P. Glasserman

P. Glasserman, P. Heidelberger, P. Shahabuddin, 1999, WSC'99. 1999 Winter Simulation Conference Proceedings. 'Simulation - A Bridge to the Future' (Cat. No.99CH37038).

Does Unusual News Forecast Market Stress?

P. Glasserman, Harry Mamaysky, 2018, Journal of Financial and Quantitative Analysis.

Contingent Capital, Tail Risk, and Debt-Induced Collapse

P. Glasserman, Nan Chen, Markus Pelger, 2015 .

Maximum Entropy Distributions with Applications to Graph Simulation

P. Glasserman, Enrique Lelo de Larrea, 2022, Operations Research.

Hidden Illiquidity with Multiple Central Counterparties

P. Glasserman, C. Moallemi, Kai Yuan, 2014, Oper. Res..

RISK HORIZON AND REBALANCING HORIZON IN PORTFOLIO RISK MEASUREMENT

Paul Glasserman, P. Glasserman, 2009 .

Portfolio Rebalancing Error with Jumps and Mean Reversion in Asset Prices

P. Glasserman, Xingbo Xu, 2011 .

Does OTC Derivatives Reform Incentivize Central Clearing?

Paul Glasserman, Samim Ghamami, P. Glasserman, 2016 .

Efficient Monte Carlo methods for value-at-risk

Paul Glasserman, Philip Heidelberger, Perwez Shahabuddin, 2001 .

Stochastic vector difference equations with stationary coefficients

P. Glasserman, D. Yao, 1995, Journal of Applied Probability.

STOCHASTIC VECTOR DIFFERENCE EQUATIONS

P. Glasserman, D. Yao, 1995 .

A Conversation with Chris Heyde

P. Glasserman, S. Kou, 2006, math/0609294.

Systemic Importance Indicators for 33 U.S. Bank Holding Companies: An Overview of Recent Data

P. Glasserman, H. Young, Meraj Allahrakha, 2015 .

Preface to the Special Issue on Systemic Risk: Models and Mechanisms

Paul Glasserman, Rama Cont, Chris Rogers, 2016, Oper. Res..

Should Bank Stress Tests Be Fair?

P. Glasserman, M. Li, 2022, SSRN Electronic Journal.

Sensitivity Estimates for Compound Sums

P. Glasserman, K. Kim, 2009 .

Contagion in Financial Markets

P. Glasserman, H. Young, 2015 .

Conditioning on One-Step Survival for Barrier Option Simulations

Paul Glasserman, Jeremy Staum, P. Glasserman, 2001, Oper. Res..

Arbitrage-free discretization of lognormal forward Libor and swap rate models

Paul Glasserman, Xiaoliang Zhao, P. Glasserman, 2000, Finance Stochastics.

Connecting discrete and continuous path-dependent options

Mark Broadie, Paul Glasserman, Steven Kou, 1999, Finance Stochastics.

Gaussian importance sampling and stratification: computational issues

Paul Glasserman, Philip Heidelberger, Perwez Shahabuddin, 1998, 1998 Winter Simulation Conference. Proceedings (Cat. No.98CH36274).

Filtered Monte Carlo

Paul Glasserman, P. Glasserman, 1993, Math. Oper. Res..

Large Sample Properties of Weighted Monte Carlo Estimators

Paul Glasserman, Bin Yu, P. Glasserman, 2005, Oper. Res..

Measuring Marginal Risk Contributions in Credit Portfolios

Paul Glasserman, P. Glasserman, 2005 .

Stress Tests to Promote Financial Stability: Assessing Progress and Looking to the Future

Paul Glasserman, P. Glasserman, M. Flood, 2013 .

Stress scenario selection by empirical likelihood

Paul Glasserman, Wanmo Kang, Chulmin Kang, 2012 .

Buy rough, sell smooth

P. Glasserman, Pu He, 2018, Quantitative Finance.

Additive and multiplicative duals for American option pricing

Nan Chen, Paul Glasserman, P. Glasserman, 2007, Finance Stochastics.

