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Jeremy C. Staum · Study

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Jeremy C. Staum

14 works· latest 2019· 2 institutionscluster: provisionalORCID 0000-0001-6163-2624

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i1014

Citations1,599

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Most cited in this library

Stochastic Kriging for Simulation Metamodeling2009 · 636 citations
Shapley Effects for Global Sensitivity Analysis: Theory and Computation2016 · 244 citations
Fundamental Theorems of Asset Pricing for Good Deal Bounds2004 · 94 citations
Better simulation metamodeling: The why, what, and how of stochastic kriging2009 · 92 citations
Stochastic kriging for efficient nested simulation of expected shortfall2010 · 76 citations

Works

14 shown

Gaussian Markov Random Fields for Discrete Optimization via Simulation: Framework and Algorithms

Operations Research·2019·4 authors·Open access

51citations

Shapley Effects for Global Sensitivity Analysis: Theory and Computation

SIAM/ASA Journal on Uncertainty Quantification·2016·3 authors

244citations

Counterparty Contagion in Context: Contributions to Systemic Risk

Cambridge University Press eBooks·2013·1 author·chapter·Open access

35citations

Systemic risk components and deposit insurance premia

Quantitative Finance·2012·1 author·Open access

31citations

Systemic Risk Components in a Network Model of Contagion

SSRN Electronic Journal·2012·2 authors·preprint·Open access

35citations

Efficient Nested Simulation for Estimating the Variance of a Conditional Expectation

Operations Research·2011·3 authors

65citations

A Confidence Interval Procedure for Expected Shortfall Risk Measurement via Two-Level Simulation

Operations Research·2010·3 authors

58citations

Sensitivity analysis of the Eisenberg–Noe model of contagion

Operations Research Letters·2010·2 authors

40citations

Stochastic kriging for efficient nested simulation of expected shortfall

The Journal of Risk·2010·1 author

76citations

Stochastic Kriging for Simulation Metamodeling

Operations Research·2009·3 authors

636citations

Better simulation metamodeling: The why, what, and how of stochastic kriging

Winter Simulation Conference·2009·1 author·other

92citations

Stochastic kriging for simulation metamodeling

Winter Simulation Conference·2008·3 authors·other

68citations

Fundamental Theorems of Asset Pricing for Good Deal Bounds

Mathematical Finance·2004·1 author·Open access

94citations

Conditioning on One-Step Survival for Barrier Option Simulations

Operations Research·2001·2 authors

74citations