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- Peter W. Glynn, Sandeep Juneja
- Proceedings of the 2004 Winter Simulationâ€¦
- 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 literatureâ€¦ (More)

- Sandeep Juneja
- 2006

In this chapter we review some of the recent developments for efficient estimation of rareevents, most of which involve application of importance sampling techniques to achieve variance reduction.â€¦ (More)

- Sandeep Juneja, Perwez Shahabuddin
- ACM Trans. Model. Comput. Simul.
- 2002

- 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 additiveâ€¦ (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 oneâ€¦ (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 theâ€¦ (More)

- SÃ¸ren 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 byâ€¦ (More)

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

We consider the non-cooperative choice of arrival times by individual users, who seek service at a first-come first-served queueing system that opens up at a given time. Each user wishes to obtainâ€¦ (More)

- Sandeep Juneja
- Proceedings of the 2010 Winter Simulationâ€¦
- 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 toâ€¦ (More)

- Sandeep Juneja, Perwez Shahabuddin
- Management Science
- 2001