#### Filter Results:

- Full text PDF available (48)

#### Publication Year

1992

2017

- This year (2)
- Last 5 years (19)
- Last 10 years (42)

#### Publication Type

#### Co-author

#### Journals and Conferences

#### Key Phrases

Learn More

- Cheng-Shang Chang, Philip Heidelberger, Sandeep Juneja, Perwez Shahabuddin
- Perform. Eval.
- 1994

We consider the eecient estimation, via simulation, of very low buuer overrow probabilities in certain acyclic ATM queueing networks. We apply the theory of eeective bandwidths and Markov additive processes to derive an asymptotically optimal simulation scheme for estimating such probabilities for a single queue with multiple independent sources, each of… (More)

- Achal Bassamboo, Sandeep Juneja, Assaf J. Zeevi
- Operations Research
- 2008

We consider the risk of a portfolio comprising loans, bonds, and financial instruments that are subject to possible default. In particular, we are interested in performance measures such as the probability that the portfolio incurs large losses over a fixed time horizon, and the expected excess loss given that large losses are incurred during this horizon.… (More)

- Peter W. Glynn, Sandeep Juneja
- Proceedings of the 2004 Winter Simulation…
- 2004

We consider the problem of optimal allocation of computing budget to maximize the probability of correct selection in the ordinal optimization setting. This problem has been studied in the literature in an approximate mathematical framework under the assumption that the underlying random variables have a Gaussian distribution. We use the large deviations… (More)

- Michael B. Gordy, Sandeep Juneja
- Management Science
- 2010

Risk measurement for derivative portfolios almost invariably calls for nested simulation. In the outer step one draws realizations of all risk factors up to the horizon, and in the inner step one re-prices each instrument in the portfolio at the horizon conditional on the drawn risk factors. Practitioners may perceive the computational burden of such nested… (More)

- Sandeep Juneja, Perwez Shahabuddin
- Management Science
- 2001

- Sandeep Juneja, Nahum Shimkin
- Queueing Syst.
- 2013

<lb>We consider the non-cooperative choice of arrival times by individual users, who<lb>seek service at a first-come first-served queueing system that opens up at a given time.<lb>Each user wishes to obtain service as early as possible, while minimizing the expected<lb>wait in the queue. This problem was recently studied within a simplified… (More)

- Søren Asmussen, Jose H. Blanchet, Sandeep Juneja, Leonardo Rojas-Nandayapa
- Annals OR
- 2011

We consider the problem of efficient estimation of tail probabilities of sums of correlated lognormals via simulation. This problem is motivated by the tail analysis of portfolios of assets driven by correlated Black-Scholes models. We propose two estimators that can be rigorously shown to be efficient as the tail probability of interest decreases to zero.… (More)

- Sandeep Juneja
- Proceedings of the 2010 Winter Simulation…
- 2010

In this introductory tutorial we discuss the problem of pricing financial derivatives, the key application of Monte Carlo in finance. We review the mathematics that uses no-arbitrage principle to price derivatives and expresses derivatives price as an expectation under the equivalent martingale measure. In the presentation at the conference we will also… (More)

- Sandeep Juneja, Perwez Shahabuddin
- FTCS
- 1992

- Paul Glasserman, Sandeep Juneja
- Math. Oper. Res.
- 2008

Successful efficient rare-event simulation typically involves using importance sampling tailored to a specific rare event. However, in applications one may be interested in simultaneous estimation of many probabilities or even an entire distribution. In this paper, we address this issue in a simple but fundamental setting. Specifically, we consider the… (More)