Research

Titlesort descending Author Year
2022-01: CENTRAL BANK DIGITAL CURRENCIES (CBDCs) The coming of national e-currencies Jeffrey Bohn; Gilles Papadopoulos; Jurg Unger 2022
A Resampling Approach for Causal Inference on Novel Two-Point Time-Series with Application to Identify Risk Factors for Type-2 Diabetes and Cardiovascular Disease Xiaowu Dai; Saad Mouti; Marjorie Lima Do Vale; Sumantra Ray; Jeffrey Bohn; Lisa Goldberg 2023
Collateralized Networks Samim Ghamami; Paul Glasserman; Peyton Young 2021
Controlling shareholders' value, long-run firm value and short-term performance Hyung Cheol Kang; Robert Anderson; Kyong Shik Eom; Sang Koo Kang 2017
Deep Learning for Mortgage Risk Justin Sirignano; Apaar Sadhwani; Kay Giesecke 2018
Derivatives Pricing under Bilateral Counterparty Risk Peter Carr; Samim Ghamami 2017
Determinants of Levered Portfolio Performance Lisa Goldberg; Robert Anderson 2014
Do Steph Curry and Klay Thompson Have Hot Hands? Alon Daks; Nishant Desai; Lisa Goldberg 2017
Do the Golden State Warriors Have Hot Hands? Lisa Goldberg 2017
Does OTC Derivatives Reform Incentivize Central Clearing? Samim Ghamami; Paul Glasserman 2017
Drawdown: From Practice to Theory and Back Again Lisa Goldberg; Ola Mahmoud 2016
Dynamic Scheduling of a Two-Server Parallel Server System with Complete Resource Pooling and Reneging in Heavy Traffic: Asymptotic Optimality of a Two-Threshold Policy Samim Ghamami; Amy Ward 2013
Efficient Monte Carlo Barrier Option Pricing when the Underlying Security Price Follows a Jump-Diffusion Process Sheldon Ross; Samim Ghamami 2010
Efficient Monte Carlo Counterparty Credit Risk Pricing and Measurement Samim Ghamami; Bo Zhang 2014
Efficient Monte Carlo CVA Estimation Samim Ghamami; Bo Zhang 2014
Efficient Monte Carlo CVA Estimation Samim Ghamami; Bo Zhang 2014
Equity risk premium and insecure property rights Konstantin Magin 2014
Identifying Broad and Narrow Financial Risk Factors with Convex Optimization Alex Shkolnik; Lisa Goldberg; Jeffrey Bohn 2016
Improving the Asmussen – Kroese Type Simulation Estimators Samim Ghamami; Sheldon Ross 2012
Improving the Normalized Importance Sampling Estimator Samim Ghamami; Sheldon Ross 2012
Is Index Concentration an Inevitable Consequence of Market-Capitalization Weighting? Lisa Goldberg; Ananth Madhavan; Harrison Selwitz; Alex Shkolnik 2022
James-Stein estimation of the first principal component Alex Shkolnik 2021
James-Stein for the Leading Eigenvector Lisa Goldberg; Alec Kercheval 2023
Multiple Anchor Point Shrinkage for the Sample Covariance Matrix Hubeyb Gurdogan; Alec Kercheval 2022