Jeremy Staum

Publication Activity (10 Years)

Years Active: 2001-2021
Publications (10 Years): 13

Top Topics

Discrete Optimization

Gaussian Markov Random Fields

Conditional Expectation

Monte Carlo Methods

Top Venues

ACM Trans. Model. Comput. Simul.

Publications

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) (2021)
Mingbin Feng, Jeremy Staum
Green Simulation with Database Monte Carlo. ACM Trans. Model. Comput. Simul. 31 (1) (2021)
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) (2019)
Peter Salemi, Jeremy Staum, Barry L. Nelson
Generalized Integrated Brownian Fields for Simulation Metamodeling. Oper. Res. 67 (3) (2019)
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) (2018)
M. Ben Feng, Alvaro Maggiar, Jeremy Staum, Andreas Wächter
Uniform convergence of sample Average Approximation with adaptive Multiple Importance Sampling. WSC (2018)
Imry Rosenbaum, Jeremy Staum
Multilevel Monte Carlo Metamodeling. Oper. Res. 65 (4) (2017)
Mingbin Feng, Jeremy Staum
Green Simulation: Reusing the Output of Repeated Experiments. ACM Trans. Model. Comput. Simul. 27 (4) (2017)
Peter Salemi, Barry L. Nelson, Jeremy Staum
Moving Least Squares Regression for High-Dimensional Stochastic Simulation Metamodeling. ACM Trans. Model. Comput. Simul. 26 (3) (2016)
Mingbin Feng, Jeremy Staum
Green simulation with database Monte Carlo. WSC (2016)
Eunhye Song, Barry L. Nelson, Jeremy Staum
Shapley Effects for Global Sensitivity Analysis: Theory and Computation. SIAM/ASA J. Uncertain. Quantification 4 (1) (2016)
Mingbin Feng, Jeremy Staum
Green simulation designs for repeated experiments. WSC (2015)
Imry Rosenbaum, Jeremy Staum
Database monte carlo for simulation on demand. WSC (2015)
Peter Salemi, Barry L. Nelson, Jeremy Staum
Discrete optimization via simulation using gaussian markov random fields. WSC (2014)
Peter Salemi, Jeremy Staum, Barry L. Nelson
Generalized integrated brownian fields for simulation metamodeling. WSC (2013)
Imry Rosenbaum, Jeremy Staum
Multilevel Monte Carlo metamodeling. WSC (2013)
Jeremy Staum
Excess invariance and shortfall risk measures. Oper. Res. Lett. 41 (1) (2013)
Peter Salemi, Barry L. Nelson, Jeremy Staum
Moving least squares regression for high dimensional simulation metamodeling. WSC (2012)
Yunpeng Sun, Daniel W. Apley, Jeremy Staum
Efficient Nested Simulation for Estimating the Variance of a Conditional Expectation. Oper. Res. 59 (4) (2011)
Wei Xie, Barry L. Nelson, Jeremy Staum
The influence of correlation functions on stochastic kriging metamodels. WSC (2010)
Ming Liu, Barry L. Nelson, Jeremy Staum
Simulation on demand for pricing many securities. WSC (2010)
Ming Liu, Barry L. Nelson, Jeremy Staum
An efficient simulation procedure for point estimation of expected shortfall. WSC (2010)
Bruce E. Ankenman, Barry L. Nelson, Jeremy Staum
Stochastic Kriging for Simulation Metamodeling. Oper. Res. 58 (2) (2010)
Ming Liu, Jeremy Staum
Sensitivity analysis of the Eisenberg-Noe model of contagion. Oper. Res. Lett. 38 (5) (2010)
Hai Lan, Barry L. Nelson, Jeremy Staum
A Confidence Interval Procedure for Expected Shortfall Risk Measurement via Two-Level Simulation. Oper. Res. 58 (5) (2010)
Ming Liu, Jeremy Staum
Estimating Expected Shortfall with Stochastic Kriging. WSC (2009)
Jeremy Staum
Better Simulation Metamodeling: The Why, What, and How of Stochastic Kriging. WSC (2009)
R. Evren Baysal, Barry L. Nelson, Jeremy Staum
Response surface methodology for simulating hedging and trading strategies. WSC (2008)
Bruce E. Ankenman, Barry L. Nelson, Jeremy Staum
Stochastic kriging for simulation metamodeling. WSC (2008)
Hai Lan, Barry L. Nelson, Jeremy Staum
A confidence interval for tail conditional expectation via two-level simulation. WSC (2007)
Vadim Lesnevski, Barry L. Nelson, Jeremy Staum
Simulation of Coherent Risk Measures Based on Generalized Scenarios. Manag. Sci. 53 (11) (2007)
Vadim Lesnevski, Barry L. Nelson, Jeremy Staum
An adaptive procedure for estimating coherent risk measures based on generalized scenarios. WSC (2006)
Barry L. Nelson, Jeremy Staum
Control variates for screening, selection, and estimation of the best. ACM Trans. Model. Comput. Simul. 16 (1) (2006)
Vadim Lesnevski, Barry L. Nelson, Jeremy Staum
Simulation of Coherent Risk Measures. WSC (2004)
Jeremy Staum
State of the art tutorial II: simulations for financial engineering: efficient simulations for option pricing. WSC (2003)
Jeremy Staum, Samuel Ehrlichman, Vadim Lesnevski
New simulation methodology for finance: work reduction in financial simulations. WSC (2003)
Paul Glasserman, Jeremy Staum
Resource Allocation Among Simulation Time Steps. Oper. Res. 51 (6) (2003)
Jeremy Staum
Simulation in financial engineering: simulation in financial engineering. WSC (2002)
Paul Glasserman, Jeremy Staum
Simulation in financial engineering: stopping simulated paths early. WSC (2001)
Paul Glasserman, Jeremy Staum
Conditioning on One-Step Survival for Barrier Option Simulations. Oper. Res. 49 (6) (2001)
Jeremy Staum
Option pricing: simulation in financial engineering. WSC (2001)