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Brief
bio and directory entry |
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Last updated October 2010. |
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Book |
![[Book cover: Monte Carlo Methods in Financial Engineering]](bookcover.jpg)
![[Book cover: Monte Carlo Methods in Financial Engineering]](index_files/image003.jpg)
Downloadable Papers
Contingent
Capital with a Capital-Ratio Trigger
P. Glasserman and B. Nouri
Forward
and Future Implied Volatility
P. Glasserman and Q. Wu
Valuing
the Treasury’s Capital Assistance Program
P. Glasserman and Z. Wang
Risk Horizon and Rebalancing Horizon in Portfolio
Risk Measurement
P. Glasserman, Mathematical Finance,
to appear.
Gamma Expansion of the Heston Stochastic
Volatility Model
P. Glasserman and K. Kim, Finance and
Stochastics,to appear.
Sensitivity Estimates for Portfolio
Credit Derivatives Using Monte Carlo
Z. Chen and P. Glasserman, Finance
and Stochastics vol 12, 507-540, 2008.
Moment Explosions and Stationary Distributions in
Affine Diffusion Models
P. Glasserman and K. Kim, Mathematical
Finance, to appear.
Saddlepoint Approximations for Affine Jump-Diffusion
Models
P. Glasserman and K. Kim, Journal of
Economic Dynamics and Control, vol 33, 37-52, 2009.
Beta Approximations for Bridge Sampling
P. Glasserman and K. Kim, Proceedings
of the Winter Simulation Conference, 569-577, 2008.
Sensitivity Estimates from Characteristic
Functions,
P. Glasserman and Z. Liu
Estimating Greeks in Simulating Levy-Driven
Models,
P. Glasserman and Z. Liu
Malliavin Greeks without Malliavin Calculus
N. Chen and P. Glasserman, Stochastic
Processes and Their Applications, vol. 117, 1689-1723, 2007.
Correlation Expansions for CDO Pricing
P. Glasserman and S. Suchintabandid, Journal of Banking and Finance, vol. 31, 1375-1398, 2007.
Fast Pricing of Basket Default Swaps
Z. Chen and P. Glasserman, Operations
Research, vol. 56, 286-303, 2008.
Uniformly Efficient Importance Sampling for the
Tail Distribution of Sums of Random Variables
P. Glasserman and S. Juneja, Mathematics
of Operations Research, vol. 33, 36-50, 2008.
Additive and Multiplicative Duals for American
Option Pricing
N. Chen and P. Glasserman, Finance
and Stochastics, 11, 153-179, 2007.
Large Deviations of Multifactor Portfolio Credit Risk
P. Glasserman, W. Kang, and P. Shahabuddin, Mathematical Finance, vol. 17, 345-379, 2007.
Fast Simulation of Multifactor Portfolio Credit Risk
P. Glasserman, W. Kang, and P. Shahabuddin, Operations Research, to appear.
Perwez Shahabuddin, 1962-2005: A Professional Appreciation
S. Androdottir, P. Glasserman, P.W. Glynn, P. Heidelberger and
A Conversation with Chris Heyde
P. Glasserman and S. G. Kou, Statistical
Science, vol. 21, 286-298, 2006.
Smoking Adjoints: Fast Monte Carlo Greeks
M. Giles and P. Glasserman, Risk, vol. 19, 88-92, 2006.
Importance Sampling for Portfolio Credit Risk
P. Glasserman and Jingyi Li, Management Science, vol 51,
1643-1656, 2005.
Measuring Marginal Risk Contributions in Credit
Portfolios
P. Glasserman, Journal of Computational Finance, vol. 9, 1-41,
2005.
Tail Approximations for Portfolio Credit Risk
P. Glasserman, Journal of Derivatives, 24-42,Winter 2004.
Number of Paths Versus Number of Basis Functions in American Option Pricing
P. Glasserman and Bin Yu, Annals of Applied Probability, vol. 14,
no. 4, 2090-2119, 2004.
Pricing American Options by Simulation: Regression Now or Regression
Later?
