Wanmo Kang

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Unbiased Sensitivity Estimation of One-Dimensional Diffusion Processes Mathematics of Operations Research	2020-03-12	Paper
Stress scenario selection by empirical likelihood Quantitative Finance	2018-09-19	Paper
Exploiting regenerative structure to estimate finite time averages via simulation ACM Transactions on Modeling and Computer Simulation	2018-06-12	Paper
Exact simulation of the Wishart multidimensional stochastic volatility model Operations Research	2017-12-15	Paper
Information on jump sizes and hedging Stochastics	2016-06-10	Paper
Robustness of Order-Up-to Policies in Lost-Sales Inventory Systems Operations Research	2015-09-11	Paper
OR Forum—Design of Risk Weights Operations Research	2015-08-28	Paper
Large deviations for affine diffusion processes on \(\mathbb R_+^m \times\mathbb R^n\) Stochastic Processes and their Applications	2014-08-28	Paper
Transform formulae for linear functionals of affine processes and their bridges on positive semidefinite matrices Stochastic Processes and their Applications	2014-04-10	Paper
Denoising Monte Carlo sensitivity estimates Operations Research Letters	2012-08-17	Paper
Fast Simulation of Multifactor Portfolio Credit Risk Operations Research	2009-08-13	Paper
Optimization Problems in the Simulation of Multifactor Portfolio Credit Risk Computational Science and Its Applications - ICCSA 2006	2009-02-10	Paper
LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK Mathematical Finance	2007-11-21	Paper
Inverse conic programming with applications Operations Research Letters	2005-06-01	Paper

Research outcomes over time

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