The following pages link to Paul Glasserman (Q483713):
Displaying 50 items.
- Gamma expansion of the Heston stochastic volatility model (Q483714) (← links)
- Discrete-time ``inversion'' and derivative estimation for Markov chains (Q923516) (← links)
- (Q1071469) (redirect page) (← links)
- Sensitivity of sample values not generated by inversion (Q1071470) (← links)
- Infinitesimal perturbation analysis of birth and death process (Q1099508) (← links)
- Algebraic structure of some stochastic discrete event systems, with applications (Q1180360) (← links)
- Stationary waiting time derivatives (Q1205368) (← links)
- Smoothing complements and randomized score functions (Q1207836) (← links)
- Connecting discrete and continuous path-dependent options (Q1297909) (← links)
- Counterexamples in importance sampling for large deviations probabilities (Q1371002) (← links)
- Monte Carlo methods for security pricing (Q1391435) (← links)
- Pricing American-style securities using simulation (Q1391436) (← links)
- Numerical solution of jump-diffusion LIBOR market models (Q1424699) (← links)
- Limits of first passage times to rare sets in regenerative processes (Q1901082) (← links)
- Structured buffer-allocation problems (Q1911468) (← links)
- Arbitrage-free discretization of lognormal forward Libor and swap rate models (Q1979076) (← links)
- Saddlepoint approximations for affine jump-diffusion models (Q2271604) (← links)
- Sensitivity estimates for portfolio credit derivatives using Monte Carlo (Q2271719) (← links)
- A conversation with Chris Heyde (Q2381794) (← links)
- Additive and multiplicative duals for American option pricing (Q2463707) (← links)
- Malliavin Greeks without Malliavin calculus (Q2464862) (← links)
- A continuity correction for discrete barrier options (Q2707182) (← links)
- Pricing American options by simulation using a stochastic mesh with optimized weights (Q2724691) (← links)
- Asymptotically optimal importance sampling and stratification for pricing path-dependent options (Q2757298) (← links)
- Multilevel splitting for estimating rare event probabilities (Q2770125) (← links)
- Monte Carlo methods for security pricing (Q2771104) (← links)
- Shortfall risk in long-term hedging with short-term futures contracts (Q2771114) (← links)
- Leadtime-inventory trade-offs in assemble-to-order systems (Q2781161) (← links)
- Robust risk measurement and model risk (Q2879011) (← links)
- OR Forum—Design of Risk Weights (Q2941417) (← links)
- FORWARD AND FUTURE IMPLIED VOLATILITY (Q3006611) (← links)
- Convergence of a discretization scheme for jump-diffusion processes with state–dependent intensities (Q3043428) (← links)
- Sensitivity Estimates from Characteristic Functions (Q3098327) (← links)
- Variance Reduction Techniques for Estimating Value-at-Risk (Q3114651) (← links)
- Importance Sampling for Portfolio Credit Risk (Q3115935) (← links)
- Filtered Monte Carlo (Q3140537) (← links)
- Hidden Illiquidity with Multiple Central Counterparties (Q3178763) (← links)
- Fast Pricing of Basket Default Swaps (Q3392172) (← links)
- Fast Simulation of Multifactor Portfolio Credit Risk (Q3392241) (← links)
- Sensitivity Estimates for Compound Sums (Q3405428) (← links)
- Estimating Derivatives Via Poisson's Equation (Q3416023) (← links)
- Perwez Shahabuddin, 1962--2005 (Q3549156) (← links)
- Conditioning on One-Step Survival for Barrier Option Simulations (Q3635045) (← links)
- Resource Allocation Among Simulation Time Steps (Q3637398) (← links)
- Time-changing and truncating <i>K</i>-capacity queues from one <i>K</i> to another (Q3980531) (← links)
- Structural Conditions for Perturbation Analysis Derivative Estimation: Finite-Time Performance Indices (Q3988903) (← links)
- (Q4000306) (← links)
- Derivative Estimates from Simulation of Continuous-Time Markov Chains (Q4004738) (← links)
- Generalized Semi-Markov Processes: Antimatroid Structure and Second-Order Properties (Q4016703) (← links)
- Monotonicity in Generalized Semi-Markov Processes (Q4016706) (← links)
