Other papers by students in my research group are available on the Students page.

Research:

• Green Simulation: Reusing the Output of Repeated Experiments (with M. Feng), Paper (PDF).
• Database Monte Carlo for Simulation on Demand (with I. Rosenbaum), Paper (PDF).
• A Derivative-Free Trust-Region Algorithm for the Optimization of Functions Smoothed via Gaussian Convolution Using Adaptive Multiple Importance Sampling (with A. Maggiar, A. Waechter, and I. S. Dolinskaya), Abstract and Paper on Optimization Online.
• Uniform Convergence of Sample Average Approximation with Adaptive Importance Sampling (with A. Waechter, A. Maggiar, and M. Feng), Abstract and Paper on Optimization Online.
• Discrete Optimization via Simulation using Gaussian Markov Random Fields (with E. Song, P. Salemi, and B. L. Nelson), Paper (PDF).
• Shapley Effects for Global Sensitivity Analysis: Theory and Computation (with E. Song and B. L. Nelson), working paper. Paper (PDF).
• Non-Negative Risk Components, forthcoming, Journal of Risk. Paper (PDF).
• Multi-Level Monte Carlo Metamodeling (with I. Rosenbaum), Paper (PDF).
• Generalized Integrated Brownian Fields for Simulation Metamodeling (with P. Salemi and B. L. Nelson), working paper. Paper (PDF).
• Systemic Risk Components in a Network Model of Contagion (with M. Liu), working paper. Abstract and Paper on SSRN.
• Excess Invariance and Shortfall Risk Measures, Operations Research Letters 41:1 47-53. Paper (PDF).
• Moving Least Squares Regression for High-Dimensional Simulation Metamodeling (with P. Salemi and B. L. Nelson), forthcoming, ACM Transactions on Modeling and Computer Simulation Paper (PDF).
• Systemic Risk Components and Deposit Insurance Premia, Quantitative Finance 12:4 651-662. Abstract and Paper on SSRN.
• Sensitivity Analysis of the Eisenberg-Noe Model of Contagion (with M. Liu), Operations Research Letters 38:5 489-491. Paper (PDF).
• Efficient Nested Simulation for Estimating the Variance of a Conditional Expectation (with Y. Sun and D. W. Apley), Operations Research 59:4 998-1007. Paper (PDF).
• Stochastic Kriging for Efficient Nested Simulation of Expected Shortfall (with M. Liu), Journal of Risk 12:3 3-27. Paper (PDF).
• An Efficient Simulation Procedure for Point Estimation of Expected Shortfall (with M. Liu and B. L. Nelson), Proc. 2010 Winter Simulation Conference 2821-2831. Paper (PDF).
• Simulation on Demand for Pricing Many Securities (with M. Liu and B. L. Nelson), Proc. 2010 Winter Simulation Conference 2782-2789. Paper (PDF).
• The Influence of Correlation Functions on Stochastic Kriging Metamodels (with W. Xie and B. L. Nelson), Proc. 2010 Winter Simulation Conference 1067-1078. Paper (PDF).
• A Confidence Interval Procedure for Expected Shortfall Risk Measurement via Two-Level Simulation (with H. Lan and B. L. Nelson), Operations Research 58:5 1481-1490. Paper (PDF).
• Response Surface Methodology for Simulating Hedging and Trading Strategies (with R. E. Baysal and B. L. Nelson), Proc. 2008 Winter Simulation Conference 629-638. Abstract. Paper (PDF).
• Stochastic Kriging for Simulation Metamodeling (with B. Ankenman and B. L. Nelson), Operations Research 58:2 371-382. Paper (PDF).
• Combined Screening and Selection of the Best with Control Variates (with S. C. Tsai and B. L. Nelson), in Advancing the Frontiers of Simulation: A Festschrift in Honor of George S. Fishman. Paper (PDF).
• A Confidence Interval for Tail Conditional Expectation via Two-Level Simulation (with H. Lan and B. L. Nelson), Proc. 2007 Winter Simulation Conference 949-957. Abstract. Paper (PDF).
• Two-Level Simulations for Risk Management (with H. Lan and B. L. Nelson),
  Proc. 2007 INFORMS Simulation Society Research Workshop 102-107. Paper (PDF).
• Empirical Likelihood for Value at Risk and Expected Shortfall (with R. E. Baysal), Journal of Risk 11:1 3-32. Paper (PDF).
• An Adaptive Procedure for Estimating Coherent Risk Measures Based on Generalized Scenarios (with V. Lesnevski and B. L. Nelson), Journal of Computational Finance 11:4 1-31. Paper (PDF).
• Simulation of Coherent Risk Measures Based on Generalized Scenarios (with V. Lesnevski and B. L. Nelson), Management Science 53 1756-1769. Abstract. Paper (PDF). Electronic Companion (PDF).
• Control Variates for Screening, Selection and Estimation of the Best (with B. L. Nelson), ACM Transactions on Modeling and Computer Simulation 16:1 52-75. Paper (PDF).
• Simulation of Coherent Risk Measures (with V. Lesnevski and B. L. Nelson), in Proc. 2004 Winter Simulation Conference 1579-1585. Abstract. Paper (PDF).
• Fundamental Theorems of Asset Pricing for Good Deal Bounds, Mathematical Finance 14:2 141-161. Paper (PDF).
• Pricing and Hedging in Incomplete Markets: Fundamental Theorems and Robust Utility Maximization, Cornell ORIE technical report 1351. Paper (PDF). (Part I = "Fundamental Theorems of Asset Pricing for Good Deal Bounds").
• Work Reduction in Financial Simulations (with S. Ehrlichman and V. Lesnevski), in Proc. 2003 Winter Simulation Conference 311-318. Abstract. Paper (PDF).
  
