Paul Glasserman

	2012
33		Paul Glasserman, Sira Suchintabandid: Quadratic Transform Approximation for CDO Pricing in Multifactor Models. SIAM J. Financial Math. 3(1): 137-162 (2012)
	2011
32		Paul Glasserman, Kyoung-Kuk Kim: Gamma expansion of the Heston stochastic volatility model. Finance and Stochastics 15(2): 267-296 (2011)
31		Paul Glasserman, Zhenyu Wang: Valuing the Treasury's Capital Assistance Program. Management Science 57(7): 1195-1211 (2011)
	2010
30		Paul Glasserman, Xingbo Xu: Importance sampling for tail risk in discretely rebalanced portfolios. Winter Simulation Conference 2010: 2655-2665
29		Paul Glasserman, Behzad Nouri: Contingent capital with discrete conversion from debt to equity. Winter Simulation Conference 2010: 2732-2741
28		Paul Glasserman, Zongjian Liu: Sensitivity Estimates from Characteristic Functions. Operations Research 58(6): 1611-1623 (2010)
	2008
27		Paul Glasserman, Kyoung-Kuk Kim: Beta approximations for bridge sampling. Winter Simulation Conference 2008: 569-577
26		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)
25		Zhiyong Chen, Paul Glasserman: Fast Pricing of Basket Default Swaps. Operations Research 56(2): 286-303 (2008)
24		Paul Glasserman, Wanmo Kang, Perwez Shahabuddin: Fast Simulation of Multifactor Portfolio Credit Risk. Operations Research 56(5): 1200-1217 (2008)
	2007
23		Phelim Boyle, Mark Broadie, Paul Glasserman: Recent advances in simulation for security pricing (1995). Winter Simulation Conference 2007: 9
22		Paul Glasserman, Zongjian Liu: Sensitivity estimates from characteristic functions. Winter Simulation Conference 2007: 932-940
21		Zhiyong Chen, Paul Glasserman: Approximations and control variates for pricing portfolio credit derivatives. Winter Simulation Conference 2007: 976-983
20		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): (2007)
	2005
19		Paul Glasserman, Jingyi Li: Importance Sampling for Portfolio Credit Risk. Management Science 51(11): 1643-1656 (2005)
18		Paul Glasserman, Bin Yu: Large Sample Properties of Weighted Monte Carlo Estimators. Operations Research 53(2): 298-312 (2005)
	2004
17		Nomesh Bolia, Sandeep Juneja, Paul Glasserman: Function-Approximation-Based Importance Sampling for Pricing American Options. Winter Simulation Conference 2004: 604-611
	2003
16		Paul Glasserman, Jingyi Li: New simulation methodology for risk analysis: importance sampling for a mixed Poisson model of portfolio credit risk. Winter Simulation Conference 2003: 267-275
15		Paul Glasserman, Jeremy Staum: Resource Allocation Among Simulation Time Steps. Operations Research 51(6): 908-921 (2003)
	2001
14		Paul Glasserman, Jeremy Staum: Simulation in financial engineering: stopping simulated paths early. Winter Simulation Conference 2001: 318-324
	2000
13		Paul Glasserman, Philip Heidelberger, Perwez Shahabuddin: Variance reduction techniques for value-at-risk with heavy-tailed risk factors. Winter Simulation Conference 2000: 604-609
	1999
12		Paul Glasserman, Philip Heidelberger, Perwez Shahabuddin: Stratification issues in estimating value-at-risk. Winter Simulation Conference 1999: 351-358
	1998
11		Paul Glasserman, Philip Heidelberger, Perwez Shahabuddin: Gaussian Importance Sampling and Stratification: Computational Issues. Winter Simulation Conference 1998: 685-694
	1996
10		Paul Glasserman, Philip Heidelberger, Perwez Shahabuddin, Tim Zajic: Splitting for Rare Event Simulation: Analysis of Simple Cases. Winter Simulation Conference 1996: 302-308
	1995
9		Phelim Boyle, Mark Broadie, Paul Glasserman: Recent Advances in Simulation for Security Pricing. Winter Simulation Conference 1995: 212-219
8		Mark Broadie, Paul Glasserman: A Pruned and Bootstrapped American Option Simulator. Winter Simulation Conference 1995: 229-235
7		Paul Glasserman, Shing-Gang Kou: Analysis of an Importance Sampling Estimator for Tandem Queues. ACM Trans. Model. Comput. Simul. 5(1): 22-42 (1995)
	1992
6		Paul Glasserman, Peter W. Glynn: Gradient estimation for regenerative processes. Winter Simulation Conference 1992: 280-288
5		Paul Glasserman, Pirooz Vakili: Correlation of Markov Chains Simulated in Parallel. Winter Simulation Conference 1992: 475-482
4		Paul Glasserman: Stationary waiting time derivatives. Queueing Syst. 12(3-4): 369-389 (1992)
	1991
3		Paul Glasserman: Structural Conditions for Perturbation Analysis of Queuing Systems. J. ACM 38(4): 1005-1025 (1991)
	1989
2		Paul Glasserman, Wei-Bo Gong: Derivative estimates from discontinuous realizations: smoothing techniques. Winter Simulation Conference 1989: 381-389
1		Paul Glasserman, Yu-Chi Ho: Aggregation Approximations for Sensitivity Analysis of Multi-Class Queueing Networks. Perform. Eval. 10(4): 295-308 (1989)

Coauthor Index

1	Sigrún Andradóttir	[20]
2	Nomesh Bolia	[17]
3	Phelim Boyle	[9] [23]
4	Mark Broadie	[8] [9] [23]
5	Zhiyong Chen	[21] [25]
6	Peter W. Glynn	[6] [20]
7	Wei-Bo Gong	[2]
8	Philip Heidelberger	[10] [11] [12] [13] [20]
9	Yu-Chi Ho	[1]
10	Sandeep Juneja	[17] [20] [26]
11	Wanmo Kang	[24]
12	Kyoung-Kuk Kim	[27] [32]
13	Shing-Gang Kou	[7]
14	Jingyi Li	[16] [19]
15	Zongjian Liu	[22] [28]
16	Behzad Nouri	[29]
17	Perwez Shahabuddin	[10] [11] [12] [13] [24]
18	Jeremy Staum	[14] [15]
19	Sira Suchintabandid	[33]
20	Pirooz Vakili	[5]
21	Zhenyu Wang	[31]
22	Xingbo Xu	[30]
23	Bin Yu	[18]
24	Tim Zajic	[10]

Colors in the list of coauthors

Last update Fri Jun 1 15:44:53 2012 CET by the DBLP Team — Data released under the ODC-BY 1.0 license — See also our legal information page