Staum Jeremy

Jeremy Staum

Information about the author Jeremy Staum will soon be added to the site.
Found 7 papers in total
Multilevel Monte Carlo Metamodeling
Multilevel Monte Carlo Metamodeling
2017
Approximating the function that maps the input parameters of the simulation model to...
Excess invariance and shortfall risk measures
Excess invariance and shortfall risk measures
2013
This paper introduces the axiom of excess invariance for risk measures, meaning...
A Confidence Interval Procedure for Expected Shortfall Risk Measurement via Two-Level Simulation
A Confidence Interval Procedure for Expected Shortfall Risk Measurement via Two-Level Simulation
2010
We develop and evaluate a two-level simulation procedure that produces a confidence...
Stochastic kriging for simulation metamodeling
Stochastic kriging for simulation metamodeling
2010
We extend the basic theory of kriging, as applied to the design and analysis of...
Simulation of coherent risk measures based on generalized scenarios
Simulation of coherent risk measures based on generalized scenarios
2007
In financial risk management, coherent risk measures have been proposed as a way to...
Resource allocation among simulation time steps
Resource allocation among simulation time steps
2003
Motivated by the problem of efficient estimation of expected cumulative rewards or...
Conditioning on one-step survival for barrier option simulations
Conditioning on one-step survival for barrier option simulations
2001
Pricing financial options often requires Monte Carlo methods. One particular case is...
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