Juneja Sandeep

Sandeep Juneja

Information about the author Sandeep Juneja will soon be added to the site.
Found 8 papers in total
Kernel Smoothing for Nested Estimation with Application to Portfolio Risk Measurement
Kernel Smoothing for Nested Estimation with Application to Portfolio Risk Measurement
2017
Nested estimation involves estimating an expectation of a function of a conditional...
The concert queueing game: strategic arrivals with waiting and tardiness costs
The concert queueing game: strategic arrivals with waiting and tardiness costs
2013
We consider the noncooperative choice of arrival times by individual users, who seek...
Efficient simulation of tail probabilities of sums of correlated lognormals
Efficient simulation of tail probabilities of sums of correlated lognormals
2011
We consider the problem of efficient estimation of tail probabilities of sums of...
Nested Simulation in Portfolio Risk Measurement
Nested Simulation in Portfolio Risk Measurement
2010
Risk measurement for derivative portfolios almost invariably calls for nested...
Uniformly Efficient Importance Sampling for the Tail Distribution of Sums of Random Variables
Uniformly Efficient Importance Sampling for the Tail Distribution of Sums of Random Variables
2008
Successful efficient rare–event simulation typically involves using importance...
On the inefficiency of state-independent importance sampling in the presence of heavy tails
On the inefficiency of state-independent importance sampling in the presence of heavy tails
2007
This paper proves that there does not exist an asymptotically optimal...
Fast simulation of Markov chains with small transition probabilities
Fast simulation of Markov chains with small transition probabilities
2001
Consider a finite-state Markov chain where the transition probabilities differ by...
Importance sampling and the cyclic approach
Importance sampling and the cyclic approach
2001
The method of importance sampling is widely used for efficient rare-event simulation...
Papers per page: