 | 2011 |
|---|
| 9 |       | Kay Giesecke,
Baeho Kim:
Risk Analysis of Collateralized Debt Obligations.
Operations Research 59(1): 32-49 (2011) |
| 8 | | Kay Giesecke,
Lisa R. Goldberg,
Xiaowei Ding:
A Top-Down Approach to Multiname Credit.
Operations Research 59(2): 283-300 (2011) |
| 2010 |
|---|
| 7 | | Kay Giesecke,
Alexander D. Shkolnik:
Importance sampling for indicator Markov chains.
Winter Simulation Conference 2010: 2742-2750 |
| 6 | | Eymen Errais,
Kay Giesecke,
Lisa R. Goldberg:
Affine Point Processes and Portfolio Credit Risk.
SIAM J. Financial Math. 1(1): 642-665 (2010) |
| 5 | | Kay Giesecke,
Hossein Kakavand,
Mohammad Mousavi,
H. Takada:
Exact and Efficient Simulation of Correlated Defaults.
SIAM J. Financial Math. 1(1): 868-896 (2010) |
| 2009 |
|---|
| 4 | | Xiaowei Zhang,
Peter W. Glynn,
Kay Giesecke,
Jose Blanchet:
Rare Event Simulation for a Generalized Hawkes Process.
Winter Simulation Conference 2009: 1291-1298 |
| 3 | | Xiaowei Ding,
Kay Giesecke,
Pascal I. Tomecek:
Time-Changed Birth Processes and Multiname Credit Derivatives.
Operations Research 57(4): 990-1005 (2009) |
| 2008 |
|---|
| 2 | | Kay Giesecke,
Hossein Kakavand,
Mohammad Mousavi:
Simulating point processes by intensity projection.
Winter Simulation Conference 2008: 560-568 |
| 2007 |
|---|
| 1 | | Kay Giesecke,
Baeho Kim:
Estimating tranche spreads by loss process simulation.
Winter Simulation Conference 2007: 967-975 |
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