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Results: 1-9 |
Results: 9
Equilibrium positive interest rates: A unified view
Authors: Jin, Y Glasserman, P
Citation: Y. Jin et P. Glasserman, Equilibrium positive interest rates: A unified view, REV FINANC, 14(1), 2001, pp. 187-214
Monte Carlo methods for security pricing
Authors: Boyle, P Broadie, M Glasserman, P
Citation: P. Boyle et al., Monte Carlo methods for security pricing, HANDBOOKS IN MATHEMATICAL FINANCE: OPTION PRICING, INTEREST RATES AND RISKMANAGEMENT, 2001, pp. 185-238
Shortfall risk in long-term hedging with short-term futures contracts
Authors: Glasserman, P
Citation: P. Glasserman, Shortfall risk in long-term hedging with short-term futures contracts, HANDBOOKS IN MATHEMATICAL FINANCE: OPTION PRICING, INTEREST RATES AND RISKMANAGEMENT, 2001, pp. 477-508
Introduction to the special issue on stochastic models and simulation
Authors: Glasserman, P
Citation: P. Glasserman, Introduction to the special issue on stochastic models and simulation, MANAG SCI, 46(9), 2000, pp. III-IV
Variance reduction techniques for estimating value-at-risk
Authors: Glasserman, P Heidelberger, P Shahabuddin, P
Citation: P. Glasserman et al., Variance reduction techniques for estimating value-at-risk, MANAG SCI, 46(10), 2000, pp. 1349-1364
Discretization of deflated bond prices
Authors: Glasserman, P Wang, H
Citation: P. Glasserman et H. Wang, Discretization of deflated bond prices, ADV APPL P, 32(2), 2000, pp. 540-563
Asymptotically optimal importance sampling and stratification for pricing path-dependent options
Authors: Glasserman, P Heidelberger, P Shahabuddin, P
Citation: P. Glasserman et al., Asymptotically optimal importance sampling and stratification for pricing path-dependent options, MATH FINANC, 9(2), 1999, pp. 117-152
Multilevel splitting for estimating rare event probabilities
Authors: Glasserman, P Heidelberger, P Shahabuddin, P Zajic, T
Citation: P. Glasserman et al., Multilevel splitting for estimating rare event probabilities, OPERAT RES, 47(4), 1999, pp. 585-600
A large deviations perspective on the efficiency of multilevel splitting
Authors: Glasserman, P Heidelberger, P Shahabuddin, P Zajic, T
Citation: P. Glasserman et al., A large deviations perspective on the efficiency of multilevel splitting, IEEE AUTO C, 43(12), 1998, pp. 1666-1679
Risultati: 1-9 |