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~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
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Glasserman, Paul
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Broadie, Mark
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Mathematical finance : an international journal of mathematics, statistics and financial theory
Management science : journal of the Institute for Operations Research and the Management Sciences
14
Finance and stochastics
12
Operations research : the journal of the Operations Research Society of America
12
Columbia Business School Research Paper
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Management Science
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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Mathematics of operations research
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The journal of computational finance
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Office of Financial Research Working Paper
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Quantitative Finance
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Quantitative finance
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The review of financial studies
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Department of Economics discussion paper series / University of Oxford
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Journal of Banking & Finance
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Paine Webber working paper series in money, economics and finance
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Achieving financial stability : challenges to prudential regulation
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Annual review of financial economics
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Applications of mathematics : stochastic modeling and applied probality ; stochastic mechanics, random media, signal processing and image synthesis, mathematical economics, stochastic optimization and finance stochastic control
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Applications of mathematics : stochastic modelling and applied probability
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Columbia Business School Research Paper Forthcoming
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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FRB of New York Staff Report
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Interfaces : the INFORMS journal on the practice of operations research
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International journal of theoretical and applied finance
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Journal of financial and quantitative analysis : JFQA
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1
Risk horizon and rebalancing horizon in portfolio risk measurement
Glasserman, Paul
- In:
Mathematical finance : an international journal of …
22
(
2012
)
2
,
pp. 214-249
Persistent link: https://www.econbiz.de/10009613204
Saved in:
2
RISK HORIZON AND REBALANCING HORIZON IN PORTFOLIO RISK MEASUREMENT
Glasserman, Paul
- In:
Mathematical finance : an international journal of …
22
(
2012
)
2
,
pp. 215-250
Persistent link: https://www.econbiz.de/10009830077
Saved in:
3
Moment explosions and stationary distributions in affine diffusion models
Glasserman, Paul
;
Kim, Kyoung-kuk
- In:
Mathematical finance : an international journal of …
20
(
2010
)
1
,
pp. 1-33
Persistent link: https://www.econbiz.de/10003955654
Saved in:
4
MOMENT EXPLOSIONS AND STATIONARY DISTRIBUTIONS IN AFFINE DIFFUSION MODELS
Glasserman, Paul
;
Kim, Kyoung-Kuk
- In:
Mathematical finance : an international journal of …
20
(
2010
)
1
,
pp. 1-34
Persistent link: https://www.econbiz.de/10008352627
Saved in:
5
Large deviations in multifactor portfolio credit risk
Glasserman, Paul
;
Kang, Wanmo
;
Shahabuddin, Perwez
- In:
Mathematical finance : an international journal of …
17
(
2007
)
3
,
pp. 345-379
Persistent link: https://www.econbiz.de/10003626548
Saved in:
6
LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK
Glasserman, Paul
;
Kang, Wanmo
;
Shahabuddin, Perwez
- In:
Mathematical finance : an international journal of …
17
(
2007
)
3
,
pp. 345-380
Persistent link: https://www.econbiz.de/10008221749
Saved in:
7
The term structure of simple forward rates with jump risk
Glasserman, Paul
;
Kou, Steven
- In:
Mathematical finance : an international journal of …
13
(
2003
)
3
,
pp. 383-410
Persistent link: https://www.econbiz.de/10001782287
Saved in:
8
The Term Structure of Simple Forward Rates with Jump Risk
Glasserman, Paul
;
Kou, S.G.
- In:
Mathematical finance : an international journal of …
13
(
2003
)
3
,
pp. 383-410
Persistent link: https://www.econbiz.de/10008215442
Saved in:
9
Portfolio value-at-risk with heavy-tailed risk factors
Glasserman, Paul
;
Heidelberger, Philip
;
Shahabuddin, Perwez
- In:
Mathematical finance : an international journal of …
12
(
2002
)
3
,
pp. 239-269
Persistent link: https://www.econbiz.de/10001686394
Saved in:
10
Portfolio Value-at-Risk with Heavy-Tailed Risk Factors
Glasserman, Paul
;
Heidelberger, Philip
;
Shahabuddin, Perwez
- In:
Mathematical finance : an international journal of …
12
(
2002
)
3
,
pp. 239-270
Persistent link: https://www.econbiz.de/10008216216
Saved in:
11
Asymptotically optimal importance sampling and stratification for pricing path-dependent options
Glasserman, Paul
;
Heidelberger, Philip
;
Shahabuddin, Perwez
- In:
Mathematical finance : an international journal of …
9
(
1999
)
2
,
pp. 117-152
Persistent link: https://www.econbiz.de/10001372181
Saved in:
12
Asymptotically Optimal Importance Sampling and Stratification for Pricing Path-Dependent Options
Glasserman, Paul
;
Heidelberger, Philip
;
Shahabuddin, Perwez
- In:
Mathematical finance : an international journal of …
9
(
1999
)
2
,
pp. 117-152
Persistent link: https://www.econbiz.de/10008218616
Saved in:
13
A continuity correction for discrete barrier options
Broadie, Mark
- In:
Mathematical finance : an international journal of …
7
(
1997
)
4
,
pp. 325-349
Persistent link: https://www.econbiz.de/10001232779
Saved in:
14
A Continuity Correction for Discrete Barrier Options
Broadie, Mark
;
Glasserman, Paul
;
Kou, Steven
- In:
Mathematical finance : an international journal of …
7
(
1997
)
4
,
pp. 325-350
Persistent link: https://www.econbiz.de/10008219659
Saved in:
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