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2020 – today
- 2023
[j50]Paul Glasserman, Enrique Lelo de Larrea
:
Maximum Entropy Distributions with Applications to Graph Simulation. Oper. Res. 71(5): 1908-1924 (2023)- [i4]Paul Glasserman, Caden Lin:
Assessing Look-Ahead Bias in Stock Return Predictions Generated By GPT Sentiment Analysis. CoRR abs/2309.17322 (2023) - 2022
- [j49]Samim Ghamami, Paul Glasserman, H. Peyton Young:
Collateralized Networks. Manag. Sci. 68(3): 2202-2225 (2022) - [i3]Paul Glasserman, Mike Li:
Should Bank Stress Tests Be Fair? CoRR abs/2207.13319 (2022) - 2021
- [i2]Paul Glasserman, Mike Li:
Linear Classifiers Under Infinite Imbalance. CoRR abs/2106.05797 (2021) - 2020
- [j48]Agostino Capponi, Paul Glasserman, Marko H. Weber:
Swing Pricing for Mutual Funds: Breaking the Feedback Loop Between Fire Sales and Fund Redemptions. Manag. Sci. 66(8): 3581-3602 (2020) - [c22]Paul Glasserman, Kriste Krstovski, Paul Laliberte, Harry Mamaysky:
Choosing news topics to explain stock market returns. ICAIF 2020: 39:1-39:8 - [i1]Paul Glasserman, Kriste Krstovski, Paul Laliberte, Harry Mamaysky:
Choosing News Topics to Explain Stock Market Returns. CoRR abs/2010.07289 (2020)
2010 – 2019
- 2019
- [j47]Samim Ghamami, Paul Glasserman:
Submodular Risk Allocation. Manag. Sci. 65(10): 4656-4675 (2019) - 2018
- [j46]Paul Glasserman, Qi Wu:
Persistence and Procyclicality in Margin Requirements. Manag. Sci. 64(12): 5705-5724 (2018) - [c21]Paul Glasserman, Enrique Lelo de Larrea:
Simulation of bipartite or Directed graphs with prescribed degree sequences using Maximum Entropy Probabilities. WSC 2018: 1658-1669 - 2016
- [j45]Rama Cont, Darrell Duffie, Paul Glasserman, Chris Rogers, Fernando Vega-Redondo:
Preface to the Special Issue on Systemic Risk: Models and Mechanisms. Oper. Res. 64(5): 1053-1055 (2016) - [j44]Paul Glasserman, Ciamac C. Moallemi, Kai Yuan:
Hidden Illiquidity with Multiple Central Counterparties. Oper. Res. 64(5): 1143-1158 (2016) - 2014
- [j43]Paul Glasserman, Wanmo Kang:
OR Forum - Design of Risk Weights. Oper. Res. 62(6): 1204-1220 (2014) - 2013
- [j42]Paul Glasserman, Xingbo Xu:
Robust Portfolio Control with Stochastic Factor Dynamics. Oper. Res. 61(4): 874-893 (2013) - 2012
- [j41]Paul Glasserman, Behzad Nouri:
Contingent Capital with a Capital-Ratio Trigger. Manag. Sci. 58(10): 1816-1833 (2012) - [j40]Paul Glasserman, Sira Suchintabandid:
Quadratic Transform Approximation for CDO Pricing in Multifactor Models. SIAM J. Financial Math. 3(1): 137-162 (2012) - 2011
- [j39]Paul Glasserman, Kyoung-Kuk Kim:
Gamma expansion of the Heston stochastic volatility model. Finance Stochastics 15(2): 267-296 (2011) - [j38]Paul Glasserman, Zhenyu Wang:
Valuing the Treasury's Capital Assistance Program. Manag. Sci. 57(7): 1195-1211 (2011) - 2010
- [j37]Paul Glasserman, Zongjian Liu:
Sensitivity Estimates from Characteristic Functions. Oper. Res. 58(6): 1611-1623 (2010) - [c20]Paul Glasserman, Xingbo Xu:
Importance sampling for tail risk in discretely rebalanced portfolios. WSC 2010: 2655-2665 - [c19]Paul Glasserman, Behzad Nouri:
Contingent capital with discrete conversion from debt to equity. WSC 2010: 2732-2741
2000 – 2009
- 2008
- [j36]Zhiyong Chen, Paul Glasserman:
Sensitivity estimates for portfolio credit derivatives using Monte Carlo. Finance Stochastics 12(4): 507-540 (2008) - [j35]Zhiyong Chen, Paul Glasserman:
Fast Pricing of Basket Default Swaps. Oper. Res. 56(2): 286-303 (2008) - [j34]Paul Glasserman, Wanmo Kang, Perwez Shahabuddin:
Fast Simulation of Multifactor Portfolio Credit Risk. Oper. Res. 56(5): 1200-1217 (2008) - [j33]Paul Glasserman, Sandeep Juneja:
