L. Jeff Hong

Available identifiers

zbMath Open hong.liu-jeffMaRDI QIDQ614037

List of research outcomes

Publication	Date of Publication	Type
Real-time derivative pricing and hedging with consistent metamodels	2024-11-20	Paper
Technical note—Knowledge gradient for selection with covariates: Consistency and computation	2023-10-18	Paper
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 demand	2023-10-12	Paper
Solving Large-Scale Fixed-Budget Ranking and Selection Problems	2023-01-11	Paper
Robust Simulation with Likelihood-Ratio Constrained Input Uncertainty	2022-09-19	Paper
Speeding Up Paulson’s Procedure for Large-Scale Problems Using Parallel Computing	2022-06-28	Paper
Knockout-Tournament Procedures for Large-Scale Ranking and Selection in Parallel Computing Environments	2022-02-18	Paper
Online Risk Monitoring Using Offline Simulation	2021-01-07	Paper
On gamma estimation via matrix kriging	2019-08-19	Paper
A framework for locally convergent random-search algorithms for discrete optimization via simulation	2018-06-12	Paper
Kernel Smoothing for Nested Estimation with Application to Portfolio Risk Measurement	2018-03-06	Paper
Gradient and Hessian of joint probability function with applications on chance-constrained programs	2018-01-12	Paper
Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk	2017-06-30	Paper
Conditional Value-at-Risk Approximation to Value-at-Risk Constrained Programs: A Remedy via Monte Carlo	2017-02-17	Paper
Indifference-Zone-Free Selection of the Best	2017-01-26	Paper
Fully sequential procedures for large-scale ranking-and-selection problems in parallel computing environments	2016-03-22	Paper
Chance Constrained Selection of the Best	2016-01-25	Paper
Balancing Exploitation and Exploration in Discrete Optimization via Simulation Through a Gaussian Process-Based Search	2015-08-28	Paper
Estimating Sensitivities of Portfolio Credit Risk Using Monte Carlo	2015-01-26	Paper
Simulating Sensitivities of Conditional Value at Risk	2012-03-01	Paper
Sequential Convex Approximations to Joint Chance Constrained Programs: A Monte Carlo Approach	2012-01-26	Paper
Pathwise Estimation of Probability Sensitivities Through Terminating or Steady-State Simulations	2011-11-24	Paper
Kernel Estimation of the Greeks for Options with Discontinuous Payoffs	2011-07-19	Paper
Speeding up COMPASS for high-dimensional discrete optimization via simulation	2010-12-23	Paper
Asymptotic representations for importance-sampling estimators of value-at-risk and conditional value-at-risk	2010-09-07	Paper
Kernel estimation of quantile sensitivities	2010-03-09	Paper
Revisit of stochastic mesh method for pricing American options	2009-12-07	Paper
Discrete Optimization via Simulation Using COMPASS	2009-08-13	Paper
A sequential procedure for neighborhood selection-of-the-best in optimization via simulation	2006-05-29	Paper
Review of Large-Scale Simulation Optimization	N/A	Paper

Research outcomes over time

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