Paul Glasserman

Publication Activity (10 Years)

Years Active: 1988-2023
Publications (10 Years): 13

Top Topics

Maximum Entropy

Linear Classifiers

Top Venues

Publications

Paul Glasserman, Caden Lin
Assessing Look-Ahead Bias in Stock Return Predictions Generated By GPT Sentiment Analysis. CoRR (2023)
Paul Glasserman, Enrique Lelo de Larrea
Maximum Entropy Distributions with Applications to Graph Simulation. Oper. Res. 71 (5) (2023)
Paul Glasserman, Mike Li
Should Bank Stress Tests Be Fair? CoRR (2022)
Samim Ghamami, Paul Glasserman, H. Peyton Young
Collateralized Networks. Manag. Sci. 68 (3) (2022)
Paul Glasserman, Mike Li
Linear Classifiers Under Infinite Imbalance. CoRR (2021)
Paul Glasserman, Kriste Krstovski, Paul Laliberte, Harry Mamaysky
Choosing News Topics to Explain Stock Market Returns. CoRR (2020)
Paul Glasserman, Kriste Krstovski, Paul Laliberte, Harry Mamaysky
Choosing news topics to explain stock market returns. ICAIF (2020)
Agostino Capponi, Paul Glasserman, Marko H. Weber
Swing Pricing for Mutual Funds: Breaking the Feedback Loop Between Fire Sales and Fund Redemptions. Manag. Sci. 66 (8) (2020)
Samim Ghamami, Paul Glasserman
Submodular Risk Allocation. Manag. Sci. 65 (10) (2019)
Paul Glasserman, Enrique Lelo de Larrea
Simulation of bipartite or Directed graphs with prescribed degree sequences using Maximum Entropy Probabilities. WSC (2018)
Paul Glasserman, Qi Wu
Persistence and Procyclicality in Margin Requirements. Manag. Sci. 64 (12) (2018)
Paul Glasserman, Ciamac C. Moallemi, Kai Yuan
Hidden Illiquidity with Multiple Central Counterparties. Oper. Res. 64 (5) (2016)
Rama Cont, Darrell Duffie, Paul Glasserman, Chris Rogers, Fernando Vega-Redondo
Preface to the Special Issue on Systemic Risk: Models and Mechanisms. Oper. Res. 64 (5) (2016)
Paul Glasserman, Wanmo Kang
OR Forum - Design of Risk Weights. Oper. Res. 62 (6) (2014)
Paul Glasserman, Xingbo Xu
Robust Portfolio Control with Stochastic Factor Dynamics. Oper. Res. 61 (4) (2013)
Paul Glasserman, Sira Suchintabandid
Quadratic Transform Approximation for CDO Pricing in Multifactor Models. SIAM J. Financial Math. 3 (1) (2012)
Paul Glasserman, Behzad Nouri
Contingent Capital with a Capital-Ratio Trigger. Manag. Sci. 58 (10) (2012)
Paul Glasserman, Zhenyu Wang
Valuing the Treasury's Capital Assistance Program. Manag. Sci. 57 (7) (2011)
Paul Glasserman, Kyoung-Kuk Kim
Gamma expansion of the Heston stochastic volatility model. Finance Stochastics 15 (2) (2011)
Paul Glasserman, Zongjian Liu
Sensitivity Estimates from Characteristic Functions. Oper. Res. 58 (6) (2010)
Paul Glasserman, Xingbo Xu
Importance sampling for tail risk in discretely rebalanced portfolios. WSC (2010)
Paul Glasserman, Behzad Nouri
Contingent capital with discrete conversion from debt to equity. WSC (2010)
Paul Glasserman, Sandeep Juneja
Uniformly Efficient Importance Sampling for the Tail Distribution of Sums of Random Variables. Math. Oper. Res. 33 (1) (2008)
Zhiyong Chen, Paul Glasserman
Sensitivity estimates for portfolio credit derivatives using Monte Carlo. Finance Stochastics 12 (4) (2008)
Paul Glasserman, Wanmo Kang, Perwez Shahabuddin
Fast Simulation of Multifactor Portfolio Credit Risk. Oper. Res. 56 (5) (2008)
Paul Glasserman, Kyoung-Kuk Kim
Beta approximations for bridge sampling. WSC (2008)
Zhiyong Chen, Paul Glasserman
Fast Pricing of Basket Default Swaps. Oper. Res. 56 (2) (2008)
Nan Chen, Paul Glasserman
Additive and multiplicative duals for American option pricing. Finance Stochastics 11 (2) (2007)
Zhiyong Chen, Paul Glasserman
Approximations and control variates for pricing portfolio credit derivatives. WSC (2007)
Phelim Boyle, Mark Broadie, Paul Glasserman
Recent advances in simulation for security pricing (1995). WSC (2007)
Paul Glasserman, Zongjian Liu
Sensitivity estimates from characteristic functions. WSC (2007)
Sigrún Andradóttir, Paul Glasserman, Peter W. Glynn, Philip Heidelberger, Sandeep Juneja
Perwez Shahabuddin, 1962-2005: A professional appreciation. ACM Trans. Model. Comput. Simul. 17 (2) (2007)
Paul Glasserman, Bin Yu
Large Sample Properties of Weighted Monte Carlo Estimators. Oper. Res. 53 (2) (2005)
Paul Glasserman, Jingyi Li
Importance Sampling for Portfolio Credit Risk. Manag. Sci. 51 (11) (2005)
Nomesh Bolia, Sandeep Juneja, Paul Glasserman
Function-Approximation-Based Importance Sampling for Pricing American Options. WSC (2004)
Paul Glasserman, Jingyi Li
New simulation methodology for risk analysis: importance sampling for a mixed Poisson model of portfolio credit risk. WSC (2003)
Paul Glasserman, Jeremy Staum
Resource Allocation Among Simulation Time Steps. Oper. Res. 51 (6) (2003)