Uniformly Efficient Importance Sampling for the Tail Distribution of Sums of Random Variables. Math. Oper. Res. 33(1): 36-50 (2008) - [c18]Paul Glasserman, Kyoung-Kuk Kim:
Beta approximations for bridge sampling. WSC 2008: 569-577 - 2007
- [j32]Nan Chen, Paul Glasserman:
Additive and multiplicative duals for American option pricing. Finance Stochastics 11(2): 153-179 (2007) - [j31]Sigrún Andradóttir, Paul Glasserman, Peter W. Glynn, Philip Heidelberger, Sandeep Juneja:
Perwez Shahabuddin, 1962-2005: A professional appreciation. ACM Trans. Model. Comput. Simul. 17(2): 6 (2007) - [c17]Phelim Boyle, Mark Broadie, Paul Glasserman:
Recent advances in simulation for security pricing (1995). WSC 2007: 9 - [c16]Paul Glasserman, Zongjian Liu:
Sensitivity estimates from characteristic functions. WSC 2007: 932-940 - [c15]Zhiyong Chen, Paul Glasserman:
Approximations and control variates for pricing portfolio credit derivatives. WSC 2007: 976-983 - 2005
- [j30]Paul Glasserman, Bin Yu:
Large Sample Properties of Weighted Monte Carlo Estimators. Oper. Res. 53(2): 298-312 (2005) - [j29]Paul Glasserman, Jingyi Li:
Importance Sampling for Portfolio Credit Risk. Manag. Sci. 51(11): 1643-1656 (2005) - 2004
- [c14]Nomesh Bolia, Sandeep Juneja, Paul Glasserman:
Function-Approximation-Based Importance Sampling for Pricing American Options. WSC 2004: 604-611 - 2003
- [j28]Paul Glasserman, Nicolas Merener:
Numerical solution of jump-diffusion LIBOR market models. Finance Stochastics 7(1): 1-27 (2003) - [j27]Paul Glasserman, Jeremy Staum:
Resource Allocation Among Simulation Time Steps. Oper. Res. 51(6): 908-921 (2003) - [c13]Paul Glasserman, Jingyi Li:
New simulation methodology for risk analysis: importance sampling for a mixed Poisson model of portfolio credit risk. WSC 2003: 267-275 - 2001
- [j26]Paul Glasserman, Jeremy Staum:
Conditioning on One-Step Survival for Barrier Option Simulations. Oper. Res. 49(6): 923-937 (2001) - [c12]Paul Glasserman, Jeremy Staum:
Simulation in financial engineering: stopping simulated paths early. WSC 2001: 318-324 - 2000
- [j25]Paul Glasserman, Xiaoliang Zhao:
Arbitrage-free discretization of lognormal forward Libor and swap rate models. Finance Stochastics 4(1): 35-68 (2000) - [c11]Paul Glasserman, Philip Heidelberger, Perwez Shahabuddin:
Value-at-risk with heavy-tailed risk factors. CIFEr 2000: 58-61 - [c10]Paul Glasserman, Philip Heidelberger, Perwez Shahabuddin:
Variance reduction techniques for value-at-risk with heavy-tailed risk factors. WSC 2000: 604-609
1990 – 1999
- 1999
- [j24]Mark Broadie, Paul Glasserman, Shing-Gang Kou:
Connecting discrete and continuous path-dependent options. Finance Stochastics 3(1): 55-82 (1999) - [j23]Paul Glasserman, Philip Heidelberger, Perwez Shahabuddin, Tim Zajic:
Multilevel Splitting for Estimating Rare Event Probabilities. Oper. Res. 47(4): 585-600 (1999) - [j22]Paul Glasserman, Yashan Wang:
Fill-Rate Bottlenecks in Production-Inventory Networks. Manuf. Serv. Oper. Manag. 1(1): 62-76 (1999) - [c9]Paul Glasserman, Philip Heidelberger, Perwez Shahabuddin:
Stratification issues in estimating value-at-risk. WSC 1999: 351-358 - 1998
- [j21]Paul Glasserman, Yashan Wang:
Leadtime-Inventory Trade-Offs in Assemble-to-Order Systems. Oper. Res. 46(6): 858-871 (1998) - [j20]Paul Glasserman, Philip Heidelberger, Perwez Shahabuddin, Tim Zajic:
A large deviations perspective on the efficiency of multilevel splitting. IEEE Trans. Autom. Control. 43(12): 1666-1679 (1998) - [c8]Paul Glasserman, Philip Heidelberger, Perwez Shahabuddin:
