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Portfolio value-at-risk with h...
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Glasserman, Paul
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1
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:
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
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:
4
Large deviations in multifactor portfolio credit risk
Glasserman, Paul
;
Kang, Wanmo
;
Shahabuddin, Perwez
- In:
Mathematical finance : an international journal of …
17
(
2007
)
3
,
pp. 345-379
Persistent link: https://www.econbiz.de/10003626548
Saved in:
5
Portfolio mathematics
Glasserman, Paul
- In:
The professional risk managers' guide to finance theory …
,
(pp. 55-102)
.
2008
Persistent link: https://www.econbiz.de/10003677812
Saved in:
6
Calculating portfolio credit risk
Glasserman, Paul
- In:
Financial engineering
,
(pp. 437-470)
.
2008
Persistent link: https://www.econbiz.de/10003567702
Saved in:
7
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
Saved in:
8
Tail approximations for portfolio credit risk
Glasserman, Paul
- In:
The journal of derivatives : the official publication …
12
(
2004
)
2
,
pp. 24-42
Persistent link: https://www.econbiz.de/10002535960
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9
Monte Carlo methods in financial engineering
Glasserman, Paul
-
2004
Persistent link: https://www.econbiz.de/10001763783
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10
Saddlepoint approximations for affine jump-diffusion models
Glasserman, Paul
;
Kim, Kyoung-kuk
- In:
Journal of economic dynamics & control
33
(
2009
)
1
,
pp. 15-36
Persistent link: https://www.econbiz.de/10003810117
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