Hong L Jeff

L Jeff Hong

Information about the author L Jeff Hong will soon be added to the site.
Found 11 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...
Indifference-Zone-Free Selection of the Best
Indifference-Zone-Free Selection of the Best
2016
Many procedures have been proposed in the literature to select the simulated...
Fully Sequential Procedures for Large-Scale Ranking-and-Selection Problems in Parallel Computing Environments
Fully Sequential Procedures for Large-Scale Ranking-and-Selection Problems in Parallel Computing Environments
2015
Fully sequential ranking‐and‐selection (R&S) procedures to find the...
Robust Simulation of Global Warming Policies Using the DICE Model
Robust Simulation of Global Warming Policies Using the DICE Model
2012
Integrated assessment models that combine geophysics and economics features are often...
Stochastic Trust‐Region Response‐Surface Method (STRONG)–A New Response‐Surface Framework for Simulation Optimization
Stochastic Trust‐Region Response‐Surface Method (STRONG)–A New Response‐Surface Framework for Simulation Optimization
2013
Response surface methodology (RSM) is a widely used method for simulation...
An Adaptive Hyperbox Algorithm for High‐Dimensional Discrete Optimization via Simulation Problems
An Adaptive Hyperbox Algorithm for High‐Dimensional Discrete Optimization via Simulation Problems
2013
We propose an adaptive hyperbox algorithm (AHA), which is an instance of a locally...
Sequential Convex Approximations to Joint Chance Constrained Programs: A Monte Carlo Approach
Sequential Convex Approximations to Joint Chance Constrained Programs: A Monte Carlo Approach
2011
When there is parameter uncertainty in the constraints of a convex optimization...
Kernel Estimation of the Greeks for Options with Discontinuous Payoffs
Kernel Estimation of the Greeks for Options with Discontinuous Payoffs
2011
The Greeks are the derivatives (also known as sensitivities) of the option prices with...
Pathwise estimation of probability sensitivities through terminating or steady-state simulations
Pathwise estimation of probability sensitivities through terminating or steady-state simulations
2010
A probability is the expectation of an indicator function. However, the standard...
Conditional Monte Carlo estimation of quantile sensitivities
Conditional Monte Carlo estimation of quantile sensitivities
2009
Estimating quantile sensitivities is important in many optimization applications, from...
Simulating Sensitivities of Conditional Value at Risk
Simulating Sensitivities of Conditional Value at Risk
2009
Conditional value at risk (CVaR) is both a coherent risk measure and a natural risk...
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