L. Jeff Hong

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Person:614037

Available identifiers

zbMath Open hong.liu-jeffMaRDI QIDQ614037

List of research outcomes





PublicationDate of PublicationType
Real-time derivative pricing and hedging with consistent metamodels2024-11-20Paper
Technical note—Knowledge gradient for selection with covariates: Consistency and computation2023-10-18Paper
Technical note: <scp>Finite‐time</scp> regret analysis of <scp>Kiefer‐Wolfowitz</scp> stochastic approximation algorithm and nonparametric <scp>multi‐product</scp> dynamic pricing with unknown demand2023-10-12Paper
Solving Large-Scale Fixed-Budget Ranking and Selection Problems2023-01-11Paper
Robust Simulation with Likelihood-Ratio Constrained Input Uncertainty2022-09-19Paper
Speeding Up Paulson’s Procedure for Large-Scale Problems Using Parallel Computing2022-06-28Paper
Knockout-Tournament Procedures for Large-Scale Ranking and Selection in Parallel Computing Environments2022-02-18Paper
Online Risk Monitoring Using Offline Simulation2021-01-07Paper
On gamma estimation via matrix kriging2019-08-19Paper
A framework for locally convergent random-search algorithms for discrete optimization via simulation2018-06-12Paper
Kernel Smoothing for Nested Estimation with Application to Portfolio Risk Measurement2018-03-06Paper
Gradient and Hessian of joint probability function with applications on chance-constrained programs2018-01-12Paper
Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk2017-06-30Paper
Conditional Value-at-Risk Approximation to Value-at-Risk Constrained Programs: A Remedy via Monte Carlo2017-02-17Paper
Indifference-Zone-Free Selection of the Best2017-01-26Paper
Fully sequential procedures for large-scale ranking-and-selection problems in parallel computing environments2016-03-22Paper
Chance Constrained Selection of the Best2016-01-25Paper
Balancing Exploitation and Exploration in Discrete Optimization via Simulation Through a Gaussian Process-Based Search2015-08-28Paper
Estimating Sensitivities of Portfolio Credit Risk Using Monte Carlo2015-01-26Paper
Simulating Sensitivities of Conditional Value at Risk2012-03-01Paper
Sequential Convex Approximations to Joint Chance Constrained Programs: A Monte Carlo Approach2012-01-26Paper
Pathwise Estimation of Probability Sensitivities Through Terminating or Steady-State Simulations2011-11-24Paper
Kernel Estimation of the Greeks for Options with Discontinuous Payoffs2011-07-19Paper
Speeding up COMPASS for high-dimensional discrete optimization via simulation2010-12-23Paper
Asymptotic representations for importance-sampling estimators of value-at-risk and conditional value-at-risk2010-09-07Paper
Kernel estimation of quantile sensitivities2010-03-09Paper
Revisit of stochastic mesh method for pricing American options2009-12-07Paper
Discrete Optimization via Simulation Using COMPASS2009-08-13Paper
A sequential procedure for neighborhood selection-of-the-best in optimization via simulation2006-05-29Paper
Review of Large-Scale Simulation OptimizationN/APaper

Research outcomes over time

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