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2020 – today
- 2024
[j22]Lin William Cong, Kay Giesecke, Cami Kuhnen:
Call for Papers - Management Science Virtual Special Issue on Digital Finance. Manag. Sci. 70(8): Vi-Vii (2024)- [j21]Baris Ata, Lin William Cong, Kay Giesecke, Peng Sun, Chung-Piaw Teo:
Call for Papers - Management Science Virtual Special Issue on AI for Finance and Business Decisions. Manag. Sci. 70(10): xi-xii (2024) - 2023
- [j20]Bruno Biais, Agostino Capponi, Lin William Cong
, Vishal Gaur, Kay Giesecke:
Advances in Blockchain and Crypto Economics. Manag. Sci. 69(11): 6417-6426 (2023) - 2022
- [j19]Kay Giesecke, Gui Liberali, Hamid Nazerzadeh, J. George Shanthikumar, Chung-Piaw Teo:
Introduction to the Special Section on Data-Driven Prescriptive Analytics. Manag. Sci. 68(3): 1591-1594 (2022) - [j18]Kay Giesecke, Alexander D. Shkolnik:
Reducing Bias in Event Time Simulations via Measure Changes. Math. Oper. Res. 47(2): 969-988 (2022) - [c8]Enguerrand Horel, Kay Giesecke:
Computationally Efficient Feature Significance and Importance for Predictive Models. ICAIF 2022: 300-307 - 2021
- [j17]Bruno Biais, Agostino Capponi, Lin William Cong, Vishal Gaur, Kay Giesecke:
Call for Papers - Management Science Special Issue on Blockchains and Crypto Economics. Manag. Sci. 67(1): 6-7 (2021) - 2020
- [c7]Enguerrand Horel, Kay Giesecke, Victor Storchan, Naren Chittar:
Explainable clustering and application to wealth management compliance. ICAIF 2020: 47:1-47:6 - [c6]Guanting Chen, Alexander D. Shkolnik, Kay Giesecke:
Unbiased Simulation Estimators for Path Integrals of Diffusions. WSC 2020: 277-288
2010 – 2019
- 2019
- [j16]Justin A. Sirignano, Kay Giesecke:
Risk Analysis for Large Pools of Loans. Manag. Sci. 65(1): 107-121 (2019) - [j15]Gerry Tsoukalas, Jiang Wang, Kay Giesecke:
Dynamic Portfolio Execution. Manag. Sci. 65(5): 2015-2040 (2019) - [c5]Guanting Chen, Alexander D. Shkolnik, Kay Giesecke:
Unbiased Simulation Estimators for Jump-Diffusions. WSC 2019: 890-901 - [i3]Enguerrand Horel, Kay Giesecke:
Towards Explainable AI: Significance Tests for Neural Networks. CoRR abs/1902.06021 (2019) - [i2]Enguerrand Horel, Kay Giesecke:
Computationally Efficient Feature Significance and Importance for Machine Learning Models. CoRR abs/1905.09849 (2019) - 2018
- [j14]Kay Giesecke, Gui Liberali, Hamid Nazerzadeh, J. George Shanthikumar, Chung-Piaw Teo:
Call for Papers - Management Science - Special Issue on Data-Driven Prescriptive Analytics. Manag. Sci. 64(6): 2972 (2018) - [i1]Enguerrand Horel, Virgile Mison, Tao Xiong, Kay Giesecke, Lidia Mangu:
Sensitivity based Neural Networks Explanations. CoRR abs/1812.01029 (2018) - 2016
- [j13]Justin A. Sirignano, Gerry Tsoukalas, Kay Giesecke:
Large-Scale Loan Portfolio Selection. Oper. Res. 64(6): 1239-1255 (2016) - 2015
- [j12]Xiaowei Zhang, Jose H. Blanchet, Kay Giesecke, Peter W. Glynn:
Affine Point Processes: Approximation and Efficient Simulation. Math. Oper. Res. 40(4): 797-819 (2015) - 2014
- [j11]Kay Giesecke, Baeho Kim, Jack Kim, Gerry Tsoukalas:
Optimal Credit Swap Portfolios. Manag. Sci. 60(9): 2291-2307 (2014) - 2013
- [j10]Kay Giesecke, Dmitry Smelov:
Exact Sampling of Jump Diffusions. Oper. Res. 61(4): 894-907 (2013) - 2012
- [j9]Shaojie Deng, Kay Giesecke, Tze Leung Lai:
Sequential Importance Sampling and Resampling for Dynamic Portfolio Credit Risk. Oper. Res. 60(1): 78-91 (2012) - 2011
- [j8]Kay Giesecke, Baeho Kim:
Risk Analysis of Collateralized Debt Obligations. Oper. Res. 59(1): 32-49 (2011) - [j7]Kay Giesecke, Lisa R. Goldberg, Xiaowei Ding:
A Top-Down Approach to Multiname Credit. Oper. Res. 59(2): 283-300 (2011) - [j6]Kay Giesecke, Hossein Kakavand, Mohammad Mousavi:
Exact Simulation of Point Processes with Stochastic Intensities. Oper. Res. 59(5): 1233-1245 (2011) - [j5]Kay Giesecke, Baeho Kim:
Systemic Risk: What Defaults Are Telling Us. Manag. Sci. 57(8): 1387-1405 (2011) - [j4]Kay Giesecke, Baeho Kim, Shilin Zhu:
Monte Carlo Algorithms for Default Timing Problems. Manag. Sci. 57(12): 2115-2129 (2011) - 2010
- [j3]Eymen Errais, Kay Giesecke, Lisa R. Goldberg:
Affine Point Processes and Portfolio Credit Risk. SIAM J. Financial Math. 1(1): 642-665 (2010) - [j2]Kay Giesecke, Hossein Kakavand, Mohammad Mousavi, Hideyuki Takada:
Exact and Efficient Simulation of Correlated Defaults. SIAM J. Financial Math. 1(1): 868-896 (2010) - [c4]Kay Giesecke, Alexander D. Shkolnik:
Importance sampling for indicator Markov chains. WSC 2010: 2742-2750
2000 – 2009
- 2009
- [j1]Xiaowei Ding, Kay Giesecke, Pascal I. Tomecek:
Time-Changed Birth Processes and Multiname Credit Derivatives. Oper. Res. 57(4): 990-1005 (2009) - [c3]Xiaowei Zhang, Peter W. Glynn, Kay Giesecke, Jose H. Blanchet:
Rare Event Simulation for a Generalized Hawkes Process. WSC 2009: 1291-1298 - 2008
- [c2]Kay Giesecke, Hossein Kakavand, Mohammad Mousavi:
Simulating point processes by intensity projection. WSC 2008: 560-568 - 2007
- [c1]Kay Giesecke, Baeho Kim:
Estimating tranche spreads by loss process simulation. WSC 2007: 967-975
Coauthor Index
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last updated on 2024-10-15 21:37 CEST by the dblp team
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