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Stochastic kriging for simulation metamodeling
- B. Ankenman, B. Nelson, J. Staum
- Computer ScienceWinter Simulation Conference
- 1 March 2010
We extend the basic theory of kriging, as applied to the design and analysis of deterministic computer experiments, to the stochastic simulation setting. Our goal is to provide flexible,…
Stochastic kriging for simulation metamodeling
- B. Ankenman, B. Nelson, J. Staum
- Computer ScienceWSC
- 7 December 2008
We extend the basic theory of kriging, as applied to the design and analysis of deterministic computer experiments, to the stochastic simulation setting. Our goal is to provide flexible,…
Shapley Effects for Global Sensitivity Analysis: Theory and Computation
- Eunhye Song, B. Nelson, J. Staum
- Economics, MathematicsSIAM/ASA J. Uncertain. Quantification
- 7 September 2016
TLDR
Fundamental Theorems of Asset Pricing for Good Deal Bounds
- J. Staum
- Mathematics, Economics
- 1 April 2004
We prove fundamental theorems of asset pricing for good deal bounds in incomplete markets. These theorems relate arbitrage‐freedom and uniqueness of prices for over‐the‐counter derivatives to…
Better simulation metamodeling: The why, what, and how of stochastic kriging
- J. Staum
- Computer ScienceProceedings of the Winter Simulation Conference…
- 13 December 2009
TLDR
Efficient Nested Simulation for Estimating the Variance of a Conditional Expectation
- Yunpeng Sun, D. Apley, J. Staum
- MathematicsOper. Res.
- 1 July 2011
TLDR
Conditioning on One-Step Survival for Barrier Option Simulations
- P. Glasserman, J. Staum
- MathematicsOper. Res.
- 1 December 2001
TLDR
Empirical likelihood for value-at-risk and expected shortfall
- R. E. Baysal, J. Staum
- Economics
- 1 September 2008
When estimating risk measures, whether from historical data or by Monte Carlo simulation, it is helpful to have confidence intervals that provide information about statistical uncertainty. We provide…
Performance Persistence in the Alternative Investment Industry
- James M. Park, J. Staum
- Business
- 8 November 1998
We construct an improved measure of skill among commodity trading advisors (CTAs) and hedge fund managers. The theoretical issues surrounding the possibility of internal leverage receive particular…
Gaussian Markov Random Fields for Discrete Optimization via Simulation: Framework and Algorithms
- Peter L. Salemi, Eunhye Song, B. Nelson, J. Staum
- Computer ScienceOper. Res.
- 18 January 2019
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