• Resource Allocation among Simulation Time Steps (with P. Glasserman), Operations Research 51:6 908-921. Paper (PDF).
• Ideological Platforms and Probabilistic Voting Equilibria, Cornell ORIE technical report 1344. Paper (PS).
• Stopping Simulated Paths Early (with P. Glasserman), in Proc. 2001 Winter Simulation Conference 318-324. Abstract. Paper (PDF).
• Conditioning on One-Step Survival for Barrier Option Simulations (with P. Glasserman), Operations Research 49:6 923-937. Paper (PDF).
• Fund of Funds Diversification: How Much is Enough? (with J. M. Park), Journal of Alternative Investments 1 39-42. Paper (PDF).

Tutorial/Survey:

• Counterparty Contagion in Context: Contributions to Systemic Risk, to appear in Handbook of Systemic Risk, ed. J.-P. Fouque and J. Langsam, Cambridge University Press, 512-544. Abstract and Paper on SSRN.
• Better Simulation Metamodeling: The Why, What, and How of Stochastic Kriging, in Proceedings of the 2009 Winter Simulation Conference, ed. M. D. Rossetti, R. R. Hill, B. Johansson, A. Dunkin, and R. G. Ingalls 119-133. Paper (PDF).
• Monte Carlo Computation in Finance, in Monte Carlo and Quasi-Monte Carlo Methods 2008, ed. P. L'Ecuyer and A. B. Owen, Springer-Verlag, 19-42. Paper (PDF).
• Incomplete Markets, in Handbooks in OR & MS, Vol. 15: Financial Engineering, ed. J. R. Birge and V. Linetsky, Elsevier, 511-563. Paper (PDF).

• Efficient Simulations for Option Pricing, in Proc. 2003 Winter Simulation Conference 258-266. Abstract. Paper (PDF).
  (more material on variance reduction and quasi-Monte Carlo)
• Simulation in Financial Engineering,
  in Proc. 2002 Winter Simulation Conference 1481-1492. Abstract. Paper (PDF).
  (extra sections on American options and Greeks)

IEMS

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