Glasserman Paul

Paul Glasserman

Information about the author Paul Glasserman will soon be added to the site.
Found 28 papers in total
Hidden Illiquidity with Multiple Central Counterparties
Hidden Illiquidity with Multiple Central Counterparties
2016
Regulatory changes are transforming the multitrillion dollar swaps market from a...
Contingent Capital with a Capital‐Ratio Trigger
Contingent Capital with a Capital‐Ratio Trigger
2012
Contingent capital in the form of debt that converts to equity when a bank faces...
Valuing the US Treasury's Capital Assistance Program
Valuing the US Treasury's Capital Assistance Program
2011
The Capital Assistance Program (CAP) was created by the U.S. government in February...
Sensitivity Estimates from Characteristic Functions
Sensitivity Estimates from Characteristic Functions
2010
The likelihood ratio method (LRM) is a technique for estimating derivatives of...
Uniformly Efficient Importance Sampling for the Tail Distribution of Sums of Random Variables
Uniformly Efficient Importance Sampling for the Tail Distribution of Sums of Random Variables
2008
Successful efficient rare–event simulation typically involves using importance...
Fast Simulation of Multifactor Portfolio Credit Risk
Fast Simulation of Multifactor Portfolio Credit Risk
2008
This paper develops rare–event simulation methods for the estimation of...
Importance sampling for portfolio credit risk
Importance sampling for portfolio credit risk
2005
Monte Carlo simulation is widely used to measure the credit risk in portfolios of...
Large sample properties of weighted Monte Carlo estimators
Large sample properties of weighted Monte Carlo estimators
2005
A general approach to improving simulation accuracy uses information about auxiliary...
Resource allocation among simulation time steps
Resource allocation among simulation time steps
2003
Motivated by the problem of efficient estimation of expected cumulative rewards or...
Variance reduction techniques for estimating value-at-risk
Variance reduction techniques for estimating value-at-risk
2000
This paper describes, analyzes and evaluates an algorithm for estimating portfolio...
Conditioning on one-step survival for barrier option simulations
Conditioning on one-step survival for barrier option simulations
2001
Pricing financial options often requires Monte Carlo methods. One particular case is...
Multilevel splitting for estimating rare event probabilities
Multilevel splitting for estimating rare event probabilities
1999
We analyze the performance of a splitting technique for the estimation of rare event...
Bounds and asymptotics for planning critical safety stocks
Bounds and asymptotics for planning critical safety stocks
1997
We develop bounds and approximations for setting base-stock levels in...
Allocating production capacity among multiple products
Allocating production capacity among multiple products
1996
We consider the problem of allocating production capacity among multiple items,...
Fill-rate bottlenecks in production–inventory networks
Fill-rate bottlenecks in production–inventory networks
1999
The bottleneck in a production–inventory network is commonly taken to be the...
Leadtime–inventory trade-offs in assemble-to-order systems
Leadtime–inventory trade-offs in assemble-to-order systems
1998
This paper studies the trade-off between inventory levels and the delivery leadtime...
Rare-event simulation for multistage production-inventory systems
Rare-event simulation for multistage production-inventory systems
1996
We consider the problem of precise estimation of service-level measures in multistage...
Estimating security price derivatives using simulation
Estimating security price derivatives using simulation
1996
Simulation has proved to be a valuable tool for estimating security prices for which...
The stability of a capacitated, multi-echelon production-inventory system under a base-stock policy
The stability of a capacitated, multi-echelon production-inventory system under a base-stock policy
1994
Most models of multilevel production and distribution systems assume unlimited...
Sensitivity analysis for base-stock levels in multiechelon production-inventory systems
Sensitivity analysis for base-stock levels in multiechelon production-inventory systems
1995
Effective management of inventories in large-scale production and distribution systems...
Filtered Monte Carlo
Filtered Monte Carlo
1993
A filtered Monte Carlo estimator is one whose constituent parts-summands or integral...
Processes with associated increments
Processes with associated increments
1992
The paper derives conditions under which the increments of a vector process are...
Smoothing complements and randomized score functions
Smoothing complements and randomized score functions
1993
This paper establishes connections between two derivative estimation techniques:...
Structural conditions for perturbation analysis derivative estimation: Finite-time performance indices
Structural conditions for perturbation analysis derivative estimation: Finite-time performance indices
1991
In recent years, there has been a surge of research into methods for estimating...
Papers per page: