Kay Giesecke

35 papers Misc 6Journal 27Unranked 2
YearRankTypeTitle / Venue / Authors
2025 J jnl
A Set-Sequence Model for Time Series.
CoRR
Elliot L. Epstein, Apaar Sadhwani, Kay Giesecke
2025 J jnl
AICO: Feature Significance Tests for Supervised Learning.
CoRR
Kay Giesecke, Enguerrand Horel, Chartsiri Jirachotkulthorn
2024 J jnl
Call for Papers -
Manag. Sci.
Baris Ata, Lin William Cong, Kay Giesecke, Peng Sun, Chung-Piaw Teo
2024 J jnl
Call for Papers -
Manag. Sci.
Lin William Cong, Kay Giesecke, Cami Kuhnen
2023 J jnl
Advances in Blockchain and Crypto Economics.
Manag. Sci.
Bruno Biais, Agostino Capponi, Lin William Cong, Vishal Gaur, Kay Giesecke
2022 — conf
Computationally Efficient Feature Significance and Importance for Predictive Models.
ICAIF
Enguerrand Horel, Kay Giesecke
2022 J jnl
Introduction to the Special Section on Data-Driven Prescriptive Analytics.
Manag. Sci.
Kay Giesecke, Gui Liberali, Hamid Nazerzadeh, J. George Shanthikumar, Chung-Piaw Teo
2022 J jnl
Reducing Bias in Event Time Simulations via Measure Changes.
Math. Oper. Res.
Kay Giesecke, Alexander D. Shkolnik
2021 J jnl
Call for Papers -
Manag. Sci.
Bruno Biais, Agostino Capponi, Lin William Cong, Vishal Gaur, Kay Giesecke
2020 — conf
Explainable clustering and application to wealth management compliance.
ICAIF
Enguerrand Horel, Kay Giesecke, Victor Storchan, Naren Chittar
2020 Misc conf
Unbiased Simulation Estimators for Path Integrals of Diffusions.
WSC
Guanting Chen, Alexander D. Shkolnik, Kay Giesecke
2019 J jnl
Computationally Efficient Feature Significance and Importance for Machine Learning Models.
CoRR
Enguerrand Horel, Kay Giesecke
2019 J jnl
Dynamic Portfolio Execution.
Manag. Sci.
Gerry Tsoukalas, Jiang Wang, Kay Giesecke
2019 J jnl
Risk Analysis for Large Pools of Loans.
Manag. Sci.
Justin A. Sirignano, Kay Giesecke
2019 J jnl
Towards Explainable AI: Significance Tests for Neural Networks.
CoRR
Enguerrand Horel, Kay Giesecke
2019 Misc conf
Unbiased Simulation Estimators for Jump-Diffusions.
WSC
Guanting Chen, Alexander D. Shkolnik, Kay Giesecke
2018 J jnl
Call for Papers -
Manag. Sci.
Kay Giesecke, Gui Liberali, Hamid Nazerzadeh, J. George Shanthikumar, Chung-Piaw Teo
2018 J jnl
Sensitivity based Neural Networks Explanations.
CoRR
Enguerrand Horel, Virgile Mison, Tao Xiong, Kay Giesecke, Lidia Mangu
2016 J jnl
Large-Scale Loan Portfolio Selection.
Oper. Res.
Justin A. Sirignano, Gerry Tsoukalas, Kay Giesecke
2015 J jnl
Affine Point Processes: Approximation and Efficient Simulation.
Math. Oper. Res.
Xiaowei Zhang, Jose H. Blanchet, Kay Giesecke, Peter W. Glynn
2014 J jnl
Optimal Credit Swap Portfolios.
Manag. Sci.
Kay Giesecke, Baeho Kim, Jack Kim, Gerry Tsoukalas
2013 J jnl
Exact Sampling of Jump Diffusions.
Oper. Res.
Kay Giesecke, Dmitry Smelov
2012 J jnl
Sequential Importance Sampling and Resampling for Dynamic Portfolio Credit Risk.
Oper. Res.
Shaojie Deng, Kay Giesecke, Tze Leung Lai
2011 J jnl
A Top-Down Approach to Multiname Credit.
Oper. Res.
Kay Giesecke, Lisa R. Goldberg, Xiaowei Ding
2011 J jnl
Exact Simulation of Point Processes with Stochastic Intensities.
Oper. Res.
Kay Giesecke, Hossein Kakavand, Mohammad Mousavi
2011 J jnl
Monte Carlo Algorithms for Default Timing Problems.
Manag. Sci.
Kay Giesecke, Baeho Kim, Shilin Zhu
2011 J jnl
Risk Analysis of Collateralized Debt Obligations.
Oper. Res.
Kay Giesecke, Baeho Kim
2011 J jnl
Systemic Risk: What Defaults Are Telling Us.
Manag. Sci.
Kay Giesecke, Baeho Kim
2010 J jnl
Affine Point Processes and Portfolio Credit Risk.
SIAM J. Financial Math.
Eymen Errais, Kay Giesecke, Lisa R. Goldberg
2010 J jnl
Exact and Efficient Simulation of Correlated Defaults.
SIAM J. Financial Math.
Kay Giesecke, Hossein Kakavand, Mohammad Mousavi, Hideyuki Takada
2010 Misc conf
Importance sampling for indicator Markov chains.
WSC
Kay Giesecke, Alexander D. Shkolnik
2009 Misc conf
Rare Event Simulation for a Generalized Hawkes Process.
WSC
Xiaowei Zhang, Peter W. Glynn, Kay Giesecke, Jose H. Blanchet
2009 J jnl
Time-Changed Birth Processes and Multiname Credit Derivatives.
Oper. Res.
Xiaowei Ding, Kay Giesecke, Pascal I. Tomecek
2008 Misc conf
Simulating point processes by intensity projection.
WSC
Kay Giesecke, Hossein Kakavand, Mohammad Mousavi
2007 Misc conf
Estimating tranche spreads by loss process simulation.
WSC
Kay Giesecke, Baeho Kim