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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
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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
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Design of risk weights
Glasserman, Paul; Kang, Wanmo - In: Operations research 62 (2014) 6, pp. 1204-1220
Persistent link: https://www.econbiz.de/10010471872
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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
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Approximate dynamic programming via a smoothed linear program
Desai, Vijay V.; Farias, Vivek F.; Moallemi, Ciamac C. - In: Operations research 60 (2012) 3, pp. 655-674
Persistent link: https://www.econbiz.de/10009575346
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Risk estimation via regression
Broadie, Mark; Du, Yiping; Moallemi, Ciamac C. - In: Operations research 63 (2015) 5, pp. 1077-1097
Persistent link: https://www.econbiz.de/10011397803
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Queueing dynamics and state space collapse in fragmented limit order book markets
Maglaras, Costis; Moallemi, Ciamac C.; Zheng, Hua - In: Operations research 69 (2021) 4, pp. 1324-1348
Persistent link: https://www.econbiz.de/10012625209
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Cross-sectional variation of intraday liquidity, cross-impact, and their effect on portfolio execution
Min, Seungki; Maglaras, Costis; Moallemi, Ciamac C. - In: Operations research 70 (2022) 2, pp. 830-846
Persistent link: https://www.econbiz.de/10013365796