P.Glasserman and Bin Yu,
(H. Niederreiter, ed.), Springer,
Importance Sampling for a Mixed Poisson Model of
Portfolio Credit Risk
P. Glasserman and Jingyi Li, Proceedings of the Winter Simulation
Conference 2003
Large Sample Properties of Weighted Monte Carlo Estimators
P. Glasserman and Bin Yu, Operations Research, vol. 53, 298-312, 2005.
Cap
and Swaption Approximations in LIBOR Market Models with Jumps
P. Glasserman and N. Merener, Journal of Computational Finance, vol 7,
1-36, 2003.
The
Term Structure of Simple Forward Rates with Jump Risk
P. Glasserman and S.G. Kou, Mathematical Finance, July 2003,383-410.
Numerical
Solution of Jump-Diffusion LIBOR Market Models
P. Glasserman and N. Merener, Finance and Stochastics 7, 1-27, 2003.
Addendum
Convergence of a Discretization Scheme for
Jump-Diffusion Processes
with State-Dependent Intensities
P. Glasserman and N. Merener, Proceedings of the Royal Society of
London, Series A, vol. 460, 1--17, 2003.
Portfolio
Value-at-Risk with Heavy-Tailed Risk Factors
P. Glasserman, P. Heidelberger, and P. Shahabuddin, Mathematical Finance,
vol. 12, 239-270, 2002.
Variance
Reduction Techniques for Estimating Value-at-Risk
P. Glasserman, P. Heidelberger, and P. Shahabuddin, Management Science,
vol. 46, 1349-1364, 2000.
Efficient
Monte Carlo Methods for Value-at-Risk
P. Glasserman, P. Heidelberger, and P. Shahabuddin, in Mastering Risk: Vol
2, Financial Times-Prentice Hall, 2001.
Importance
Sampling and Stratification for Value-at-Risk
P. Glasserman, P. Heidelberger, and P. Shahabuddin, in Computational Finance
1999, Abu-Mostafa, Le Baron, Lo, and Weigend, eds., MIT Press, 2000.
Stratification
Issues in Estimating Value-at-Risk
P. Glasserman, P. Heidelberger, and P. Shahabuddin, Proceedings of the
Winter Simulation Conference, 351-359, 1999.
Equilibrium
Positive Interest Rates: A Unified View
Y. Jin and P. Glasserman, Review of Financial Studies, 14:187-214
(2001).
Importance
Sampling in the Heath-Jarrow-Morton Framework
P. Glasserman, P. Heidelberger, and P. Shahabuddin, Journal of Derivatives, 7(1):32-50,
1999.
Asymptotically
Optimal Importance Sampling and Stratification for Pricing Path-Dependent
Options,
P. Glasserman, P. Heidelberger, and P. Shahabuddin, Mathematical Finance, 9:117-152,
1999.
Arbitrage-Free
Discretization of Lognormal Forward Libor and Swap Rate Models,
P. Glasserman and X. Zhao, Finance and Stochastics 4:35-68 2000.
Discretization
of Deflated Bond Prices
P. Glasserman and H. Wang, Advances in Applied Probability, 32:540-563,
2001.
Fast
Greeks by Simulation in Forward Libor Models
P. Glasserman and X. Zhao, Journal of Computational Finance, 3:5-39,
1999.
Source
code for numerical examples
Comparing Stochastic
Discount Factors Through Their Implied Measures
P. Glasserman and Y. Jin
Conditioning on One-Step Survival in Barrier Option
Simulations
P. Glasserman and J. Staum, Operations Research, 49:923-937, 2001.
Resource
Allocation Among Simulation Time Steps
P. Glasserman and J. Staum, Operations Research, vol. 51, 908-921,
2003.
Stopping
Simulated Paths Early
P. Glasserman and J. Staum, Proceedings of the Winter Simulation
Conference, 318-325, 2001.
A Stochastic Mesh Method for Pricing High-Dimensional
American Options
M. Broadie and P. Glasserman, Journal of Computational Finance, vol.
7, 35-72, 2004.
Pricing American Options by Simulation Using a Stochastic
Mesh with Optimized Weights
M. Broadie, P. Glasserman, and Z. Ha, in Probabilistic Constrained
Optimization, S.P. Uryasev, ed., 32-50, 2000.
A
Continuity Correction for Discrete Barrier Options
M. Broadie, P. Glasserman, S.G. Kou, Mathematical Finance 7:325-348,
1997.
Connecting
Discrete and Continuous Path-Dependent Options
M. Broadie, P. Glasserman, S.G. Kou, Finance and Stochastics 3:55-82,
1999.