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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

Monte Carlo methods in financial engineering

Glasserman, Paul - 2004

Persistent link: https://www.econbiz.de/10001763783

Sensitivity estimates for portfolio credit derivatives using Monte Carlo

Chen, Zhiyong; Glasserman, Paul - In: Finance and stochastics 12 (2008) 4, pp. 507-540

Persistent link: https://www.econbiz.de/10003899268

Correlation expansions for CDO pricing

Glasserman, Paul; Suchintabandid, Sira - In: Journal of banking & finance 31 (2007) 5, pp. 1375-1398

Persistent link: https://www.econbiz.de/10003461167

Estimating a covariance matrix for market risk management and the case of credit default swaps

Neuberg, Richard; Glasserman, Paul - In: Quantitative finance 19 (2019) 1, pp. 77-92

Persistent link: https://www.econbiz.de/10012194621

Does OTC derivatives reform incentivize central clearing?

Ghamami, Samim; Glasserman, Paul - In: Journal of financial intermediation 32 (2017), pp. 76-87

Persistent link: https://www.econbiz.de/10011822437

Does OTC Derivatives Reform Incentivize Central Clearing?

Ghamami, Samim - 2016

The reform program for the over-the-counter (OTC) derivatives market launched by the G-20 nations in 2009 seeks to reduce systemic risk from OTC derivatives. The reforms require that standardized OTC derivatives be cleared through central counterparties (CCPs), and they set higher capital and...

Persistent link: https://www.econbiz.de/10012984534

Does OTC Derivatives Reform Incentivize Central Clearing?

Ghamami, Samim - 2016

Persistent link: https://www.econbiz.de/10012985611