Mark Broadie

Publication Activity (10 Years)

Years Active: 1984-2022
Publications (10 Years): 4

Top Topics

Noise Cancellation

Estimation Problems

Sampling Strategies

Top Venues

ACM Trans. Model. Comput. Simul.

INFORMS J. Comput.

Comput. Manag. Sci.

Publications

Dongwook Shin, Mark Broadie, Assaf Zeevi
Practical Nonparametric Sampling Strategies for Quantile-Based Ordinal Optimization. INFORMS J. Comput. 34 (2) (2022)
Dongwook Shin, Mark Broadie, Assaf Zeevi
Tractable Sampling Strategies for Ordinal Optimization. Oper. Res. 66 (6) (2018)
Mark Broadie, Weiwei Shen
Numerical solutions to dynamic portfolio problems with upper bounds. Comput. Manag. Sci. 14 (2) (2017)
Dongwook Shin, Mark Broadie, Assaf J. Zeevi
Tractable sampling strategies for quantile-based ordinal optimization. WSC (2016)
Mark Broadie, Yiping Du, Ciamac C. Moallemi
Risk Estimation via Regression. Oper. Res. 63 (5) (2015)
Mark Broadie, Deniz M. Cicek, Assaf Zeevi
Multidimensional stochastic approximation: Adaptive algorithms and applications. ACM Trans. Model. Comput. Simul. 24 (1) (2014)
Mark Broadie
Assessing Golfer Performance on the PGA TOUR. Interfaces 42 (2) (2012)
Mark Broadie, Yiping Du, Ciamac Cyrus Moallemi
Efficient Risk Estimation via Nested Sequential Simulation. Manag. Sci. 57 (6) (2011)
Mark Broadie, Deniz M. Cicek, Assaf Zeevi
General Bounds and Finite-Time Improvement for the Kiefer-Wolfowitz Stochastic Approximation Algorithm. Oper. Res. 59 (5) (2011)
Mark Broadie, Yiping Du, Ciamac Cyrus Moallemi
Risk estimation via weighted regression. WSC (2011)
Mark Broadie, Deniz M. Cicek, Assaf Zeevi
An Adaptive Multidimensional Version of the Kiefer-Wolfowitz Stochastic Approximation Algorithm. WSC (2009)
Mark Broadie, Soonmin Ko
A Simulation Model to Analyze the Impact of Distance and Direction on Golf Scores. WSC (2009)
Matulya Bansal, Mark Broadie
A simulation model to analyze the impact of hole size on putting in golf. WSC (2008)
Mark Broadie, Minsup Han, Assaf Zeevi
Implications of heavy tails on simulation-based ordinal optimization. WSC (2007)
Phelim Boyle, Mark Broadie, Paul Glasserman
Recent advances in simulation for security pricing (1995). WSC (2007)
Mark Broadie, Özgür Kaya
Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes. Oper. Res. 54 (2) (2006)
Mark Broadie, Jérôme Detemple
ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications. Manag. Sci. 50 (9) (2004)
Mark Broadie, Özgür Kaya
Exact Simulation of Option Greeks under Stochastic Volatility and Jump Diffusion Models. WSC (2004)
Leif Andersen, Mark Broadie
Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options. Manag. Sci. 50 (9) (2004)
Mark Broadie, Yusaku Yamamoto
Application of the Fast Gauss Transform to Option Pricing. Manag. Sci. 49 (8) (2003)
Mark Broadie, Paul Glasserman, Shing-Gang Kou
Connecting discrete and continuous path-dependent options. Finance Stochastics 3 (1) (1999)
Mark Broadie, Paul Glasserman
A Pruned and Bootstrapped American Option Simulator. WSC (1995)
Phelim Boyle, Mark Broadie, Paul Glasserman
Recent Advances in Simulation for Security Pricing. WSC (1995)
Mark Broadie
Computing efficient frontiers using estimated parameters. Ann. Oper. Res. 45 (1) (1993)
Mark Broadie, B. Curtis Eaves
A variable rate refining triangulation. Math. Program. 38 (2) (1987)
Mark Broadie, Richard W. Cottle
A note on triangulating the 5-cube. Discret. Math. 52 (1) (1984)