Paul Glasserman

Orcid: 0000-0002-9577-0205

According to our database1, Paul Glasserman authored at least 74 papers between 1988 and 2023.

Collaborative distances:
  • Dijkstra number2 of four.
  • Erdős number3 of four.

Timeline

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Bibliography

2023
Maximum Entropy Distributions with Applications to Graph Simulation.
Oper. Res., 2023

Assessing Look-Ahead Bias in Stock Return Predictions Generated By GPT Sentiment Analysis.
CoRR, 2023

2022
Collateralized Networks.
Manag. Sci., 2022

Should Bank Stress Tests Be Fair?
CoRR, 2022

2021
Linear Classifiers Under Infinite Imbalance.
CoRR, 2021

2020
Swing Pricing for Mutual Funds: Breaking the Feedback Loop Between Fire Sales and Fund Redemptions.
Manag. Sci., 2020

Choosing news topics to explain stock market returns.
Proceedings of the ICAIF '20: The First ACM International Conference on AI in Finance, 2020

2019
Submodular Risk Allocation.
Manag. Sci., 2019

2018
Persistence and Procyclicality in Margin Requirements.
Manag. Sci., 2018

Simulation of bipartite or Directed graphs with prescribed degree sequences using Maximum Entropy Probabilities.
Proceedings of the 2018 Winter Simulation Conference, 2018

2016
Hidden Illiquidity with Multiple Central Counterparties.
Oper. Res., 2016

Preface to the Special Issue on Systemic Risk: Models and Mechanisms.
Oper. Res., 2016

2014
OR Forum - Design of Risk Weights.
Oper. Res., 2014

2013
Robust Portfolio Control with Stochastic Factor Dynamics.
Oper. Res., 2013

2012
Quadratic Transform Approximation for CDO Pricing in Multifactor Models.
SIAM J. Financial Math., 2012

Contingent Capital with a Capital-Ratio Trigger.
Manag. Sci., 2012

2011
Valuing the Treasury's Capital Assistance Program.
Manag. Sci., 2011

Gamma expansion of the Heston stochastic volatility model.
Finance Stochastics, 2011

2010
Sensitivity Estimates from Characteristic Functions.
Oper. Res., 2010

Importance sampling for tail risk in discretely rebalanced portfolios.
Proceedings of the 2010 Winter Simulation Conference, 2010

Contingent capital with discrete conversion from debt to equity.
Proceedings of the 2010 Winter Simulation Conference, 2010

2008
Uniformly Efficient Importance Sampling for the Tail Distribution of Sums of Random Variables.
Math. Oper. Res., 2008

Fast Simulation of Multifactor Portfolio Credit Risk.
Oper. Res., 2008

Fast Pricing of Basket Default Swaps.
Oper. Res., 2008

Sensitivity estimates for portfolio credit derivatives using Monte Carlo.
Finance Stochastics, 2008

Beta approximations for bridge sampling.
Proceedings of the 2008 Winter Simulation Conference, Global Gateway to Discovery, 2008

2007
Perwez Shahabuddin, 1962-2005: A professional appreciation.
ACM Trans. Model. Comput. Simul., 2007

Additive and multiplicative duals for American option pricing.
Finance Stochastics, 2007

Approximations and control variates for pricing portfolio credit derivatives.
Proceedings of the Winter Simulation Conference, 2007

Recent advances in simulation for security pricing (1995).
Proceedings of the Winter Simulation Conference, 2007

2005
Importance Sampling for Portfolio Credit Risk.
Manag. Sci., 2005

Large Sample Properties of Weighted Monte Carlo Estimators.
Oper. Res., 2005

2004
Function-Approximation-Based Importance Sampling for Pricing American Options.
Proceedings of the 36th conference on Winter simulation, 2004

2003
Resource Allocation Among Simulation Time Steps.
Oper. Res., 2003

Numerical solution of jump-diffusion LIBOR market models.
Finance Stochastics, 2003

New simulation methodology for risk analysis: importance sampling for a mixed Poisson model of portfolio credit risk.
Proceedings of the 35th Winter Simulation Conference: Driving Innovation, 2003

