Computer-implemented method and apparatus for portfolio compression RS Dembo, AY Kreinin, D Rosen US Patent 6,278,981, 2001 | 363 | 2001 |
Construction and comparison of high‐dimensional Sobol'generators IM Sobol', D Asotsky, A Kreinin, S Kucherenko Wilmott 2011 (56), 64-79, 2011 | 216 | 2011 |
Regularization algorithms for transition matrices A Kreinin, M Sidelnikova Algo Research Quarterly 4 (1/2), 23-40, 2001 | 128 | 2001 |
System and methods for valuing and managing the risk of credit instrument portfolios S Aguias, B Belkin, V Farber, L Forest, A Kreinin, D Rosen, S Suchower US Patent App. 10/044,071, 2003 | 107* | 2003 |
System and methods for valuing and managing the risk of credit instrument portfolios S Aguais, B Belkin, V Farber, LR Forest Jr, A Kreinin, D Rosen, ... US Patent 7,526,446, 2009 | 94* | 2009 |
Queueing systems with renovation AY Kreinin International Journal of Stochastic Analysis 10, 431-441, 1997 | 56 | 1997 |
A simple multi-factor “factor adjustment” for the treatment of credit capital diversification JCG Cespedes, JA de Juan Herrero, A Kreinin, D Rosen Journal of Credit Risk 2 (3), 57-85, 2006 | 53 | 2006 |
Portfolio credit-risk optimization I Iscoe, A Kreinin, H Mausser, O Romanko Journal of Banking & Finance 36 (6), 1604-1615, 2012 | 51 | 2012 |
Principal component analysis in quasi monte carlo simulation A Kreinin, L Merkoulovitch, D Rosen, M Zerbs Algo Research Quarterly 1 (2), 21-30, 1998 | 46 | 1998 |
Randomization in the first hitting time problem K Jackson, A Kreinin, W Zhang Statistics & probability letters 79 (23), 2422-2428, 2009 | 35 | 2009 |
Inequalities concerning the waiting time in single-server queues: A survey DJ Daley, AY Kreinin, CD Trengove Oxford Statistical Science Series 1 (9), 177-177, 1992 | 35 | 1992 |
Measuring portfolio risk using quasi Monte Carlo methods A Kreinin, L Merkoulovitch, D Rosen, M Zerbs Algo Research Quarterly 1 (1), 17-26, 1998 | 26 | 1998 |
Default boundary problem I Iscoe, A Kreinin Technical report, Algorithmics Inc, 1999 | 25 | 1999 |
Valuation of synthetic CDOs I Iscoe, A Kreinin Journal of Banking & Finance 31 (11), 3357-3376, 2007 | 18 | 2007 |
Joint distributions in Poissonian tandem queues FI Karpelevitch, AY Kreinin Queueing Systems 12, 273-286, 1992 | 17 | 1992 |
Inhomogeneous random walks: applications in queueing and finance A Kreinin CanQueue/Fields Institute, 2003 | 15 | 2003 |
Scheduling checks and saves LB Boguslavsky, EG Coffman Jr, EN Gilbert, AY Kreinin ORSA Journal on Computing 4 (1), 60-69, 1992 | 15 | 1992 |
Scheduling saves in fault-tolerant computations EG Coffman, L Flatto, AY Kreinin Acta informatica 30, 409-423, 1993 | 13 | 1993 |
Correlated poisson processes and their applications in financial modeling A Kreinin Financial Signal Processing and Machine Learning, 191-232, 2016 | 11 | 2016 |
The generalized Shiryaev problem and Skorokhod embedding S Jaimungal, A Kreinin, A Valov Theory of Probability & Its Applications 58 (3), 493-502, 2014 | 11 | 2014 |