Paul Glasserman, Nicolas Merener
Numerical solution of jump-diffusion LIBOR market models. Finance Stochastics 7 (1) (2003)
Paul Glasserman, Jeremy Staum
Simulation in financial engineering: stopping simulated paths early. WSC (2001)
Paul Glasserman, Jeremy Staum
Conditioning on One-Step Survival for Barrier Option Simulations. Oper. Res. 49 (6) (2001)
Paul Glasserman, Philip Heidelberger, Perwez Shahabuddin
Value-at-risk with heavy-tailed risk factors. CIFEr (2000)
Paul Glasserman, Xiaoliang Zhao
Arbitrage-free discretization of lognormal forward Libor and swap rate models. Finance Stochastics 4 (1) (2000)
Paul Glasserman, Philip Heidelberger, Perwez Shahabuddin
Variance reduction techniques for value-at-risk with heavy-tailed risk factors. WSC (2000)
Paul Glasserman, Yashan Wang
Fill-Rate Bottlenecks in Production-Inventory Networks. Manuf. Serv. Oper. Manag. 1 (1) (1999)
Paul Glasserman, Philip Heidelberger, Perwez Shahabuddin
Stratification issues in estimating value-at-risk. WSC (1999)
Paul Glasserman, Philip Heidelberger, Perwez Shahabuddin, Tim Zajic
Multilevel Splitting for Estimating Rare Event Probabilities. Oper. Res. 47 (4) (1999)
Mark Broadie, Paul Glasserman, Shing-Gang Kou
Connecting discrete and continuous path-dependent options. Finance Stochastics 3 (1) (1999)
Paul Glasserman, Yashan Wang
Leadtime-Inventory Trade-Offs in Assemble-to-Order Systems. Oper. Res. 46 (6) (1998)
Paul Glasserman, Philip Heidelberger, Perwez Shahabuddin
Gaussian Importance Sampling and Stratification: Computational Issues. WSC (1998)
Paul Glasserman, Philip Heidelberger, Perwez Shahabuddin, Tim Zajic
A large deviations perspective on the efficiency of multilevel splitting. IEEE Trans. Autom. Control. 43 (12) (1998)
Paul Glasserman, Tai-Wen Liu
Corrected Diffusion Approximations for a Multistage Production-Inventory System. Math. Oper. Res. 22 (1) (1997)
Paul Glasserman
Bounds and Asymptotics for Planning Critical Safety Stocks. Oper. Res. 45 (2) (1997)
Paul Glasserman
Allocating Production Capacity Among Multiple Products. Oper. Res. 44 (5) (1996)
Paul Glasserman, David D. Yao
Structured buffer-allocation problems. Discret. Event Dyn. Syst. 6 (1) (1996)
Paul Glasserman, Philip Heidelberger, Perwez Shahabuddin, Tim Zajic
Splitting for Rare Event Simulation: Analysis of Simple Cases. WSC (1996)
Paul Glasserman, Shing-Gang Kou
Analysis of an Importance Sampling Estimator for Tandem Queues. ACM Trans. Model. Comput. Simul. 5 (1) (1995)
Paul Glasserman, David D. Yao
Subadditivity and stability of a class of discrete-event systems. IEEE Trans. Autom. Control. 40 (9) (1995)
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)
Paul Glasserman
Hedging-point production control with multiple failure modes. IEEE Trans. Autom. Control. 40 (4) (1995)
Paul Glasserman, Sridhar R. Tayur
The Stability of a Capacitated, Multi-Echelon Production-Inventory System Under a Base-Stock Policy. Oper. Res. 42 (5) (1994)
Paul Glasserman, David D. Yao
Monotone Optimal Control of Permutable GSMPs. Math. Oper. Res. 19 (2) (1994)
Paul Glasserman
Filtered Monte Carlo. Math. Oper. Res. 18 (3) (1993)
Paul Glasserman, David D. Yao
Monotonicity in Generalized Semi-Markov Processes. Math. Oper. Res. 17 (1) (1992)
Paul Glasserman, Peter W. Glynn
Gradient estimation for regenerative processes. WSC (1992)
Paul Glasserman
Smoothing complements and randomized score functions. Ann. Oper. Res. 39 (1) (1992)
Paul Glasserman
Derivative Estimates from Simulation of Continuous-Time Markov Chains. Oper. Res. 40 (2) (1992)
Paul Glasserman, Pirooz Vakili
Correlation of Markov Chains Simulated in Parallel. WSC (1992)
Paul Glasserman, David D. Yao
Generalized Semi-Markov Processes: Antimatroid Structure and Second-Order Properties. Math. Oper. Res. 17 (2) (1992)
Paul Glasserman
Stationary waiting time derivatives. Queueing Syst. Theory Appl. 12 (3-4) (1992)
Paul Glasserman
Structural Conditions for Perturbation Analysis Derivative Estimation: Finite-Time Performance Indices. Oper. Res. 39 (5) (1991)
Paul Glasserman
Structural Conditions for Perturbation Analysis of Queuing Systems. J. ACM 38 (4) (1991)
Paul Glasserman, David D. Yao
Algebraic structure of some stochastic discrete event systems, with applications. Discret. Event Dyn. Syst. 1 (1) (1991)
Paul Glasserman, Yu-Chi Ho
Aggregation Approximations for Sensitivity Analysis of Multi-Class Queueing Networks. Perform. Evaluation 10 (4) (1989)
Paul Glasserman, Wei-Bo Gong
Derivative estimates from discontinuous realizations: smoothing techniques. WSC (1989)
Paul Glasserman
Performance continuity and differentiability in Monte Carlo optimization. WSC (1988)