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Jeremy C. Staum, Ph.D. - Publications

Affiliations: 
2001 Columbia University, New York, NY 
Area:
Operations Research
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23 high-probability publications. We are testing a new system for linking publications to authors. You can help! If you notice any inaccuracies, please sign in and mark papers as correct or incorrect matches. If you identify any major omissions or other inaccuracies in the publication list, please let us know.

Year Citation  Score
2020 Yang R, Apley DW, Staum JC, Ruppert D. Density Deconvolution With Additive Measurement Errors Using Quadratic Programming Journal of Computational and Graphical Statistics. 1-12. DOI: 10.1080/10618600.2019.1704294  0.306
2019 Salemi P, Staum J, Nelson BL. Generalized Integrated Brownian Fields for Simulation Metamodeling Operations Research. 67: 874-891. DOI: 10.1287/Opre.2018.1804  0.393
2019 Salemi PL, Song E, Nelson BL, Staum J. Gaussian Markov Random Fields for Discrete Optimization via Simulation: Framework and Algorithms Operations Research. 67: 250-266. DOI: 10.1287/Opre.2018.1778  0.413
2018 Maggiar A, Wächter A, Dolinskaya IS, Staum J. A Derivative-Free Trust-Region Algorithm for the Optimization of Functions Smoothed via Gaussian Convolution Using Adaptive Multiple Importance Sampling Siam Journal On Optimization. 28: 1478-1507. DOI: 10.1137/15M1031679  0.347
2017 Rosenbaum I, Staum J. Multilevel Monte Carlo Metamodeling Operations Research. 65: 1062-1077. DOI: 10.1287/Opre.2017.1607  0.464
2017 Feng M, Staum J. Green Simulation: Reusing the Output of Repeated Experiments Acm Transactions On Modeling and Computer Simulation. 27: 23. DOI: 10.1145/3129130  0.474
2016 Steckley SG, Henderson SG, Ruppert D, Yang R, Apley DW, Staum J. Estimating the density of a conditional expectation Electronic Journal of Statistics. 10: 736-760. DOI: 10.1214/16-Ejs1121  0.379
2016 Salemi P, Nelson BL, Staum J. Moving least squares regression for high-dimensional stochastic simulation metamodeling Acm Transactions On Modeling and Computer Simulation. 26. DOI: 10.1145/2724708  0.472
2016 Song E, Nelson BL, Staum J. Shapley Effects for Global Sensitivity Analysis: Theory and Computation Siam/Asa Journal On Uncertainty Quantification. 4: 1060-1083. DOI: 10.1137/15M1048070  0.316
2015 Staum JC. Nonnegative risk components Journal of Risk. 18: 1-29. DOI: 10.21314/Jor.2015.316  0.342
2013 Staum J. Excess invariance and shortfall risk measures Operations Research Letters. 41: 47-53. DOI: 10.1016/J.Orl.2012.11.004  0.325
2012 Staum JC. Systemic risk components and deposit insurance premia Quantitative Finance. 12: 651-662. DOI: 10.2139/Ssrn.1982131  0.306
2011 Sun Y, Apley DW, Staum J. Efficient nested simulation for estimating the variance of a conditional expectation Operations Research. 59: 998-1007. DOI: 10.1287/Opre.1110.0932  0.484
2010 Liu M, Staum J. Stochastic Kriging for Efficient Nested Simulation of Expected Shortfall Journal of Risk. 12: 3-27. DOI: 10.21314/Jor.2010.211  0.493
2010 Lan H, Nelson BL, Staum J. A Confidence Interval Procedure for Expected Shortfall Risk Measurement via Two-Level Simulation Operations Research. 58: 1481-1490. DOI: 10.1287/Opre.1090.0792  0.469
2010 Ankenman B, Nelson BL, Staum J. Stochastic Kriging for Simulation Metamodeling Operations Research. 58: 371-382. DOI: 10.1287/Opre.1090.0754  0.438
2008 Baysal RE, Staum J. Empirical likelihood for value-at-risk and expected shortfall Journal of Risk. 11: 3-32. DOI: 10.21314/Jor.2008.185  0.484
2008 Lesnevski V, Nelson B, Staum J. An adaptive procedure for estimating coherent risk measures based on generalized scenarios Journal of Computational Finance. 11: 1-31. DOI: 10.21314/Jcf.2008.186  0.389
2007 Lesnevski V, Nelson BL, Staum J. Simulation of Coherent Risk Measures Based on Generalized Scenarios Management Science. 53: 1756-1769. DOI: 10.1287/Mnsc.1070.0734  0.42
2006 Nelson BL, Staum J. Control variates for screening, selection, and estimation of the best Acm Transactions On Modeling and Computer Simulation. 16: 52-75. DOI: 10.1145/1122012.1122015  0.368
2004 Staum J. Fundamental Theorems of Asset Pricing for Good Deal Bounds Mathematical Finance. 14: 141-161. DOI: 10.1111/J.0960-1627.2004.00186.X  0.314
2003 Glasserman P, Staum J. Resource allocation among simulation time steps Operations Research. 51: 908-921+1003. DOI: 10.1287/Opre.51.6.908.24922  0.578
2001 Glasserman P, Staum J. Conditioning on one-step survival for barrier option simulations Operations Research. 49: 923-937. DOI: 10.1287/Opre.49.6.923.10018  0.578
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