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Variance Reduction Techniques for Estimating Value-at-Risk

Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez - In: Management Science 46 (2000) 10, pp. 1349-1364

This paper describes, analyzes and evaluates an algorithm for estimating portfolio loss probabilities using Monte Carlo simulation.Obtaining accurate estimates of such loss probabilities is essential to calculating value-at-risk, which is a quantile of the loss distribution. The method employs a...

Persistent link: https://www.econbiz.de/10009209365

Maximum entropy distributions with applications to graph simulation

Glasserman, Paul; Larrea, Enrique Lelo de - In: Operations research 71 (2023) 5, pp. 1908-1924

Persistent link: https://www.econbiz.de/10014393288

Swing pricing : theory and evidence

Capponi, Agostino; Glasserman, Paul; Weber, Marko - In: Annual review of financial economics 15 (2023), pp. 617-640

Persistent link: https://www.econbiz.de/10014427161

Buy rough, sell smooth

Glasserman, Paul; He, Pu - In: Options - 45 years since the publication of the …, (pp. 89-125). 2023

Persistent link: https://www.econbiz.de/10014366595

Assessing look-ahead bias in stock return predictions generated by GPT sentiment analysis

Glasserman, Paul; Lin, Caden - In: The journal of financial data science 6 (2024) 1, pp. 25-42

Persistent link: https://www.econbiz.de/10015195384

Dynamic information regimes in financial markets

Glasserman, Paul; Mamaysky, Harry; Shen, Yiwen - In: Management science : journal of the Institute for … 70 (2024) 9, pp. 6069-6092

Persistent link: https://www.econbiz.de/10015138019

Bounding wrong-way risk in CVA calculation

Glasserman, Paul; Yang, Linan - In: Mathematical finance : an international journal of … 28 (2018) 1, pp. 268-305

Persistent link: https://www.econbiz.de/10011969151

Preface to the special issue on systemic risk : models and mechanisms

Cont, Rama; Duffie, Darrell; Glasserman, Paul; Rogers, … - In: Operations research 64 (2016) 5, pp. 1053-1055

Persistent link: https://www.econbiz.de/10011594632

Hidden illiquidity with multiple central counterparties

Glasserman, Paul; Moallemi, Ciamac C.; Yuan, Kai - In: Operations research 64 (2016) 5, pp. 1143-1158

Persistent link: https://www.econbiz.de/10011594669

Market-triggered changes in capital structure : equilibrium price dynamics

Glasserman, Paul; Nouri, Behzad - In: Econometrica : journal of the Econometric Society, an … 84 (2016) 6, pp. 2113-2153

Persistent link: https://www.econbiz.de/10011791219