Alexander D. Shkolnik

Publication Activity (10 Years)

Years Active: 2010-2024
Publications (10 Years): 5

Top Topics

Factor Analysis

Simulation Environment

Bias Variance Decomposition

Top Venues

Math. Oper. Res.

SIAM J. Financial Math.

Publications

Chang Yuan Li, Alexander D. Shkolnik
On Minimum Trace Factor Analysis - An Old Song Sung to a New Tune. CoRR (2024)
Lisa R. Goldberg, Alex Papanicolaou, Alexander D. Shkolnik
The Dispersion Bias. SIAM J. Financial Math. 13 (2) (2022)
Kay Giesecke, Alexander D. Shkolnik
Reducing Bias in Event Time Simulations via Measure Changes. Math. Oper. Res. 47 (2) (2022)
Guanting Chen, Alexander D. Shkolnik, Kay Giesecke
Unbiased Simulation Estimators for Path Integrals of Diffusions. WSC (2020)
Guanting Chen, Alexander D. Shkolnik, Kay Giesecke
Unbiased Simulation Estimators for Jump-Diffusions. WSC (2019)
Kay Giesecke, Alexander D. Shkolnik
Importance sampling for indicator Markov chains. WSC (2010)