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Kang, Wanmo

Co-Author Distance
Author ID: kang.wanmo Recent zbMATH articles by "Kang, Wanmo"
Published as: Kang, Wanmo
Documents Indexed: 15 Publications since 2005
Co-Authors: 14 Co-Authors with 15 Joint Publications
330 Co-Co-Authors
all top 5

Co-Authors

0 single-authored
4 Glasserman, Paul
4 Kang, Chulmin
3 Shahabuddin, Perwez
2 Huh, Woonghee Tim
2 Lee, Jong Mun
1 Bijvank, Marco
1 Gallego, Guillermo M.
1 Iyengar, Garud N.
1 Janakiraman, Ganesh
1 Kim, Kyoung-Kuk
1 Lee, Kiseop
1 Lee, Kyungsik
1 Shin, Hayong
1 Whitt, Ward
all top 5

Serials

4 Operations Research
2 Operations Research Letters
2 Stochastic Processes and their Applications
1 Mathematics of Operations Research
1 ACM Transactions on Modeling and Computer Simulation
1 Mathematical Finance
1 Quantitative Finance
1 Stochastics
all top 5

Fields

10 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
6 Probability theory and stochastic processes (60-XX)
4 Statistics (62-XX)
4 Operations research, mathematical programming (90-XX)
3 Numerical analysis (65-XX)
1 Computer science (68-XX)

Publications by Year

all cited Publications top 5 cited Publications

Citations contained in zbMATH Open

11 Publications have been cited 122 times in 114 Documents Cited by ▼ Year ▼
Inverse conic programming with applications. Zbl 1140.90465
Iyengar, Garud; Kang, Wanmo
42
2005
Large deviations in multifactor portfolio credit risk. Zbl 1186.91227
Glasserman, Paul; Kang, Wanmo; Shahabuddin, Perwez
27
2007
Fast simulation of multifactor portfolio credit risk. Zbl 1167.91369
Glasserman, Paul; Kang, Wanmo; Shahabuddin, Perwez
16
2008
Exact simulation of the Wishart multidimensional stochastic volatility model. Zbl 1410.91487
Kang, Chulmin; Kang, Wanmo; Lee, Jong Mun
12
2017
Stress scenario selection by empirical likelihood. Zbl 1398.62297
Glasserman, Paul; Kang, Chulmin; Kang, Wanmo
7
2015
Robustness of order-up-to policies in lost-sales inventory systems. Zbl 1327.90006
Bijvank, Marco; Huh, Woonghee Tim; Janakiraman, Ganesh; Kang, Wanmo
5
2014
OR forum: Design of risk weights. Zbl 1342.91039
Glasserman, Paul; Kang, Wanmo
4
2014
Transform formulae for linear functionals of affine processes and their bridges on positive semidefinite matrices. Zbl 1338.60191
Kang, Chulmin; Kang, Wanmo
3
2013
Information on jump sizes and hedging. Zbl 1337.62328
Kang, Wanmo; Lee, Kiseop
3
2014
Unbiased sensitivity estimation of one-dimensional diffusion processes. Zbl 1477.65015
Kang, Wanmo; Lee, Jong Mun
2
2019
Large deviations for affine diffusion processes on \(\mathbb R_+^m \times\mathbb R^n\). Zbl 1309.60019
Kang, Wanmo; Kang, Chulmin
1
2014
Unbiased sensitivity estimation of one-dimensional diffusion processes. Zbl 1477.65015
Kang, Wanmo; Lee, Jong Mun
2
2019
Exact simulation of the Wishart multidimensional stochastic volatility model. Zbl 1410.91487
Kang, Chulmin; Kang, Wanmo; Lee, Jong Mun
12
2017
Stress scenario selection by empirical likelihood. Zbl 1398.62297
Glasserman, Paul; Kang, Chulmin; Kang, Wanmo
7
2015
Robustness of order-up-to policies in lost-sales inventory systems. Zbl 1327.90006
Bijvank, Marco; Huh, Woonghee Tim; Janakiraman, Ganesh; Kang, Wanmo
5
2014
OR forum: Design of risk weights. Zbl 1342.91039
Glasserman, Paul; Kang, Wanmo
4
2014
Information on jump sizes and hedging. Zbl 1337.62328
Kang, Wanmo; Lee, Kiseop
3
2014
Large deviations for affine diffusion processes on \(\mathbb R_+^m \times\mathbb R^n\). Zbl 1309.60019
Kang, Wanmo; Kang, Chulmin
1
2014
Transform formulae for linear functionals of affine processes and their bridges on positive semidefinite matrices. Zbl 1338.60191
Kang, Chulmin; Kang, Wanmo
3
2013
Fast simulation of multifactor portfolio credit risk. Zbl 1167.91369
Glasserman, Paul; Kang, Wanmo; Shahabuddin, Perwez
16
2008
Large deviations in multifactor portfolio credit risk. Zbl 1186.91227
Glasserman, Paul; Kang, Wanmo; Shahabuddin, Perwez
27
2007
Inverse conic programming with applications. Zbl 1140.90465
Iyengar, Garud; Kang, Wanmo
42
2005
all cited Publications top 5 cited Publications
all top 5

