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Glasserman, Paul
66
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7
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5
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5
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4
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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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Monte Carlo methods in financial engineering
Glasserman, Paul
-
2004
Persistent link: https://www.econbiz.de/10001763783
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2
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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3
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
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4
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
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5
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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6
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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7
Estimating security price derivatives using simulation
Broadie, Mark
;
Glasserman, Paul
-
1993
Persistent link: https://www.econbiz.de/10000990346
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8
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
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9
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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10
Enhanced Monte Carlo estimates for American option prices
Broadie, Mark
- In:
The journal of derivatives : the official publication …
5
(
1997
)
1
,
pp. 25-44
Persistent link: https://www.econbiz.de/10001226468
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