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Search: person:"Heidelberger, Philip"
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Heidelberger, Philip
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Glasserman, Paul
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Management science : journal of the Institute for Operations Research and the Management Sciences
2
Mathematical finance : an international journal of mathematics, statistics and financial theory
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Paine Webber working paper series in money, economics and finance
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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1
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
Saved in:
2
Portfolio value-at-risk with heavy-tailed risk factors
Glasserman, Paul
;
Heidelberger, Philip
;
Shahabuddin, Perwez
-
2000
Persistent link: https://www.econbiz.de/10001496087
Saved in:
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
Saved in:
4
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
Saved in:
5
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
Saved in:
6
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
Saved in:
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