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Kay Giesecke

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Journal Articles

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2024
[j22]
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  - journals/mansci/CongGK24
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Lin William Cong, Kay Giesecke, Cami Kuhnen:
Call for Papers - Management Science Virtual Special Issue on Digital Finance. Manag. Sci. 70(8): Vi-Vii (2024)
[j21]
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Baris Ata, Lin William Cong, Kay Giesecke, Peng Sun, Chung-Piaw Teo:
Call for Papers - Management Science Virtual Special Issue on AI for Finance and Business Decisions. Manag. Sci. 70(10): xi-xii (2024)
2023
[j20]
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Bruno Biais, Agostino Capponi, Lin William Cong, Vishal Gaur, Kay Giesecke:
Advances in Blockchain and Crypto Economics. Manag. Sci. 69(11): 6417-6426 (2023)
2022
[j19]
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Kay Giesecke, Gui Liberali, Hamid Nazerzadeh, J. George Shanthikumar, Chung-Piaw Teo:
Introduction to the Special Section on Data-Driven Prescriptive Analytics. Manag. Sci. 68(3): 1591-1594 (2022)
[j18]
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Kay Giesecke, Alexander D. Shkolnik:
Reducing Bias in Event Time Simulations via Measure Changes. Math. Oper. Res. 47(2): 969-988 (2022)
2021
[j17]
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Bruno Biais, Agostino Capponi, Lin William Cong, Vishal Gaur, Kay Giesecke:
Call for Papers - Management Science Special Issue on Blockchains and Crypto Economics. Manag. Sci. 67(1): 6-7 (2021)
2019
[j16]
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Justin A. Sirignano, Kay Giesecke:
Risk Analysis for Large Pools of Loans. Manag. Sci. 65(1): 107-121 (2019)
[j15]
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  - journals/mansci/TsoukalasWG19
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Gerry Tsoukalas, Jiang Wang, Kay Giesecke:
Dynamic Portfolio Execution. Manag. Sci. 65(5): 2015-2040 (2019)
2018
[j14]
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Kay Giesecke, Gui Liberali, Hamid Nazerzadeh, J. George Shanthikumar, Chung-Piaw Teo:
Call for Papers - Management Science - Special Issue on Data-Driven Prescriptive Analytics. Manag. Sci. 64(6): 2972 (2018)
2016
[j13]
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Justin A. Sirignano, Gerry Tsoukalas, Kay Giesecke:
Large-Scale Loan Portfolio Selection. Oper. Res. 64(6): 1239-1255 (2016)
2015
[j12]
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  - journals/mor/ZhangBGG15
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Xiaowei Zhang, Jose H. Blanchet, Kay Giesecke, Peter W. Glynn:
Affine Point Processes: Approximation and Efficient Simulation. Math. Oper. Res. 40(4): 797-819 (2015)
2014
[j11]
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Kay Giesecke, Baeho Kim, Jack Kim, Gerry Tsoukalas:
Optimal Credit Swap Portfolios. Manag. Sci. 60(9): 2291-2307 (2014)
2013
[j10]
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Kay Giesecke, Dmitry Smelov:
Exact Sampling of Jump Diffusions. Oper. Res. 61(4): 894-907 (2013)
2012
[j9]
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  - journals/ior/DengGL12
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Shaojie Deng, Kay Giesecke, Tze Leung Lai:
Sequential Importance Sampling and Resampling for Dynamic Portfolio Credit Risk. Oper. Res. 60(1): 78-91 (2012)
2011
[j8]
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Kay Giesecke, Baeho Kim:
Risk Analysis of Collateralized Debt Obligations. Oper. Res. 59(1): 32-49 (2011)
[j7]
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Kay Giesecke, Lisa R. Goldberg, Xiaowei Ding:
A Top-Down Approach to Multiname Credit. Oper. Res. 59(2): 283-300 (2011)
[j6]
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Kay Giesecke, Hossein Kakavand, Mohammad Mousavi:
Exact Simulation of Point Processes with Stochastic Intensities. Oper. Res. 59(5): 1233-1245 (2011)
[j5]
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Kay Giesecke, Baeho Kim:
Systemic Risk: What Defaults Are Telling Us. Manag. Sci. 57(8): 1387-1405 (2011)
[j4]
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  - journals/mansci/GieseckeKZ11
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Kay Giesecke, Baeho Kim, Shilin Zhu:
Monte Carlo Algorithms for Default Timing Problems. Manag. Sci. 57(12): 2115-2129 (2011)
2010
[j3]
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  - journals/siamfm/ErraisGG10
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Eymen Errais, Kay Giesecke, Lisa R. Goldberg:
Affine Point Processes and Portfolio Credit Risk. SIAM J. Financial Math. 1(1): 642-665 (2010)
[j2]
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Kay Giesecke, Hossein Kakavand, Mohammad Mousavi, Hideyuki Takada:
Exact and Efficient Simulation of Correlated Defaults. SIAM J. Financial Math. 1(1): 868-896 (2010)
2009
[j1]
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  - journals/ior/DingGT09
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Xiaowei Ding, Kay Giesecke, Pascal I. Tomecek:
Time-Changed Birth Processes and Multiname Credit Derivatives. Oper. Res. 57(4): 990-1005 (2009)

