Faculty Directory
Jeremy Staum

Associate Professor of Industrial Engineering and Management Sciences

Contact

2145 Sheridan Road
Tech D235
Evanston, IL 60208-3109

Email Jeremy Staum

Website

Jeremy Staum's Homepage


Departments

Industrial Engineering and Management Sciences


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Education

Ph.D. Business, Columbia University, New York, NY

M.S. Statistics, Stanford University, Palo Alto, CA

S.B. Mathematics, University of Chicago, Chicago, IL


Research Interests

design and analysis of simulation experiments, especially for simulation of stochastic systems; financial engineering; risk management


Selected Publications

  • Nelson, Barry L.; Staum, Jeremy; Salemi, Peter, “Discrete optimization via simulation using Gaussian Markov random fields”, Proceedings - Winter Simulation Conference, (2015)
  • Nelson, Barry L.; Salemi, Peter; Staum, Jeremy, “Generalized integrated brownian fields for simulation metamodeling”, Proceedings of the 2013 Winter Simulation Conference - Simulation: Making Decisions in a Complex World, WSC 2013, (2013)
  • Staum, Jeremy; Rosenbaum, Imry, “Multilevel Monte Carlo metamodeling”, Proceedings of the 2013 Winter Simulation Conference - Simulation: Making Decisions in a Complex World, WSC 2013, (2013)
  • Staum, Jeremy, “Excess invariance and shortfall risk measures”, Operations Research Letters, (2013)
  • Nelson, Barry L.; Salemi, Peter; Staum, Jeremy, “Moving Least Squares regression for high dimensional simulation metamodeling”, Proceedings - Winter Simulation Conference, (2012)
  • J. Staum, “Systemic risk components and deposit insurance premia”, Quantitative Finance, (2012)