2001
Conditioning on One-Step Survival for Barrier Option Simulations.
Oper. Res., 2001

Simulation in financial engineering: stopping simulated paths early.
Proceedings of the 33nd conference on Winter simulation, 2001

2000
Arbitrage-free discretization of lognormal forward Libor and swap rate models.
Finance Stochastics, 2000

Variance reduction techniques for value-at-risk with heavy-tailed risk factors.
Proceedings of the 32nd conference on Winter simulation, 2000

Value-at-risk with heavy-tailed risk factors.
Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on Computational Intelligence for Financial Engineering, 2000

1999
Fill-Rate Bottlenecks in Production-Inventory Networks.
Manuf. Serv. Oper. Manag., 1999

Multilevel Splitting for Estimating Rare Event Probabilities.
Oper. Res., 1999

Connecting discrete and continuous path-dependent options.
Finance Stochastics, 1999

Stratification issues in estimating value-at-risk.
Proceedings of the 31st conference on Winter simulation: Simulation, 1999

1998
A large deviations perspective on the efficiency of multilevel splitting.
IEEE Trans. Autom. Control., 1998

Leadtime-Inventory Trade-Offs in Assemble-to-Order Systems.
Oper. Res., 1998

Gaussian Importance Sampling and Stratification: Computational Issues.
Proceedings of the 30th conference on Winter simulation, 1998

1997
Corrected Diffusion Approximations for a Multistage Production-Inventory System.
Math. Oper. Res., 1997

Bounds and Asymptotics for Planning Critical Safety Stocks.
Oper. Res., 1997

1996
Allocating Production Capacity Among Multiple Products.
Oper. Res., 1996

Structured buffer-allocation problems.
Discret. Event Dyn. Syst., 1996

Splitting for Rare Event Simulation: Analysis of Simple Cases.
Proceedings of the 28th conference on Winter simulation, 1996

1995
Analysis of an Importance Sampling Estimator for Tandem Queues.
ACM Trans. Model. Comput. Simul., 1995

Subadditivity and stability of a class of discrete-event systems.
IEEE Trans. Autom. Control., 1995

Hedging-point production control with multiple failure modes.
IEEE Trans. Autom. Control., 1995

A Pruned and Bootstrapped American Option Simulator.
Proceedings of the 27th conference on Winter simulation, 1995

Recent Advances in Simulation for Security Pricing.
Proceedings of the 27th conference on Winter simulation, 1995

1994
Monotone Optimal Control of Permutable GSMPs.
Math. Oper. Res., 1994

The Stability of a Capacitated, Multi-Echelon Production-Inventory System Under a Base-Stock Policy.
Oper. Res., 1994

1993
Filtered Monte Carlo.
Math. Oper. Res., 1993

1992
Stationary waiting time derivatives.
Queueing Syst. Theory Appl., 1992

Generalized Semi-Markov Processes: Antimatroid Structure and Second-Order Properties.
Math. Oper. Res., 1992

Monotonicity in Generalized Semi-Markov Processes.
Math. Oper. Res., 1992

Derivative Estimates from Simulation of Continuous-Time Markov Chains.
Oper. Res., 1992

Smoothing complements and randomized score functions.
Ann. Oper. Res., 1992

Correlation of Markov Chains Simulated in Parallel.
Proceedings of the 24th Winter Simulation Conference, 1992

Gradient estimation for regenerative processes.
Proceedings of the 24th Winter Simulation Conference, 1992

1991
Structural Conditions for Perturbation Analysis of Queuing Systems.
J. ACM, 1991

Structural Conditions for Perturbation Analysis Derivative Estimation: Finite-Time Performance Indices.
Oper. Res., 1991

Algebraic structure of some stochastic discrete event systems, with applications.
Discret. Event Dyn. Syst., 1991

1989
Aggregation Approximations for Sensitivity Analysis of Multi-Class Queueing Networks.
Perform. Evaluation, 1989

Derivative estimates from discontinuous realizations: smoothing techniques.
Proceedings of the 21st Winter Simulation Conference, 1989

1988
Performance continuity and differentiability in Monte Carlo optimization.
Proceedings of the 20th conference on Winter simulation, 1988


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