Field(s) of Expertise/Research Area(s)

Financial Engineering and  Monte Carlo simulation

Courses

326 Economics and Finance for Engineers (Fall and Spring)
460-2  Stochastic Models II

Research

Jeremy Staum, 2003, Fundamental Theorems of Asset Pricing for Good Deal Bounds, Mathematical Finance, 14:2,141-161

Jeremy Staum, P. Glasserman, 2003, Resource Allocation among Simulation Time Steps, Operations Research, 51:6,908-921

Jeremy Staum, S. Ehrlichman, V. Lesnevski, 2003, Work Reduction in Financial Simulations, Proc. 2003 Winter Simulation Conference, ,311-318

Jeremy Staum, P. Glasserman, 2001, Stopping Simulated Paths Early, Proc. 2001 Winter Simulation Conference, ,318-324

Jeremy Staum, P. Glasserman, 2001, Conditioning on One-Step Survival for Barrier Option Simulations, Operations Research, 49:6,923-937

Honors and Awards