Gaussian Importance Sampling and Stratification: Computational Issues. WSC 1998: 685-694 - 1997
- [j19]Paul Glasserman:
Bounds and Asymptotics for Planning Critical Safety Stocks. Oper. Res. 45(2): 244-257 (1997) - [j18]Paul Glasserman, Tai-Wen Liu:
Corrected Diffusion Approximations for a Multistage Production-Inventory System. Math. Oper. Res. 22(1): 186-201 (1997) - 1996
- [j17]Paul Glasserman, David D. Yao:
Structured buffer-allocation problems. Discret. Event Dyn. Syst. 6(1): 9-41 (1996) - [j16]Paul Glasserman:
Allocating Production Capacity Among Multiple Products. Oper. Res. 44(5): 724-734 (1996) - [c7]Paul Glasserman, Philip Heidelberger, Perwez Shahabuddin, Tim Zajic:
Splitting for Rare Event Simulation: Analysis of Simple Cases. WSC 1996: 302-308 - 1995
- [j15]Paul Glasserman:
Hedging-point production control with multiple failure modes. IEEE Trans. Autom. Control. 40(4): 707-712 (1995) - [j14]Paul Glasserman, David D. Yao:
Subadditivity and stability of a class of discrete-event systems. IEEE Trans. Autom. Control. 40(9): 1514-1527 (1995) - [j13]Paul Glasserman, Shing-Gang Kou:
Analysis of an Importance Sampling Estimator for Tandem Queues. ACM Trans. Model. Comput. Simul. 5(1): 22-42 (1995) - [c6]Phelim Boyle, Mark Broadie, Paul Glasserman:
Recent Advances in Simulation for Security Pricing. WSC 1995: 212-219 - [c5]Mark Broadie, Paul Glasserman:
A Pruned and Bootstrapped American Option Simulator. WSC 1995: 229-235 - 1994
- [j12]Paul Glasserman, Sridhar R. Tayur:
The Stability of a Capacitated, Multi-Echelon Production-Inventory System Under a Base-Stock Policy. Oper. Res. 42(5): 913-925 (1994) - [j11]Paul Glasserman, David D. Yao:
Monotone Optimal Control of Permutable GSMPs. Math. Oper. Res. 19(2): 449-476 (1994) - 1993
- [j10]Paul Glasserman:
Filtered Monte Carlo. Math. Oper. Res. 18(3): 610-634 (1993) - 1992
- [j9]Paul Glasserman:
Smoothing complements and randomized score functions. Ann. Oper. Res. 39(1): 41-67 (1992) - [j8]Paul Glasserman:
Derivative Estimates from Simulation of Continuous-Time Markov Chains. Oper. Res. 40(2): 292-308 (1992) - [j7]Paul Glasserman, David D. Yao:
Monotonicity in Generalized Semi-Markov Processes. Math. Oper. Res. 17(1): 1-21 (1992) - [j6]Paul Glasserman, David D. Yao:
Generalized Semi-Markov Processes: Antimatroid Structure and Second-Order Properties. Math. Oper. Res. 17(2): 444-469 (1992) - [j5]Paul Glasserman:
Stationary waiting time derivatives. Queueing Syst. Theory Appl. 12(3-4): 369-389 (1992) - [c4]Paul Glasserman, Peter W. Glynn:
Gradient estimation for regenerative processes. WSC 1992: 280-288 - [c3]Paul Glasserman, Pirooz Vakili:
Correlation of Markov Chains Simulated in Parallel. WSC 1992: 475-482 - 1991
- [j4]Paul Glasserman, David D. Yao:
Algebraic structure of some stochastic discrete event systems, with applications. Discret. Event Dyn. Syst. 1(1): 7-35 (1991) - [j3]Paul Glasserman:
Structural Conditions for Perturbation Analysis Derivative Estimation: Finite-Time Performance Indices. Oper. Res. 39(5): 724-738 (1991) - [j2]Paul Glasserman:
Structural Conditions for Perturbation Analysis of Queuing Systems. J. ACM 38(4): 1005-1025 (1991)
1980 – 1989
- 1989
- [j1]Paul Glasserman, Yu-Chi Ho:
Aggregation Approximations for Sensitivity Analysis of Multi-Class Queueing Networks. Perform. Evaluation 10(4): 295-308 (1989) - [c2]Paul Glasserman, Wei-Bo Gong:
Derivative estimates from discontinuous realizations: smoothing techniques. WSC 1989: 381-389 - 1988
- [c1]Paul Glasserman:
Performance continuity and differentiability in Monte Carlo optimization. WSC 1988: 518-524
Coauthor Index
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