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Perwez Shahabuddin, 1962--2005: A professional appreciation

Published: 01 April 2007 Publication History

Abstract

Perwez Shahabuddin was an accomplished researcher, teacher, and participant in the simulation community. This article provides an overview of his career and a summary of some of his many professional accomplishments.

References

[1]
Boots, N. K. and Shahabuddin, P. 2001. Simulating tail probabilities in GI/GI/1 queues and insurance risk processes with sub-exponential distributions. Oper. Res. in revision.
[2]
Chang, C. S., Heidelberger, P., and Shahabuddin, P. 1995. Fast simulation of packet loss rates in a shared buffer communications switch. ACM Trans. Model. Comput. Simul. 5, 4, 306--325.
[3]
Chang, C. S., Heidelberger, P., Juneja, S., and Shahabuddin, P. 1994. Effective bandwidth and fast simulation of ATM intree networks. Perf. Eval. 20, 1--3, 45--66.
[4]
Dan, A., Shahabuddin, P., and Sitaram, D. 1996. Dynamic batching policies for an on-demand video server. Multimed. Syst. 4, 112--121.
[5]
Dan, A., Shahabuddin, P., Sitaram, D., and Towsley, D. 1995. Channel allocation for batching and VCR control in video-on-demand systems. J. Paral. Distrib. Comput. 30, 168--179.
[6]
Glasserman, P., Heidelberger, P., and Shahabuddin, P. 1999a. Asymptotically optimal importance sampling and stratification for pricing path dependent options. Math. Fin. 9, 2, 117--152.
[7]
Glasserman, P., Heidelberger, P., and Shahabuddin, P. 1999b. Importance sampling in the Heath-Jarrow-Morton framework. J. Deriv. 7, 1, 32--50.
[8]
Glasserman, P., Heidelberger, P., and Shahabuddin, P. 2000. Variance reduction techniques for estimating value-at-risk. Mange. Sci. 46, 10, 1349--1364.
[9]
Glasserman, P., Heidelberger, P., and Shahabuddin, P. 2002. Portfolio value-at-risk with heavy-tailed risk factors. Math. Fin. 12, 3, 239--269.
[10]
Glasserman, P., Heidelberger, P., Shahabuddin, P., and Zajic, T. 1998. A large deviations perspective on the efficiency of multilevel splitting. IEEE Trans. Automat. Cont. 43, 12, 1666--1679.
[11]
Glasserman, P., Heidelberger, P., Shahabuddin, P., and Zajic, T. 1999. Multilevel splitting for estimating probabilities of rare events. Oper. Res. 47, 4, 585--600.
[12]
Glasserman, P., Kang, W., and Shahabuddin, P. 2004a. Large deviations in multifactor portfolio credit risk. Math. Fin. to appear.
[13]
Glasserman, P., Kang, W., and Shahabuddin, P. 2004b. Fast simulation of multifactor portfolio credit risk. Oper. Res. in review.
[14]
Glynn, P. W., Goyal, A., Heidelberger, P., Nicola, V. F., and Shahabuddin, P. 1992. A unified framework for simulating Markovian models of highly dependable systems. IEEE Trans. Comput. 41, 1, 36--51.
[15]
Heidelberger, P., Nicola, V. F., and Shahabuddin, P. 1994. Bounded relative error in estimating transient measures of highly dependable non-Markovian systems. ACM Trans. Model. Comput. Simul. 4, 2, 137--164.
[16]
Hellerstein, J. L., Shahabuddin, P., and Zhang, F. 2001. A statistical approach to predictive detection. Comput. Netw. 35, 77--95.
[17]
Juneja, S. and Shahabuddin, P. 2001a. A splitting based importance sampling algorithm for the fast simulation of Markov chains with small transition probabilities. IEEE Trans. Reliab. 50, 3, 235--245.
[18]
Juneja, S. and Shahabuddin, P. 2001b. Efficient simulation of Markov chains with small transition probabilities. Manage. Sci. 47, 4, 547--562.
[19]
Juneja, S. and Shahabuddin, P. 2002. Simulating heavy tailed processes using delayed hazard rate twisting. ACM Trans. Model. Comput. Simul. 12, 2, 94--118.
[20]
Juneja, S., Karandikar, R. L., and Shahabuddin, P. 2007. Tail asymptotes and fast simulation in stochastic PERT networks using the hazard rate twisting approach. ACM Trans. Model. Comput. Simul. 17, 2, to appear.
[21]
Kang, W., Shahabuddin, P., and Whitt, W. 2007. Exploiting regenerative structure to estimate finite time averages in simulation. ACM Trans. Model. Comput. Simul. 17, 2, to appear.
[22]
Nakayama, M. K. and Shahabuddin, P. 1998. Likelihood ratio derivative estimation for generalized semi-Markov processes. Mangage. Sci. 44, 10, 1426--1441.
[23]
Nakayama, M. K., Nicola, V. F., and Shahabuddin, P. 2001. Techniques for fast simulation of highly dependable systems. IEEE Trans. Reliab. 50, 3, 246--264.
[24]
