| Publication | Date of Publication | Type |
|---|
Real-time derivative pricing and hedging with consistent metamodels
INFORMS Journal on Computing | 2024-11-20 | Paper |
Technical note—Knowledge gradient for selection with covariates: Consistency and computation
Naval Research Logistics | 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
Naval Research Logistics | 2023-10-12 | Paper |
Solving Large-Scale Fixed-Budget Ranking and Selection Problems
INFORMS Journal on Computing | 2023-01-11 | Paper |
Robust Simulation with Likelihood-Ratio Constrained Input Uncertainty
INFORMS Journal on Computing | 2022-09-19 | Paper |
Speeding Up Paulson’s Procedure for Large-Scale Problems Using Parallel Computing
INFORMS Journal on Computing | 2022-06-28 | Paper |
Knockout-tournament procedures for large-scale ranking and selection in parallel computing environments
Operations Research | 2022-02-18 | Paper |
Online Risk Monitoring Using Offline Simulation
INFORMS Journal on Computing | 2021-01-07 | Paper |
On gamma estimation via matrix kriging
Naval Research Logistics | 2019-08-19 | Paper |
A framework for locally convergent random-search algorithms for discrete optimization via simulation
ACM Transactions on Modeling and Computer Simulation | 2018-06-12 | Paper |
Kernel smoothing for nested estimation with application to portfolio risk measurement
Operations Research | 2018-03-06 | Paper |
Gradient and Hessian of joint probability function with applications on chance-constrained programs
Journal of the Operations Research Society of China | 2018-01-12 | Paper |
Monte Carlo methods for value-at-risk and conditional value-at-risk: a review
ACM Transactions on Modeling and Computer Simulation | 2017-06-30 | Paper |
Conditional value-at-risk approximation to value-at-risk constrained programs: a remedy via Monte Carlo
INFORMS Journal on Computing | 2017-02-17 | Paper |
Indifference-Zone-Free Selection of the Best
Operations Research | 2017-01-26 | Paper |
Fully sequential procedures for large-scale ranking-and-selection problems in parallel computing environments
Operations Research | 2016-03-22 | Paper |
Chance constrained selection of the best
INFORMS Journal on Computing | 2016-01-25 | Paper |
Balancing Exploitation and Exploration in Discrete Optimization via Simulation Through a Gaussian Process-Based Search
Operations Research | 2015-08-28 | Paper |
Estimating sensitivities of portfolio credit risk using Monte Carlo
INFORMS Journal on Computing | 2015-01-26 | Paper |
Simulating sensitivities of conditional value at risk
Management Science | 2012-03-01 | Paper |
Sequential convex approximations to joint chance constrained programs: A Monte Carlo approach
Operations Research | 2012-01-26 | Paper |
Pathwise estimation of probability sensitivities through terminating or steady-state simulations
Operations Research | 2011-11-24 | Paper |
Kernel estimation of the Greeks for options with discontinuous payoffs
Operations Research | 2011-07-19 | Paper |
Speeding up COMPASS for high-dimensional discrete optimization via simulation
Operations Research Letters | 2010-12-23 | Paper |
Asymptotic representations for importance-sampling estimators of value-at-risk and conditional value-at-risk
Operations Research Letters | 2010-09-07 | Paper |
Kernel estimation of quantile sensitivities
Naval Research Logistics | 2010-03-09 | Paper |
Revisit of stochastic mesh method for pricing American options
Operations Research Letters | 2009-12-07 | Paper |
Discrete Optimization via Simulation Using COMPASS
Operations Research | 2009-08-13 | Paper |
A sequential procedure for neighborhood selection-of-the-best in optimization via simulation
European Journal of Operational Research | 2006-05-29 | Paper |
Review of Large-Scale Simulation Optimization
(available as arXiv preprint) | N/A | Paper |
