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ARTICLES - Multilevel Splittin...
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ECONIS (ZBW)
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111
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. 1-34
Persistent link: https://www.econbiz.de/10008352627
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112
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/10008162059
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113
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/10008108413
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114
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/10007979900
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115
Fast Pricing of Basket Default Swaps
Chen, Zhiyong
;
Glasserman, Paul
- In:
Operations research : the journal of the Operations …
56
(
2008
)
2
,
pp. 286-303
Persistent link: https://www.econbiz.de/10007997075
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116
ENHANCED MONTE CARLO ESTIMATES FOR AMERICAN OPTION PRICES
Broadie, Mark
;
Glasserman, Paul
;
Jain, Gautam
- In:
The journal of derivatives : the official publication …
5
(
1997
)
1
,
pp. 2-3
Persistent link: https://www.econbiz.de/10007368291
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117
COMPUTATION METHODS Smoking adjoints: fast Monte Carlo Greeks
Giles, Michael
;
Glasserman, Paul
- In:
Risk : managing risk in the world's financial markets
19
(
2006
)
1
,
pp. 92-96
Persistent link: https://www.econbiz.de/10007020166
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118
E DECISIONS AND FORECASTING - Importance sampling for portfolio credit risk - Ef: 110
Glasserman, Paul
;
Li, Jingyi
- In:
Operations research, Management science : OR MS ; the …
46
(
2006
)
4
,
pp. 455-460
Persistent link: https://www.econbiz.de/10007386670
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119
RISK HORIZON AND REBALANCING HORIZON IN PORTFOLIO RISK MEASUREMENT
Glasserman, Paul
- In:
Mathematical finance : an international journal of …
22
(
2012
)
2
,
pp. 215-250
Persistent link: https://www.econbiz.de/10009830077
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120
Gamma expansion of the Heston stochastic volatility model
Glasserman, Paul
;
Kim, Kyoung-Kuk
- In:
Finance and stochastics
15
(
2011
)
2
,
pp. 267-297
Persistent link: https://www.econbiz.de/10009014647
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