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Jeremy Staum

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2020 – today

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2021
[j18]
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Mingbin Feng, Jeremy Staum:
Green Simulation with Database Monte Carlo. ACM Trans. Model. Comput. Simul. 31(1): 4:1-4:26 (2021)
[j17]
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Ran Yang, David Kent, Daniel W. Apley, Jeremy Staum, David Ruppert:
Bias-corrected Estimation of the Density of a Conditional Expectation in Nested Simulation Problems. ACM Trans. Model. Comput. Simul. 31(4): 22:1-22:36 (2021)

2010 – 2019

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2019
[j16]
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Peter L. Salemi, Eunhye Song, Barry L. Nelson, Jeremy Staum:
Gaussian Markov Random Fields for Discrete Optimization via Simulation: Framework and Algorithms. Oper. Res. 67(1): 250-266 (2019)
[j15]
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Peter Salemi, Jeremy Staum, Barry L. Nelson:
Generalized Integrated Brownian Fields for Simulation Metamodeling. Oper. Res. 67(3): 874-891 (2019)
2018
[j14]
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Alvaro Maggiar, Andreas Wächter, Irina S. Dolinskaya, Jeremy Staum:
A Derivative-Free Trust-Region Algorithm for the Optimization of Functions Smoothed via Gaussian Convolution Using Adaptive Multiple Importance Sampling. SIAM J. Optim. 28(2): 1478-1507 (2018)
[c23]
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Mingbin Ben Feng, Alvaro Maggiar, Jeremy Staum, Andreas Wächter:
Uniform convergence of sample Average Approximation with adaptive Multiple Importance Sampling. WSC 2018: 1646-1657
2017
[j13]
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Imry Rosenbaum, Jeremy Staum:
Multilevel Monte Carlo Metamodeling. Oper. Res. 65(4): 1062-1077 (2017)
[j12]
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Mingbin Feng, Jeremy Staum:
Green Simulation: Reusing the Output of Repeated Experiments. ACM Trans. Model. Comput. Simul. 27(4): 23 (2017)
2016
[j11]
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Eunhye Song, Barry L. Nelson, Jeremy Staum:
Shapley Effects for Global Sensitivity Analysis: Theory and Computation. SIAM/ASA J. Uncertain. Quantification 4(1): 1060-1083 (2016)
[j10]
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Peter Salemi, Barry L. Nelson, Jeremy Staum:
Moving Least Squares Regression for High-Dimensional Stochastic Simulation Metamodeling. ACM Trans. Model. Comput. Simul. 26(3): 16:1-16:25 (2016)
[c22]
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Mingbin Feng, Jeremy Staum:
Green simulation with database Monte Carlo. WSC 2016: 1108-1118
2015
[c21]
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  - conf/wsc/FengS15
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Mingbin Feng, Jeremy Staum:
Green simulation designs for repeated experiments. WSC 2015: 403-413
[c20]
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  - conf/wsc/RosenbaumS15
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Imry Rosenbaum, Jeremy Staum:
Database monte carlo for simulation on demand. WSC 2015: 679-688
2014
[c19]
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Peter Salemi, Barry L. Nelson, Jeremy Staum:
Discrete optimization via simulation using gaussian markov random fields. WSC 2014: 3809-3820
2013
[j9]
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Jeremy Staum:
Excess invariance and shortfall risk measures. Oper. Res. Lett. 41(1): 47-53 (2013)
[c18]
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Imry Rosenbaum, Jeremy Staum:
Multilevel Monte Carlo metamodeling. WSC 2013: 509-520
[c17]
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Peter Salemi, Jeremy Staum, Barry L. Nelson:
Generalized integrated brownian fields for simulation metamodeling. WSC 2013: 543-554
2012
[c16]
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  - conf/wsc/SalemiNS12
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Peter Salemi, Barry L. Nelson, Jeremy Staum:
Moving least squares regression for high dimensional simulation metamodeling. WSC 2012: 26:1-26:12
2011
[j8]
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Yunpeng Sun, Daniel W. Apley, Jeremy Staum:
Efficient Nested Simulation for Estimating the Variance of a Conditional Expectation. Oper. Res. 59(4): 998-1007 (2011)
2010
[j7]
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Bruce E. Ankenman, Barry L. Nelson, Jeremy Staum:
Stochastic Kriging for Simulation Metamodeling. Oper. Res. 58(2): 371-382 (2010)
[j6]
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Hai Lan, Barry L. Nelson, Jeremy Staum:
A Confidence Interval Procedure for Expected Shortfall Risk Measurement via Two-Level Simulation. Oper. Res. 58(5): 1481-1490 (2010)
[j5]
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Ming Liu, Jeremy Staum:
Sensitivity analysis of the Eisenberg-Noe model of contagion. Oper. Res. Lett. 38(5): 489-491 (2010)
[c15]
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  - conf/wsc/XieNS10
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Wei Xie, Barry L. Nelson, Jeremy Staum:
The influence of correlation functions on stochastic kriging metamodels. WSC 2010: 1067-1078
[c14]
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Ming Liu, Barry L. Nelson, Jeremy Staum:
Simulation on demand for pricing many securities. WSC 2010: 2782-2789
[c13]
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  - conf/wsc/LiuNS10a
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Ming Liu, Barry L. Nelson, Jeremy Staum:
An efficient simulation procedure for point estimation of expected shortfall. WSC 2010: 2821-2831

