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Theorie
Theory
60
Optionspreistheorie
27
Option pricing theory
26
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16
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16
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14
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13
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importance sampling
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Language
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English
61
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Glasserman, Paul
57
Broadie, Mark
7
Shahabuddin, Perwez
6
Young, H. Peyton
6
Ghamami, Samim
5
Heidelberger, Philip
5
Wu, Qi
4
Chen, Nan
3
Mamaysky, Harry
3
Yang, Linan
3
Young, Peyton
3
Boots, Nam Kyoo
2
He, Pu
2
Kang, Wanmo
2
Kim, Kyoung-kuk
2
Kou, Steven
2
Li, Mike
2
Moallemi, Ciamac C.
2
Nouri, Behzad
2
Pelger, Markus
2
Xu, Xingbo
2
Yuan, Kai
2
Zhao, Xiaoliang
2
Boyle, Phelim P.
1
Capponi, Agostino
1
Chen, Zhiyong
1
Jain, Gautam
1
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1
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1
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1
Merener, Nicolas
1
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1
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1
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Columbia Business School Research Paper
6
Finance and stochastics
6
Management science : journal of the Institute for Operations Research and the Management Sciences
6
Mathematical finance : an international journal of mathematics, statistics and financial theory
6
Office of Financial Research Working Paper
3
Department of Economics discussion paper series / University of Oxford
2
Journal of economic dynamics & control
2
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2
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2
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2
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2
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2
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1
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1
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1
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1
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1
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1
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ECONIS (ZBW)
60
EconStor
1
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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
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:
6
Monte Carlo methods in financial engineering
Glasserman, Paul
-
2004
Persistent link: https://www.econbiz.de/10001763783
Saved in:
7
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
Saved in:
8
Additive and multiplicative duals for American option pricing
Chen, Nan
;
Glasserman, Paul
- In:
Finance and stochastics
11
(
2007
)
2
,
pp. 153-179
Persistent link: https://www.econbiz.de/10003439750
Saved in:
9
Moment explosions and stationary distributions in affine diffusion models
Glasserman, Paul
;
Kim, Kyoung-kuk
- In:
Mathematical finance : an international journal of …
20
(
2010
)
1
,
pp. 1-33
Persistent link: https://www.econbiz.de/10003955654
Saved in:
10
Uniformly efficient importance sampling for the tail distribution of sums of random variables
Glasserman, Paul
;
Juneja, Sandeep
- In:
Mathematics of operations research
33
(
2008
)
1
,
pp. 36-50
Persistent link: https://www.econbiz.de/10003687581
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