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Glasserman, Paul
47
Shahabuddin, Perwez
9
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4
Heidelberger, Philip
4
Kim, Kyoung-Kuk
4
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2
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Management science : journal of the Institute for Operations Research and the Management Sciences
11
Operations research : the journal of the Operations Research Society of America
11
Mathematical finance : an international journal of mathematics, statistics and financial theory
7
Finance and stochastics
6
Mathematics of operations research
4
The journal of derivatives : the official publication of the International Association of Financial Engineers
3
Journal of economic dynamics & control
2
Interfaces : the INFORMS journal on the practice of operations research
1
Journal of banking & finance
1
Operations research, Management science : OR MS ; the international literature digest
1
Risk : managing risk in the world's financial markets
1
The journal of computational finance
1
The review of financial studies
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OLC EcoSci
ECONIS (ZBW)
125
RePEc
46
EconStor
2
USB Cologne (EcoSocSci)
2
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Importance Sampling in the Heath-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/10005965389
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2
Variance Reduction Techniques for Estimating Value-at-Risk
Glasserman, Paul
;
Heidelberger, Philip
;
Shahabuddin, Perwez
- In:
Management science : journal of the Institute for …
46
(
2000
)
10
,
pp. 1349-1364
Persistent link: https://www.econbiz.de/10006092349
Saved in:
3
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. 239-270
Persistent link: https://www.econbiz.de/10008216216
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4
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/10008218616
Saved in:
5
Fast Simulation of Multifactor Portfolio Credit Risk
Glasserman, Paul
;
Kang, Wanmo
;
Shahabuddin, Perwez
- In:
Operations research : the journal of the Operations …
56
(
2008
)
5
,
pp. 1200-1217
Persistent link: https://www.econbiz.de/10008145135
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6
LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK
Glasserman, Paul
;
Kang, Wanmo
;
Shahabuddin, Perwez
- In:
Mathematical finance : an international journal of …
17
(
2007
)
3
,
pp. 345-380
Persistent link: https://www.econbiz.de/10008221749
Saved in:
7
Fast Simulation of Markov Chains with Small Transition Probabilities
Juneja, Sandeep
;
Shahabuddin, Perwez
- In:
Management science : journal of the Institute for …
47
(
2001
)
4
,
pp. 547-562
Persistent link: https://www.econbiz.de/10006090721
Saved in:
8
Likelihood Ratio Derivative Estimation for Finite- Time Performance Measures in Generalized Semi-Markov Processes
Nakayama, Marvin K.
;
Shahabuddin, Perwez
- In:
Management science : journal of the Institute for …
44
(
1998
)
10
,
pp. 1426-1441
Persistent link: https://www.econbiz.de/10006098428
Saved in:
9
Importance Sampling for the Stimulation of Higly Reliable Markovian Systems
Shahabuddin, Perwez
- In:
Management science : journal of the Institute for …
40
(
1994
)
3
,
pp. 333-352
Persistent link: https://www.econbiz.de/10006104917
Saved in:
10
Large Sample Properties of Weighted Monte Carlo Estimators
Glasserman, Paul
;
Yu, Bin
- In:
Operations research : the journal of the Operations …
53
(
2005
)
2
,
pp. 298-312
Persistent link: https://www.econbiz.de/10006417394
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