2000 – 2009

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2009
[c12]
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Jeremy Staum:
Better Simulation Metamodeling: The Why, What, and How of Stochastic Kriging. WSC 2009: 119-133
[c11]
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Ming Liu, Jeremy Staum:
Estimating Expected Shortfall with Stochastic Kriging. WSC 2009: 1249-1260
2008
[c10]
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  - conf/wsc/AnkenmanNS08
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Bruce E. Ankenman, Barry L. Nelson, Jeremy Staum:
Stochastic kriging for simulation metamodeling. WSC 2008: 362-370
[c9]
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  - conf/wsc/BaysalNS08
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R. Evren Baysal, Barry L. Nelson, Jeremy Staum:
Response surface methodology for simulating hedging and trading strategies. WSC 2008: 629-637
2007
[j4]
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  - journals/mansci/LesnevskiNS07
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Vadim Lesnevski, Barry L. Nelson, Jeremy Staum:
Simulation of Coherent Risk Measures Based on Generalized Scenarios. Manag. Sci. 53(11): 1756-1769 (2007)
[c8]
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Hai Lan, Barry L. Nelson, Jeremy Staum:
A confidence interval for tail conditional expectation via two-level simulation. WSC 2007: 949-957
2006
[j3]
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  - journals/tomacs/NelsonS06
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Barry L. Nelson, Jeremy Staum:
Control variates for screening, selection, and estimation of the best. ACM Trans. Model. Comput. Simul. 16(1): 52-75 (2006)
[c7]
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Vadim Lesnevski, Barry L. Nelson, Jeremy Staum:
An adaptive procedure for estimating coherent risk measures based on generalized scenarios. WSC 2006: 733-740
2004
[c6]
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Vadim Lesnevski, Barry L. Nelson, Jeremy Staum:
Simulation of Coherent Risk Measures. WSC 2004: 1579-1585
2003
[j2]
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  - journals/ior/GlassermanS03
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Paul Glasserman, Jeremy Staum:
Resource Allocation Among Simulation Time Steps. Oper. Res. 51(6): 908-921 (2003)
[c5]
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Jeremy Staum:
State of the art tutorial II: simulations for financial engineering: efficient simulations for option pricing. WSC 2003: 258-266
[c4]
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  - conf/wsc/StaumEL03
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Jeremy Staum, Samuel Ehrlichman, Vadim Lesnevski:
New simulation methodology for finance: work reduction in financial simulations. WSC 2003: 310-318
2002
[c3]
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Jeremy Staum:
Simulation in financial engineering: simulation in financial engineering. WSC 2002: 1481-1492
2001
[j1]
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Paul Glasserman, Jeremy Staum:
Conditioning on One-Step Survival for Barrier Option Simulations. Oper. Res. 49(6): 923-937 (2001)
[c2]
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Jeremy Staum:
Option pricing: simulation in financial engineering. WSC 2001: 123-133
[c1]
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Paul Glasserman, Jeremy Staum:
Simulation in financial engineering: stopping simulated paths early. WSC 2001: 318-324

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