Nakayama, M. K. and Shahabuddin, P. 2004. Quick simulation methods for estimating the unreliability of regenerative models of large highly reliable systems. Probab. Eng. Inf. Sci. 18, 3, 339--368.
[25]
Nakayama, M. K., Shahabuddin, P., and Sigman, K. 2004. On finite exponential moments for branching processes and busy periods for queues. J. Appl. Probab. 41, Special Volume on Stochastic Methods and their Applications, Eds., J. Gani and E. Seneta.
[26]
Seth, K. and Shahabuddin, P. 1989. Optimization of M/G/1 queueing systems with set-up considerations. Syst. Cyber. Manage. 18, 1--2, 41--60.
[27]
Seth, K. and Shahabuddin, P. 1990. An M/G/1 queueing model in which the first two customers of each busy period get exceptional service. Syst. Cyber. Manage. 19, 3, 93--97.
[28]
Shahabuddin, P. 1994a. Fast transient simulation of Markovian models of highly dependable systems. Perf. Eval. 20, 1--3, 267--286.
[29]
Shahabuddin, P. 1994b. Importance sampling for the simulation of highly reliable Markovian systems. Manage. Sci. 40, 3, 333--352.
[30]
Willebeek-LeMair, M. and Shahabuddin, P. 1997. Approximating dependability measures of computer networks: An FDDI case study. IEEE/ACM Trans. Netw. 4, 311--327.
[31]
Asmussen, S. and Binswanger, K. 1997. Simulation of ruin probabilities for subexponential claims. ASTIN Bulletin 27, 2, 297--318.
[32]
Asmussen, S., Binswanger, K., and Hojgaard, B. 2000. Rare-event simulation for heavy-tailed distributions. Bernoulli 6, 2, 303--322.
[33]
Huang, Z. and Shahabuddin, P. 2003. Rare-event, heavy-tailed simulations using hazard function transformations with applications to value-at-risk. In Proceedings of the Winter Simulation Conference. IEEE Computer Society Press, Los Alamitos, CA, 276--284.
[34]
Huang, Z. and Shahabuddin, P. 2004. A unified approach for finite dimensional, rare-event Monte Carlo simulation. In Proceedings of the Winter Simulation Conference. IEEE Computer Society Press, Los Alamitos, CA, 1616--1624.
[35]
Juneja, S. and Shahabuddin, P. 1992. Fast simulation of Markovian reliability/availability models with general repair policies. In Proceedings of the 22nd International Symposium on Fault-Tolerant Computing. IEEE Computer Society Press, Los Alamitos, CA, 150--159.
[36]
Juneja, S., Shahabuddin, P., and Chandra, A. 1999. Simulating heavy tailed processes using delayed hazard rate twisting. In Proceedings of the Winter Simulation Conference. IEEE Computer Society Press, Los Alamitos, CA, 420--427.
[37]
Kang, W. and Shahabuddin, P. 2005. Fast simulation for multifactor portfolio credit risk in the t-copula model. In Proceedings of the Winter Simulation Conference. IEEE Computer Society Press, Los Alamitos, CA, 1859--1868.
[38]
Lewis, E. E. and Bohm, F. 1984. Monte Carlo simulation of Markov unreliability models. Nucl. Eng. Design 77, 49--62.
[39]
Villen-Altamirano, M. and Villen-Altamirano, J. 1991. RESART: A method for accelerating rare event simulations. In Queueing, Performance and Control in ATM, J.W. Cohen and C.D. Packs, Eds. Elsevier, Amsterdam, The Netherlands, 71--76.
[40]
Dan, A., Shahabuddin, N.P., and Sitaram, D. 1995. Scheduling policies with grouping for providing VCR control functions in a video server. United States Patent 5,453,779, issued September 26, 1995.
[41]
Dan, A., Shahabuddin, P., Sitaram, D., and Tetzlaff, W.H. 1998. Channel conservation for anticipated load surge in video servers. United States Patent 5,768,681, issued June 16, 1998.
[42]
Glasserman, P., Heidelberger, P., and Shahabuddin, P. 2002. Pricing of options using importance sampling and stratification/Quasi-Monte Carlo. United States Patent 6,381,586, issued April 30, 2002.

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Published In

cover image ACM Transactions on Modeling and Computer Simulation
ACM Transactions on Modeling and Computer Simulation  Volume 17, Issue 2
April 2007
169 pages
ISSN:1049-3301
EISSN:1558-1195
DOI:10.1145/1225275
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Association for Computing Machinery

New York, NY, United States

Publication History

Published: 01 April 2007
Published in TOMACS Volume 17, Issue 2

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Author Tags

  1. Rare event simulation
  2. finance
  3. heavy tails
  4. splitting

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