Conference and Workshop Papers

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2022
[c8]
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  - conf/icaif/HorelG22
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Enguerrand Horel, Kay Giesecke:
Computationally Efficient Feature Significance and Importance for Predictive Models. ICAIF 2022: 300-307
2020
[c7]
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  - conf/icaif/HorelGSC20
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Enguerrand Horel, Kay Giesecke, Victor Storchan, Naren Chittar:
Explainable clustering and application to wealth management compliance. ICAIF 2020: 47:1-47:6
[c6]
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  - conf/wsc/ChenSG20
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Guanting Chen, Alexander D. Shkolnik, Kay Giesecke:
Unbiased Simulation Estimators for Path Integrals of Diffusions. WSC 2020: 277-288
2019
[c5]
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  - conf/wsc/ChenSG19
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Guanting Chen, Alexander D. Shkolnik, Kay Giesecke:
Unbiased Simulation Estimators for Jump-Diffusions. WSC 2019: 890-901
2010
[c4]
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  - conf/wsc/GieseckeS10
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Kay Giesecke, Alexander D. Shkolnik:
Importance sampling for indicator Markov chains. WSC 2010: 2742-2750
2009
[c3]
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  - conf/wsc/ZhangGGB09
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Xiaowei Zhang, Peter W. Glynn, Kay Giesecke, Jose H. Blanchet:
Rare Event Simulation for a Generalized Hawkes Process. WSC 2009: 1291-1298
2008
[c2]
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  - conf/wsc/GieseckeKM08
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Kay Giesecke, Hossein Kakavand, Mohammad Mousavi:
Simulating point processes by intensity projection. WSC 2008: 560-568
2007
[c1]
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  - conf/wsc/GieseckeK07
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Kay Giesecke, Baeho Kim:
Estimating tranche spreads by loss process simulation. WSC 2007: 967-975

Informal and Other Publications

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2019
[i3]
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  - journals/corr/abs-1902-06021
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Enguerrand Horel, Kay Giesecke:
Towards Explainable AI: Significance Tests for Neural Networks. CoRR abs/1902.06021 (2019)
[i2]
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  - journals/corr/abs-1905-09849
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Enguerrand Horel, Kay Giesecke:
Computationally Efficient Feature Significance and Importance for Machine Learning Models. CoRR abs/1905.09849 (2019)
2018
[i1]
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  - journals/corr/abs-1812-01029
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Enguerrand Horel, Virgile Mison, Tao Xiong, Kay Giesecke, Lidia Mangu:
Sensitivity based Neural Networks Explanations. CoRR abs/1812.01029 (2018)

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