Simulation for American Options: Regression Now or Regression Later?

Paul Glasserman, Bin Yu, P. Glasserman, 2004 .

Fast Pricing of Basket Default Swaps

Paul Glasserman, Zhiyong Chen, P. Glasserman, 2008, Oper. Res..

MONOTONICITY IN GENERATJ7,FD SEMI-MARKOV PROCESSES*

David D. Yao, Paul Glasserman, P. Glasserman, 1992 .

Bounds and Asymptotics for Planning Critical Safety Stocks

Paul Glasserman, P. Glasserman, 1997, Oper. Res..

Algebraic structure of some stochastic discrete event systems, with applications

David D. Yao, Paul Glasserman, P. Glasserman, 1991, Discret. Event Dyn. Syst..

Sensitivity of sample values not generated by inversion

P. Glasserman, 1987 .

Resource Allocation Among Simulation Time Steps

Paul Glasserman, Jeremy Staum, P. Glasserman, 2003, Oper. Res..

Multilevel Splitting for Estimating Rare Event Probabilities

Paul Glasserman, Philip Heidelberger, Perwez Shahabuddin, 1999, Oper. Res..

Splitting for rare event simulation: analysis of simple cases

T. Zajic, P. Heidelberger, P. Shahabuddin, 1996, Proceedings Winter Simulation Conference.

Sensitivity estimates from characteristic functions

Paul Glasserman, Zongjian Liu, P. Glasserman, 2007, 2007 Winter Simulation Conference.

Subadditivity and stability of a class of discrete-event systems

David D. Yao, Paul Glasserman, P. Glasserman, 1993, Proceedings of 32nd IEEE Conference on Decision and Control.

Robust Portfolio Control with Stochastic Factor Dynamics

Paul Glasserman, Xingbo Xu, P. Glasserman, 2012, Oper. Res..

Liquid fluidization of particles in packed beds

P. Glasserman, U. Böhm, D. Videla, 1994 .

1 Importance Sampling and Stratification for Value-at-Risk

Paul Glasserman, Philip Heidelberger, Perwez Shahabuddin, 1999 .

Leadtime-Inventory Trade-Offs in Assemble-to-Order Systems

Paul Glasserman, Yashan Wang, P. Glasserman, 1998, Oper. Res..

Importance Sampling for Portfolio Credit Risk

Paul Glasserman, Jingyi Li, P. Glasserman, 2005, Manag. Sci..

Are the Federal Reserve’s Stress Test Results Predictable?

P. Glasserman, G. Tangirala, 2016, The Journal of Alternative Investments.

Are the Fed's Stress Test Results Predictable?

Paul Glasserman, Gowtham Kumar Tangirala, P. Glasserman, 2015 .

Valuing the Treasury's Capital Assistance Program

Zhenyu Wang, Paul Glasserman, P. Glasserman, 2011, Manag. Sci..

OR Forum - Design of Risk Weights

Paul Glasserman, Wanmo Kang, P. Glasserman, 2014, Oper. Res..

Design of Risk Weights

Paul Glasserman, Wanmo Kang, P. Glasserman, 2013 .

Time Variation in the News-Returns Relationship

P. Glasserman, Harry Mamaysky, F. Li, 2019, SSRN Electronic Journal.

The Market-Implied Probability of European Government Intervention in Distressed Banks

P. Glasserman, Sriram Rajan, Richard Neuberg, 2016 .

Sensitivity Analysis for Base-Stock Levels in Multiechelon Production-Inventory Systems

Paul Glasserman, Sridhar Tayur, P. Glasserman, 1995 .

Investor Information Choice with Macro and Micro Information

P. Glasserman, Harry Mamaysky, 2019, The Review of Asset Pricing Studies.

Market Efficiency with Micro and Macro Information

P. Glasserman, Harry Mamaysky, 2017 .

Does OTC Derivatives Reform Incentivize Central Clearing?

Paul Glasserman, Samim Ghamami, P. Glasserman, 2016 .

Discretization of deflated bond prices

Paul Glasserman, Hui Wang, P. Glasserman, 2000, Advances in Applied Probability.

