All Stories

  1. Exact Simulation of the Wishart Multidimensional Stochastic Volatility Model

    Article • Operations Research, October 2017, INFORMS

    Prof Wanmo Kang

  2. Risk Propagation Through a Platform: The Failure Risk Perspective on Platform Sharing

    Article • IEEE Transactions on Engineering Management, August 2015, Institute of Electrical & Electronics Engineers (IEEE)

    Prof Wanmo Kang

  3. OR Forum—Design of Risk Weights

    Article • Operations Research, December 2014, INFORMS

    Prof Wanmo Kang

  4. Robustness of Order-Up-to Policies in Lost-Sales Inventory Systems

    Article • Operations Research, October 2014, INFORMS

    Prof Wanmo Kang

  5. Stress scenario selection by empirical likelihood

    Article • Quantitative Finance, July 2014, Taylor & Francis

    Prof Wanmo Kang

  6. Large deviations for affine diffusion processes on

    Article • Stochastic Processes and their Applications, June 2014, Elsevier

    Prof Wanmo Kang

  7. Information on jump sizes and hedging

    Article • Stochastics, March 2014, Taylor & Francis

    Prof Wanmo Kang

  8. Fairing the gamma: an engineering approach to sensitivity estimation

    Article • IIE Transactions, March 2014, Taylor & Francis

    Prof Wanmo Kang

  9. Transform formulae for linear functionals of affine processes and their bridges on positive semidefinite matrices

    Article • Stochastic Processes and their Applications, June 2013, Elsevier

    Prof Wanmo Kang

  10. Denoising Monte Carlo sensitivity estimates

    Article • Operations Research Letters, May 2012, Elsevier

    Prof Wanmo Kang

  11. Stress Scenario Selection by Empirical Likelihood

    Article • SSRN Electronic Journal, January 2012, Elsevier

    Prof Wanmo Kang

  12. Fast Simulation of Multifactor Portfolio Credit Risk

    Article • Operations Research, October 2008, INFORMS

    Prof Wanmo Kang

  13. LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK

    Article • Mathematical Finance, July 2007, Wiley

    Prof Wanmo Kang

  14. Exploiting regenerative structure to estimate finite time averages via simulation

    Article • ACM Transactions on Modeling and Computer Simulation, April 2007, ACM (Association for Computing Machinery)

    Prof Wanmo Kang

  15. Price Competition with the Attraction Demand Model: Existence of Unique Equilibrium and Its Stability

    Article • Manufacturing & Service Operations Management, October 2006, INFORMS

    Prof Guillermo Gallego, Prof Wanmo Kang

  16. Linear Convergence of Tatônnement in a Bertrand Oligopoly

    Article • January 2006, Springer Science + Business Media

    Prof Guillermo Gallego, Prof Wanmo Kang

  17. Optimization Problems in the Simulation of Multifactor Portfolio Credit Risk

    Article • January 2006, Springer Science + Business Media

    Prof Wanmo Kang

  18. Inverse conic programming with applications

    Article • Operations Research Letters, May 2005, Elsevier

    Prof Wanmo Kang

  19. Fast simulation for multifactor portfolio credit risk in the t-copula model

    Article • Institute of Electrical & Electronics Engineers (IEEE)

    Prof Wanmo Kang

  20. Design of Risk Weights

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Prof Wanmo Kang