systems
IEEE Transactions on Automatic Control | 1996-06-23 | Paper |
Structured buffer-allocation problems
Discrete Event Dynamic Systems | 1996-06-06 | Paper |
Stochastic vector difference equations with stationary coefficients
Journal of Applied Probability | 1996-05-28 | Paper |
Sensitivity Analysis for Base-Stock Levels in Multiechelon Production-Inventory Systems
Management Science | 1996-03-05 | Paper |
Limits of first passage times to rare sets in regenerative processes
The Annals of Applied Probability | 1996-01-15 | Paper |
| scientific article; zbMATH DE number 805057 (Why is no real title available?) | 1995-10-12 | Paper |
Hedging-point production control with multiple failure modes
IEEE Transactions on Automatic Control | 1995-08-06 | Paper |
The Stability of a Capacitated, Multi-Echelon Production-Inventory System Under a Base-Stock Policy
Operations Research | 1995-01-12 | Paper |
Monotone Optimal Control of Permutable GSMPs
Mathematics of Operations Research | 1994-11-21 | Paper |
Structural conditions for perturbation analysis of queueing systems
Journal of the ACM | 1994-08-21 | Paper |
Filtered Monte Carlo
Mathematics of Operations Research | 1994-01-23 | Paper |
Regenerative derivatives of regenerative sequences
Advances in Applied Probability | 1993-06-29 | Paper |
Stochastic monotonicity and conditional Monte Carlo for likelihood ratios
Advances in Applied Probability | 1993-06-29 | Paper |
Smoothing complements and randomized score functions
Annals of Operations Research | 1993-05-16 | Paper |
Stationary waiting time derivatives
Queueing Systems | 1993-04-01 | Paper |
Some Guidelines and Guarantees for Common Random Numbers
Management Science | 1993-01-16 | Paper |
Generalized Semi-Markov Processes: Antimatroid Structure and Second-Order Properties
Mathematics of Operations Research | 1993-01-16 | Paper |
Monotonicity in Generalized Semi-Markov Processes
Mathematics of Operations Research | 1993-01-16 | Paper |
Processes with associated increments
Journal of Applied Probability | 1993-01-16 | Paper |
Derivative Estimates from Simulation of Continuous-Time Markov Chains
Operations Research | 1992-09-27 | Paper |
| scientific article; zbMATH DE number 50675 (Why is no real title available?) | 1992-09-18 | Paper |
Structural Conditions for Perturbation Analysis Derivative Estimation: Finite-Time Performance Indices
Operations Research | 1992-06-28 | Paper |
Algebraic structure of some stochastic discrete event systems, with applications
Discrete Event Dynamic Systems | 1992-06-27 | Paper |
Time-changing and truncating K-capacity queues from one K to another
Journal of Applied Probability | 1992-06-26 | Paper |
The limiting value of derivative estimators based on perturbation analysis
Communications in Statistics. Stochastic Models | 1992-06-25 | Paper |
Smoothed perturbation analysis for a class of discrete-event systems
IEEE Transactions on Automatic Control | 1990-01-01 | Paper |
Discrete-time ``inversion and derivative estimation for Markov chains
Operations Research Letters | 1990-01-01 | Paper |
Infinitesimal perturbation analysis of birth and death process
Operations Research Letters | 1988-01-01 | Paper |
Sensitivity of sample values not generated by inversion
Journal of Optimization Theory and Applications | 1987-01-01 | Paper |
