Searching for authors named "Paul Glasserman" – sorted by Relevance.
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Tail approximations for portfolio credit risk
- …Tail Approximations for Portfolio Credit Risk Paul Glasserman ∗ Columbia Business School September…
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Measuring Marginal Risk Contributions in Credit Portfolios
- …Measuring marginal risk contributions in credit portfolios Paul Glasserman 403 Uris Hall, Columbia…
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Smoking Adjoints: fast evaluation of Greeks in Monte Carlo Calculations
- … Giles Oxford University Computing Laboratory, Parks Road, Oxford, U.K. Paul Glasserman Columbia Business…
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Stopping Simulated Paths Early
- ….A.Peters,J.S.Smith,D.J.Medeiros,andM.W.Rohrer,eds. ABSTRACT Paul Glasserman Graduate School of Business Columbia University New York, NY 10027, U.S.A. We…
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Large Sample Properties of Weighted Monte Carlo Estimators
- …Large Sample Properties of Weighted Monte Carlo Estimators Paul Glasserman Graduate School…
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Convergence of a Discretization Scheme for Jump-Diffusion Processes with State-Dependent Intensities
- …-Dependent Intensities Paul Glasserman ∗ and Nicolas Merener † Columbia University Abstract This paper proves a…
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The Term Structure of Simple Forward Rates with Jump Risk
- …The Term Structure of Simple Forward Rates with Jump Risk Paul Glasserman ∗ and S. G. Kou…
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Conditioning on one-step survival for barrier option simulations
- …Conditioning on One-Step Survival for Barrier Option Simulations Paul Glasserman Graduate School…
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2001b. Resource allocation among simulation time steps. Working paper, Graduate
- …RESOURCE ALLOCATION AMONG SIMULATION TIME STEPS PAUL GLASSERMAN Graduate School of Business…
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Cap and Swaption Approximations in LIBOR Market Models with Jumps
- …Cap and Swaption Approximations in LIBOR Market Models with Jumps Paul Glasserman ∗ and Nicolas…
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