Jeremy Staum

41 papers Misc 23Journal 18
YearRankTypeTitle / Venue / Authors
2021 J jnl
Bias-corrected Estimation of the Density of a Conditional Expectation in Nested Simulation Problems.
ACM Trans. Model. Comput. Simul.
Ran Yang, David Kent, Daniel W. Apley, Jeremy Staum, David Ruppert
2021 J jnl
Green Simulation with Database Monte Carlo.
ACM Trans. Model. Comput. Simul.
Mingbin Feng, Jeremy Staum
2019 J jnl
Gaussian Markov Random Fields for Discrete Optimization via Simulation: Framework and Algorithms.
Oper. Res.
Peter L. Salemi, Eunhye Song, Barry L. Nelson, Jeremy Staum
2019 J jnl
Generalized Integrated Brownian Fields for Simulation Metamodeling.
Oper. Res.
Peter Salemi, Jeremy Staum, Barry L. Nelson
2018 J jnl
A Derivative-Free Trust-Region Algorithm for the Optimization of Functions Smoothed via Gaussian Convolution Using Adaptive Multiple Importance Sampling.
SIAM J. Optim.
Alvaro Maggiar, Andreas Wächter, Irina S. Dolinskaya, Jeremy Staum
2018 Misc conf
Uniform convergence of sample Average Approximation with adaptive Multiple Importance Sampling.
WSC
Mingbin Ben Feng, Alvaro Maggiar, Jeremy Staum, Andreas Wächter
2017 J jnl
Green Simulation: Reusing the Output of Repeated Experiments.
ACM Trans. Model. Comput. Simul.
Mingbin Feng, Jeremy Staum
2017 J jnl
Multilevel Monte Carlo Metamodeling.
Oper. Res.
Imry Rosenbaum, Jeremy Staum
2016 Misc conf
Green simulation with database Monte Carlo.
WSC
Mingbin Feng, Jeremy Staum
2016 J jnl
Moving Least Squares Regression for High-Dimensional Stochastic Simulation Metamodeling.
ACM Trans. Model. Comput. Simul.
Peter Salemi, Barry L. Nelson, Jeremy Staum
2016 J jnl
Shapley Effects for Global Sensitivity Analysis: Theory and Computation.
SIAM/ASA J. Uncertain. Quantification
Eunhye Song, Barry L. Nelson, Jeremy Staum
2015 Misc conf
Database monte carlo for simulation on demand.
WSC
Imry Rosenbaum, Jeremy Staum
2015 Misc conf
Green simulation designs for repeated experiments.
WSC
Mingbin Feng, Jeremy Staum
2014 Misc conf
Discrete optimization via simulation using gaussian markov random fields.
WSC
Peter Salemi, Barry L. Nelson, Jeremy Staum
2013 J jnl
Excess invariance and shortfall risk measures.
Oper. Res. Lett.
Jeremy Staum
2013 Misc conf
Generalized integrated brownian fields for simulation metamodeling.
WSC
Peter Salemi, Jeremy Staum, Barry L. Nelson
2013 Misc conf
Multilevel Monte Carlo metamodeling.
WSC
Imry Rosenbaum, Jeremy Staum
2012 Misc conf
Moving least squares regression for high dimensional simulation metamodeling.
WSC
Peter Salemi, Barry L. Nelson, Jeremy Staum
2011 J jnl
Efficient Nested Simulation for Estimating the Variance of a Conditional Expectation.
Oper. Res.
Yunpeng Sun, Daniel W. Apley, Jeremy Staum
2010 J jnl
A Confidence Interval Procedure for Expected Shortfall Risk Measurement via Two-Level Simulation.
Oper. Res.
Hai Lan, Barry L. Nelson, Jeremy Staum
2010 Misc conf
An efficient simulation procedure for point estimation of expected shortfall.
WSC
Ming Liu, Barry L. Nelson, Jeremy Staum
2010 J jnl
Sensitivity analysis of the Eisenberg-Noe model of contagion.
Oper. Res. Lett.
Ming Liu, Jeremy Staum
2010 Misc conf
Simulation on demand for pricing many securities.
WSC
Ming Liu, Barry L. Nelson, Jeremy Staum
2010 J jnl
Stochastic Kriging for Simulation Metamodeling.
Oper. Res.
Bruce E. Ankenman, Barry L. Nelson, Jeremy Staum
2010 Misc conf
The influence of correlation functions on stochastic kriging metamodels.
WSC
Wei Xie, Barry L. Nelson, Jeremy Staum
2009 Misc conf
Better Simulation Metamodeling: The Why, What, and How of Stochastic Kriging.
WSC
Jeremy Staum
2009 Misc conf
Estimating Expected Shortfall with Stochastic Kriging.
WSC
Ming Liu, Jeremy Staum
2008 Misc conf
Response surface methodology for simulating hedging and trading strategies.
WSC
R. Evren Baysal, Barry L. Nelson, Jeremy Staum
2008 Misc conf
Stochastic kriging for simulation metamodeling.
WSC
Bruce E. Ankenman, Barry L. Nelson, Jeremy Staum
2007 Misc conf
A confidence interval for tail conditional expectation via two-level simulation.
WSC
Hai Lan, Barry L. Nelson, Jeremy Staum
2007 J jnl
Simulation of Coherent Risk Measures Based on Generalized Scenarios.
Manag. Sci.
Vadim Lesnevski, Barry L. Nelson, Jeremy Staum
2006 Misc conf
An adaptive procedure for estimating coherent risk measures based on generalized scenarios.
WSC
Vadim Lesnevski, Barry L. Nelson, Jeremy Staum
2006 J jnl
Control variates for screening, selection, and estimation of the best.
ACM Trans. Model. Comput. Simul.
Barry L. Nelson, Jeremy Staum
2004 Misc conf
Simulation of Coherent Risk Measures.
WSC
Vadim Lesnevski, Barry L. Nelson, Jeremy Staum
2003 Misc conf
New simulation methodology for finance: work reduction in financial simulations.
WSC
Jeremy Staum, Samuel Ehrlichman, Vadim Lesnevski
2003 J jnl
Resource Allocation Among Simulation Time Steps.
Oper. Res.
Paul Glasserman, Jeremy Staum
2003 Misc conf
State of the art tutorial II: simulations for financial engineering: efficient simulations for option pricing.
WSC
Jeremy Staum
2002 Misc conf
Simulation in financial engineering: simulation in financial engineering.
WSC
Jeremy Staum
2001 J jnl
Conditioning on One-Step Survival for Barrier Option Simulations.
Oper. Res.
Paul Glasserman, Jeremy Staum
2001 Misc conf
Option pricing: simulation in financial engineering.
WSC
Jeremy Staum
2001 Misc conf
Simulation in financial engineering: stopping simulated paths early.
WSC
Paul Glasserman, Jeremy Staum