Cited by 221 Authors

9 Zhang, Liwei
7 Sowers, Richard B.
7 Zhang, Jianzhong
6 Lee, Taewoo
5 Spiliopoulos, Konstantinos V.
4 Chan, Timothy C. Y.
4 Giesecke, Kay
4 Lu, Yue
4 Zhang, Yi
3 Li, Lidan
3 Tang, Qihe
2 Brignone, Riccardo
2 Cui, Zhenyu
2 Fatheddin, Parisa
2 Ghate, Archis
2 Ghobadi, Kimia
2 Grasselli, Martino
2 Hong, Liu Jeff
2 Jiang, Yong
2 Kwok, Yue-Kuen
2 Lee, Kiseop
2 Liu, Guangwu
2 Mahmoudzadeh, Houra
2 Naryongo, Raphael
2 Nelson, Barry L.
2 Ngare, Philip
2 Oosterlee, Cornelis Willebrordus
2 Ortiz-Gracia, Luis
2 Schaefer, Andrew J.
2 Sirignano, Justin A.
2 Terekhov, Daria
2 Tong, Zhiwei
2 Waititu, Anthony
2 Wang, Lizhi
2 Wu, Jia
2 Xiao, Xiantao
2 Yang, Yang
2 Zhang, Hongwei
1 Ahmadian, Sara
1 Ahn, Dohyun
1 Ajayi, Temitayo
1 Andersson, Patrik
1 Arai, Takuji
1 Arts, Joachim
1 Aswani, Anil
1 Ayadi, Mohamed Ali
1 Baes, Michel
1 Bauer, Daniel J.
1 Ben-Ameur, Hatem
1 Bérczi, Kristóf
1 Bertsimas, Dimitris John
1 Bhaskar, Umang
1 Bodnar, Taras
1 Bodur, Merve
1 Bonab, Fahimeh Baroughi
1 Brigo, Damiano
1 Buddhakulsomsiri, Jirachai
1 Bujok, K.
1 Carmona, René A.
1 Chakraborty, Prakash
1 Chan, Joshua C. C.
1 Channouf, Nabil
1 Chao, Xiuli
1 Chen, Jingnan
1 Chen, Shi
1 Cho, Seonghun
1 Choi, Jaehyuk
1 Choi, Young-Geun
1 Colldeforns-Papiol, Gemma
1 Craig, Tim
1 Crepey, Stephane
1 Cui, Hengxin
1 Dassios, Angelos
1 Deelstra, Griselda
1 Dempe, Stephan
1 Deo, Anand
1 Deshpande, Amogh
1 Dickhaus, Thorsten
1 Dong, Zheng-Peng
1 Duc, Nguyen Trong Tri
1 Flood, Mark D.
1 Foroughi, Ali Asghar
1 Friesen, Martin
1 Fuh, Cheng-Der
1 Ge, Yingen
1 Glock, Christoph H.
1 Gnoatto, Alessandro
1 Goltsos, Thanos E.
1 Gonzato, Luca
1 Gu, Jian
1 Gupta, Rishabh
1 Gupta, Vishal
1 Hambly, Ben M.
1 Han, Xiaoying
1 Hanasusanto, Grani A.
1 Haugh, Martin B.
1 Hörmann, Wolfgang
1 Hsieh, Ming-hua
1 Hu, Jing
1 Hu, Xiaoming
...and 121 more Authors
all top 5

Cited in 53 Serials

14 European Journal of Operational Research
11 Operations Research
6 Quantitative Finance
5 Mathematical Finance
4 Operations Research Letters
3 Insurance Mathematics & Economics
3 Annals of Operations Research
3 Stochastic Processes and their Applications
3 INFORMS Journal on Computing
3 International Journal of Theoretical and Applied Finance
3 Methodology and Computing in Applied Probability
3 Journal of Industrial and Management Optimization
2 Journal of Computational and Applied Mathematics
2 Journal of Economic Dynamics & Control
2 The Annals of Applied Probability
2 Journal of Global Optimization
2 International Journal of Computer Mathematics
2 Mathematical Programming. Series A. Series B
2 International Transactions in Operational Research
2 Mathematical Methods of Operations Research
2 Optimization Letters
1 Advances in Applied Probability
1 Discrete Applied Mathematics
1 Mathematics of Computation
1 Applied Mathematics and Optimization
1 International Journal of Mathematics and Mathematical Sciences
1 Journal of Applied Probability
1 Journal of Statistical Planning and Inference
1 Mathematics of Operations Research
1 Acta Mathematicae Applicatae Sinica
1 Stochastic Analysis and Applications
1 Applied Numerical Mathematics
1 Optimization
1 Asia-Pacific Journal of Operational Research
1 Journal of Theoretical Probability
1 Computational Optimization and Applications
1 SIAM Journal on Scientific Computing
1 Theory of Probability and Mathematical Statistics
1 Top
1 ACM Transactions on Modeling and Computer Simulation
1 Optimization Methods & Software
1 Journal of Combinatorial Optimization
1 Journal of Evolution Equations
1 Journal of Systems Science and Complexity
1 Journal of Applied Mathematics
1 Stochastic Models
1 Journal of Applied Mathematics and Computing
1 North American Actuarial Journal
1 AStA. Advances in Statistical Analysis
1 Asian-European Journal of Mathematics
1 SIAM Journal on Financial Mathematics
1 Statistics and Computing
1 Journal of Mathematics
all top 5

Cited in 14 Fields

60 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
49 Operations research, mathematical programming (90-XX)
25 Probability theory and stochastic processes (60-XX)
22 Numerical analysis (65-XX)
12 Statistics (62-XX)
7 Calculus of variations and optimal control; optimization (49-XX)
2 Partial differential equations (35-XX)
2 Computer science (68-XX)
1 Dynamical systems and ergodic theory (37-XX)
1 Integral transforms, operational calculus (44-XX)
1 Convex and discrete geometry (52-XX)
1 Global analysis, analysis on manifolds (58-XX)
1 Fluid mechanics (76-XX)
1 Systems theory; control (93-XX)

Citations by Year