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Dynamic information regimes in financial markets

Glasserman, Paul; Mamaysky, Harry; Shen, Yiwen - In: Management science : journal of the Institute for … 70 (2024) 9, pp. 6069-6092

Persistent link: https://www.econbiz.de/10015138019

Robust Portfolio Control with Stochastic Factor Dynamics

Glasserman, Paul - 2012

Portfolio selection is vulnerable to the error-amplifying effects of combining optimization with statistical estimation and model error. For dynamic portfolio control, sources of model error include the evolution of market factors and the influence of these factors on asset returns. We develop...

Persistent link: https://www.econbiz.de/10013113514

Equilibrium positive interest rates : a unified view

Jin, Yan; Glasserman, Paul - In: The review of financial studies 14 (2001) 1, pp. 187-214

Persistent link: https://www.econbiz.de/10001543114

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

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

Forward and future implied volatility

Glasserman, Paul; Wu, Qi - In: International journal of theoretical and applied finance 14 (2011) 3, pp. 407-432

Persistent link: https://www.econbiz.de/10009154904

Valuing the treasury's capital assistance program

Glasserman, Paul; Wang, Zhenyu - In: Management science : journal of the Institute for … 57 (2011) 7, pp. 1195-1211

Persistent link: https://www.econbiz.de/10009267630

Stress tests to promote financial stability : assessing progress and looking to the future

Bookstaber, Rick; Cetina, Jill; Feldberg, Greg; Flood, … - In: Journal of risk management in financial institutions 7 (2014) 1, pp. 16-25

Persistent link: https://www.econbiz.de/10010259569

Contingent capital with a capital-ratio trigger

Glasserman, Paul; Nouri, Behzad - In: Management science : journal of the Institute for … 58 (2012) 10, pp. 1816-1833

Persistent link: https://www.econbiz.de/10009664658

Estimating Greeks in simulating Lévy-driven models

Glasserman, Paul; Liu, Zongjian - In: The journal of computational finance 14 (2010/11) 2, pp. 3-56

Persistent link: https://www.econbiz.de/10008810140

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