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Theory
Theorie
71
Optionspreistheorie
24
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19
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19
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18
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71
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Glasserman, Paul
66
Young, H. Peyton
9
Broadie, Mark
7
Merener, Nicolas
6
Ghamami, Samim
5
Shahabuddin, Perwez
5
Heidelberger, Philip
4
Wu, Qi
4
He, Pu
3
Kang, Wanmo
3
Li, Mike
3
Mamaysky, Harry
3
Xu, Xingbo
3
Yang, Linan
3
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2
Kim, Kyoung-kuk
2
Kou, Steven
2
Moallemi, Ciamac C.
2
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2
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2
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2
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2
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1
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Mathematical finance : an international journal of mathematics, statistics and financial theory
7
Columbia Business School Research Paper
6
Finance and stochastics
6
Management science : journal of the Institute for Operations Research and the Management Sciences
4
Office of Financial Research Working Paper
3
Department of Economics discussion paper series / University of Oxford
2
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2
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2
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2
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2
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2
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2
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1
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1
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1
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1
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1
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1
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1
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1
Mathematical finance : an international journal of mathematics, statistics and financial economics
1
OFR WP 17-01
1
Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
1
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The professional risk managers' guide to finance theory and application
1
World development : the multi-disciplinary international journal devoted to the study and promotion of world development
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ECONIS (ZBW)
71
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1
Numerical solution of jump-diffusion LIBOR market models
Glasserman, Paul
;
Merener, Nicolas
- In:
Finance and stochastics
7
(
2003
)
1
,
pp. 1-27
Persistent link: https://www.econbiz.de/10001724635
Saved in:
2
Monte Carlo methods in financial engineering
Glasserman, Paul
-
2004
Persistent link: https://www.econbiz.de/10001763783
Saved in:
3
Portfolio mathematics
Glasserman, Paul
- In:
The professional risk managers' guide to finance theory …
,
(pp. 55-102)
.
2008
Persistent link: https://www.econbiz.de/10003677812
Saved in:
4
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:
5
Fast greeks by simulation in forward LIBOR models
Glasserman, Paul
;
Zhao, Xiaoliang
- In:
The journal of computational finance
3
(
1999
)
1
,
pp. 5-39
Persistent link: https://www.econbiz.de/10001517406
Saved in:
6
Importance sampling in the Health-Jarrow-Morton framework
Glasserman, Paul
;
Heidelberger, Philip
;
Shahabuddin, Perwez
- In:
The journal of derivatives : the official publication …
7
(
1999
)
1
,
pp. 32-50
Persistent link: https://www.econbiz.de/10001432466
Saved in:
7
Portfolio value-at-risk with heavy-tailed risk factors
Glasserman, Paul
;
Heidelberger, Philip
;
Shahabuddin, Perwez
-
2000
Persistent link: https://www.econbiz.de/10001496087
Saved in:
8
Estimating security price derivatives using simulation
Broadie, Mark
;
Glasserman, Paul
-
1993
Persistent link: https://www.econbiz.de/10000990346
Saved in:
9
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:
10
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
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