Jeremy Staum
Dept. of Industrial Engineering & Management Sciences

Education:
Ph. D. in Management Science, Columbia University, 2001.
M. S. in Statistics, Stanford University, 1997.
S. B. in Mathematics, University of Chicago, 1996.

Selected Publications:

(2013) Excess Invariance and Shortfall Risk Measures, Operations Research Letters 41:1 47-53.
(2012) Systemic Risk Components and Deposit Insurance Premia, Quantitative Finance 12:4 651-662.
(2011) Efficient Nested Simulation for Estimating the Variance of a Conditional Expectation (with Y. Sun and D. W. Apley), Operations Research 59:4 998-1007.
(2010) 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.
(2010) Sensitivity Analysis of the Eisenberg-Noe Model of Contagion (with M. Liu), Operations Research Letters 38:5 489-491.
(2010) Stochastic Kriging for Efficient Nested Simulation of Expected Shortfall (with M. Liu), Journal of Risk 12:3 3-27.
(2010) Stochastic Kriging for Simulation Metamodeling (with B. Ankenman and B. L. Nelson), Operations Research 58:2 371-382.
(2008) Empirical Likelihood for Value at Risk and Expected Shortfall (with R. E. Baysal), Journal of Risk 11:1 3-32.
(2008) 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.
(2007) Simulation of Coherent Risk Measures Based on Generalized Scenarios (with V. Lesnevski and B. L. Nelson), Management Science 53 1756-1769.
(2006) 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.
(2004) Fundamental Theorems of Asset Pricing for Good Deal Bounds, Mathematical Finance 14:2 141-161.
(2003) Resource Allocation among Simulation Time Steps (with P. Glasserman), Operations Research 51:6 908-921.
(2001) Conditioning on One-Step Survival for Barrier Option Simulations (with P. Glasserman), Operations Research 49:6 923-937.