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ARTICLES - Multilevel Splittin...
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69
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Glasserman, Paul
66
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9
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7
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6
Shahabuddin, Perwez
6
Ghamami, Samim
5
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4
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3
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3
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6
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6
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Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
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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
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2
Portfolio value-at-risk with heavy-tailed risk factors
Glasserman, Paul
;
Heidelberger, Philip
;
Shahabuddin, Perwez
-
2000
Persistent link: https://www.econbiz.de/10001496087
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3
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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4
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
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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
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6
Sensitivity analysis from sample paths using likelihoods
Heidelberger, Philip
- In:
Management science : journal of the Institute for …
35
(
1989
)
12
,
pp. 1475-1488
Persistent link: https://www.econbiz.de/10001082111
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7
Convergence properties of infinitesimal perturbation analysis estimates
Heidelberger, Philip
(
contributor
)
- In:
Management science : journal of the Institute for …
34
(
1988
)
11
,
pp. 1281-1302
Persistent link: https://www.econbiz.de/10001060040
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8
Simulating tail probabilities in GI/GI/1 queues and insurance risk processes with subexponential distributions
Boots, Nam Kyoo
;
Shahabuddin, Perwez
-
2000
Persistent link: https://www.econbiz.de/10001554458
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9
Monte Carlo methods in financial engineering
Glasserman, Paul
-
2004
Persistent link: https://www.econbiz.de/10001763783
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10
Portfolio mathematics
Glasserman, Paul
- In:
The professional risk managers' guide to finance theory …
,
(pp. 55-102)
.
2008
Persistent link: https://www.econbiz.de/10003677812
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