Persistence and Procyclicality in Margin Requirements

Qi Wu, Paul Glasserman, P. Glasserman, 2017, Manag. Sci..

BOUNDING WRONG‐WAY RISK IN CVA CALCULATION

P. Glasserman, Lina Yang, 2018 .

Convergence of a discretization scheme for jump-diffusion processes with state–dependent intensities

Paul Glasserman, Nicolas Merener, P. Glasserman, 2004, Proceedings of the Royal Society of London. Series A: Mathematical, Physical and Engineering Sciences.

Time-changing and truncating K-capacity queues from one K to another

Weibo Gong, Paul Glasserman, P. Glasserman, 1991, Journal of Applied Probability.

Quadratic Transform Approximation for CDO Pricing in Multifactor Models

Paul Glasserman, Sira Suchintabandid, P. Glasserman, 2012, SIAM J. Financial Math..

Estimating a covariance matrix for market risk management and the case of credit default swaps

P. Glasserman, Richard Neuberg, 2018, Quantitative Finance.

Recent advances in simulation for security pricing

P. Glasserman, M. Broadie, P. Boyle, 1995, Winter Simulation Conference Proceedings, 1995..

A pruned and bootstrapped American option simulator

P. Glasserman, M. Broadie, 1995, Winter Simulation Conference Proceedings, 1995..

Recent advances in simulation for security pricing (1995)

P. Glasserman, M. Broadie, P. Boyle, 2007, WSC '07.

Gamma expansion of the Heston stochastic volatility model

Paul Glasserman, Kyoung-Kuk Kim, P. Glasserman, 2008, Finance Stochastics.

Process Systems Engineering as a Modeling Paradigm for Analyzing Systemic Risk in Financial Networks

Venkat Venkatasubramanian, Paul Glasserman, Yu Luo, 2015, The Journal of Investing.

Forging Best Practices in Risk Management

David K. A. Mordecai, P. Glasserman, M. Flannery, 2012 .

Market‐Triggered Changes in Capital Structure: Equilibrium Price Dynamics

P. Glasserman, Behzad Nouri, 2016 .

Correlation expansions for CDO pricing

Paul Glasserman, Sira Suchintabandid, P. Glasserman, 2007 .

MOMENT EXPLOSIONS AND STATIONARY DISTRIBUTIONS IN AFFINE DIFFUSION MODELS

P. Glasserman, K. Kim, 2010 .

How Likely Is Contagion in Financial Networks?

P. Glasserman, H. Young, 2013 .

Working Paper # 0009 June 21 , 2013 How Likely is Contagion in Financial Networks ?

P. Glasserman, H. Young, H. P. Young, 2013 .

Portfolio Value‐at‐Risk with Heavy‐Tailed Risk Factors

Paul Glasserman, Philip Heidelberger, Perwez Shahabuddin, 2002 .

Value-at-risk with heavy-tailed risk factors

Paul Glasserman, Philip Heidelberger, Perwez Shahabuddin, 2000, Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on Computational Intelligence for Financial Engineering (CIFEr) (Cat. No.00TH8520).

The Market-Implied Probability of Government Support for Distressed European Banks

P. Glasserman, Richard Neuberg, Benjamin S. Kay, 2018 .

Beta approximations for bridge sampling

Paul Glasserman, Kyoung-Kuk Kim, P. Glasserman, 2008, 2008 Winter Simulation Conference.

Choosing news topics to explain stock market returns pdf

Paul Glasserman, Kriste Krstovski, Paul Laliberte, 2020, ICAIF.

Fast Simulation of Multifactor Portfolio Credit Risk

Paul Glasserman, Perwez Shahabuddin, Wanmo Kang, 2008, Oper. Res..

Department of Economics Discussion Paper Series How Likely Is Contagion in Financial Networks? How Likely Is Contagion in Financial Networks?

P. Glasserman, H. Peyton, Young, 2013 .

Structural conditions for perturbation analysis of queueing systems

Paul Glasserman, P. Glasserman, 1991, JACM.