Kay Giesecke

Publication Activity (10 Years)

Years Active: 2007-2023
Publications (10 Years): 15

Top Topics

Significance Tests

Machine Learning Models

Computationally Efficient

Top Venues

Math. Oper. Res.

Publications

Bruno Biais, Agostino Capponi, Lin William Cong, Vishal Gaur, Kay Giesecke
Advances in Blockchain and Crypto Economics. Manag. Sci. 69 (11) (2023)
Enguerrand Horel, Kay Giesecke
Computationally Efficient Feature Significance and Importance for Predictive Models. ICAIF (2022)
Kay Giesecke, Alexander D. Shkolnik
Reducing Bias in Event Time Simulations via Measure Changes. Math. Oper. Res. 47 (2) (2022)
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) (2022)
Bruno Biais, Agostino Capponi, Lin William Cong, Vishal Gaur, Kay Giesecke
Special Issue on Blockchains and Crypto Economics. Manag. Sci. 67 (1) (2021)
Enguerrand Horel, Kay Giesecke, Victor Storchan, Naren Chittar
Explainable clustering and application to wealth management compliance. ICAIF (2020)
Guanting Chen, Alexander D. Shkolnik, Kay Giesecke
Unbiased Simulation Estimators for Path Integrals of Diffusions. WSC (2020)
Gerry Tsoukalas, Jiang Wang, Kay Giesecke
Dynamic Portfolio Execution. Manag. Sci. 65 (5) (2019)
Enguerrand Horel, Kay Giesecke
Towards Explainable AI: Significance Tests for Neural Networks. CoRR (2019)
Enguerrand Horel, Kay Giesecke
Computationally Efficient Feature Significance and Importance for Machine Learning Models. CoRR (2019)
Guanting Chen, Alexander D. Shkolnik, Kay Giesecke
Unbiased Simulation Estimators for Jump-Diffusions. WSC (2019)
Justin A. Sirignano, Kay Giesecke
Risk Analysis for Large Pools of Loans. Manag. Sci. 65 (1) (2019)
Enguerrand Horel, Virgile Mison, Tao Xiong, Kay Giesecke, Lidia Mangu
Sensitivity based Neural Networks Explanations. CoRR (2018)
Kay Giesecke, Gui Liberali, Hamid Nazerzadeh, J. George Shanthikumar, Chung-Piaw Teo
- Special Issue on Data-Driven Prescriptive Analytics. Manag. Sci. 64 (6) (2018)
Justin A. Sirignano, Gerry Tsoukalas, Kay Giesecke
Large-Scale Loan Portfolio Selection. Oper. Res. 64 (6) (2016)
Xiaowei Zhang, Jose H. Blanchet, Kay Giesecke, Peter W. Glynn
Affine Point Processes: Approximation and Efficient Simulation. Math. Oper. Res. 40 (4) (2015)
Kay Giesecke, Baeho Kim, Jack Kim, Gerry Tsoukalas
Optimal Credit Swap Portfolios. Manag. Sci. 60 (9) (2014)
Kay Giesecke, Dmitry Smelov
Exact Sampling of Jump Diffusions. Oper. Res. 61 (4) (2013)
Shaojie Deng, Kay Giesecke, Tze Leung Lai
Sequential Importance Sampling and Resampling for Dynamic Portfolio Credit Risk. Oper. Res. 60 (1) (2012)
Kay Giesecke, Baeho Kim, Shilin Zhu
Monte Carlo Algorithms for Default Timing Problems. Manag. Sci. 57 (12) (2011)
Kay Giesecke, Hossein Kakavand, Mohammad Mousavi
Exact Simulation of Point Processes with Stochastic Intensities. Oper. Res. 59 (5) (2011)
Kay Giesecke, Lisa R. Goldberg, Xiaowei Ding
A Top-Down Approach to Multiname Credit. Oper. Res. 59 (2) (2011)
Kay Giesecke, Baeho Kim
Risk Analysis of Collateralized Debt Obligations. Oper. Res. 59 (1) (2011)
Kay Giesecke, Baeho Kim
Systemic Risk: What Defaults Are Telling Us. Manag. Sci. 57 (8) (2011)
Kay Giesecke, Alexander D. Shkolnik
Importance sampling for indicator Markov chains. WSC (2010)
Kay Giesecke, Hossein Kakavand, Mohammad Mousavi, Hideyuki Takada
Exact and Efficient Simulation of Correlated Defaults. SIAM J. Financial Math. 1 (1) (2010)
Eymen Errais, Kay Giesecke, Lisa R. Goldberg
Affine Point Processes and Portfolio Credit Risk. SIAM J. Financial Math. 1 (1) (2010)
Xiaowei Zhang, Peter W. Glynn, Kay Giesecke, Jose H. Blanchet
Rare Event Simulation for a Generalized Hawkes Process. WSC (2009)
Xiaowei Ding, Kay Giesecke, Pascal I. Tomecek
Time-Changed Birth Processes and Multiname Credit Derivatives. Oper. Res. 57 (4) (2009)
Kay Giesecke, Hossein Kakavand, Mohammad Mousavi
Simulating point processes by intensity projection. WSC (2008)
Kay Giesecke, Baeho Kim
Estimating tranche spreads by loss process simulation. WSC (2007)