Mark Broadie
- Carson Family Professor of Business
- Decision, Risk, and Operations Division
- Academic Advisory Board Member
- Program for Financial Studies
- Areas of Expertise
- AI and Business Analytics
- Contact
- Office: 1131 Kravis
- Phone: (212) 8544103
- E-mail: [email protected]
- Links
- Curriculum Vitae
Professor Broadie currently teaches the elective courses Security Pricing: Models and Computation, Computational Finance, and Programming for Business Research. He is an Academic Advisory Board Member for the Program for Financial Studies. His research interests include the pricing of derivative securities, risk management and, more generally, quantitative methods for decision-making under uncertainty. Broadie is the financial engineering area editor of Operations Research and serves on the editorial boards of Finance and Stochastics, SIAM Journal of Financial Mathematics and Computational Management Science and was previously editor-in-chief of the Journal of Computational Finance. Professor Broadie received two Dean's awards for teaching and has given seminars and courses for financial professionals throughout the world. He is the vice chairman of Enterprise Risk Management Institute International (ERM-II), a non-profit organization dedicated to promoting education, research and training of enterprise risk managers. He has served as a consultant for a number of financial firms.
- Education
-
BS, Cornell, 1979; PhD, Stanford, 1983
- Joined CBS
- 1983
All Activities
- Type
-
Journal Article
.
“Risk estimation via regression.”
Operations Research
vol.
63
,
(January 01, 2015):
1077
-1097
.
- Type
-
Journal Article
.
“Assessing Golfer Performance on the PGA TOUR.”
Interfaces
vol.
42
,
(January 01, 2012):
146
-155
.
- Type
-
Journal Article
.
“Managing Corporate Liquidity: Strategies and Pricing Implications.”
International Journal of Theoretical and Applied Finance
vol.
14
,
(October 20, 2011):
369
-406
.
- Type
-
Journal Article
.
“Efficient Risk Estimation via Nested Sequential Simulation.”
Management Science
vol.
57
,
(June 01, 2011):
1172
-1194
.
- Type
-
Journal Article
.
“General Bounds and Finite-Time Improvement for the Kiefer-Wolfowitz Stochastic Approximation Algorithm.”
Operations Research
vol.
59
,
(January 01, 2011):
1211
-1224
.
- Type
-
Journal Article
.
“Understanding index option returns.”
Review of Financial Studies
vol.
22
,
(January 01, 2009):
4493
-4529
.
- Type
-
Journal Article
Broadie, Mark and Ashish Jain
.
“The effect of jumps and discrete sampling on volatility and variance swaps.”
International Journal of Theoretical and Applied Finance
vol.
11
,
(December 01, 2008):
761
-797
.
- Type
-
Journal Article
Broadie, Mark and Menghui Cao
.
“Improved lower and upper bound algorithms for pricing American options by simulation.”
Quantitative Finance
vol.
8
,
(December 01, 2008):
845
-861
.
- Type
-
Journal Article
Broadie, Mark and Ashish Jain
.
“Pricing and hedging volatility derivatives.”
The Journal of Derivatives
vol.
15
,
(January 01, 2008):
7
-24
.
- Type
-
Journal Article
Broadie, Mark and O. Kaya
.
“A binomial lattice method for pricing corporate debt and modeling Chapter 11 proceedings.”
Journal of Financial and Quantitative Analysis
vol.
42
,
(June 01, 2007):
279
-312
.
- Type
-
Journal Article
.
“Model specification and risk premia: Evidence from futures options.”
Journal of Finance
vol.
62
,
(January 01, 2007):
1453
-1490
.
- Type
-
Journal Article
.
“Optimal Debt and Equity Values in the Presence of Chapter 7 and Chapter 11.”
Journal of Finance
vol.
62
,
(January 01, 2007):
1341
-1377
.
- Type
-
Journal Article
Broadie, Mark and O. Kaya
.
“Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes.”
Operations Research
vol.
54
,
(April 01, 2006):
217
-231
.
- Type
-
Journal Article
Broadie, Mark and Y. Yamamoto
.
“A Double-Exponential Fast Gauss Transform for Pricing Discrete Path-Dependent Options.”
Operations Research
vol.
53
,
(January 01, 2005):
764
-79
.
- Type
-
Journal Article
Andersen, Leif and Mark Broadie
.
“Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options.”
Management Science
vol.
50
,
(September 01, 2004):
1222
-34
.
- Type
-
Journal Article
Andersen, Leif and Mark Broadie
.
“Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options.”
Management Science
vol.
50
,
(September 01, 2004):
1222
-34
.
- Type
-
Journal Article
Broadie, Mark and Jerome Detemple
.
“Option Pricing: Valuation Models and Applications.”
Management Science
vol.
50
,
(January 01, 2004):
1145
-77
.
- Type
-
Journal Article
.
“A Stochastic Mesh Method for Pricing High-Dimensional American Options.”
Journal of Computational Finance
vol.
7
,
(January 01, 2004):
35
-72
.
- Type
-
Journal Article
Broadie, Mark and Y. Yamamoto
.
“Application of the Fast Gauss Transform to Option Pricing.”
Management Science
vol.
49
,
(January 01, 2003):
1071
-88
.
- Type
-
Journal Article
.
“American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation.”
Journal of Econometrics
vol.
94
,
(January 01, 2000):
53
-92
.
- Type
-
Journal Article
.
“Nonparametric Estimation of American Option Exercise Boundaries and Call Prices.”
Journal of Economic Dynamics and Control
vol.
24
,
(January 01, 2000):
1829
-57
.
- Type
-
Journal Article
.
“Connecting Discrete and Continuous Path-Dependent Options.”
Finance and Stochastics
vol.
3
,
(January 01, 1999):
55
-82
.
- Type
-
Journal Article
.
“Optimal Replication of Contingent Claims Under Portfolio Constraints.”
Review of Financial Studies
vol.
11
,
(January 01, 1998):
59
-79
.
- Type
-
Journal Article
.
“A Continuity Correction for Discrete Barrier Options.”
Mathematical Finance
vol.
7
,
(January 01, 1997):
325
-49
.
- Type
-
Journal Article
.
“Monte Carlo Methods for Security Pricing.”
Journal of Economic Dynamics and Control
vol.
21
,
(January 01, 1997):
1267
-1321
.
- Type
-
Journal Article
Broadie, Mark and Jerome Detemple
.
“The Valuation of American Options on Multiple Assets.”
Mathematical Finance
vol.
7
,
(January 01, 1997):
241
-86
.
- Type
-
Journal Article
.
“Enhanced Monte Carlo estimates for American option prices.”
The Journal of Derivatives
vol.
5
,
(January 01, 1997):
25
-44
.
- Type
-
Journal Article
.
“Pricing American-Style Securities Using Simulation.”
Journal of Economic Dynamics and Control
vol.
21
,
(January 01, 1997):
1323
-52
.
- Type
-
Journal Article
.
“Estimating Security Price Derivatives Using Simulation.”
Management Science
vol.
42
,
(January 01, 1996):
269
-85
.
- Type
-
Journal Article
.
“American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods.”
Review of Financial Studies
vol.
9
,
(January 01, 1996):
1211
-50
.
- Type
-
Journal Article
Broadie, Mark and Jerome Detemple
.
“American Capped Call Options on Dividend-Paying Assets.”
Review of Financial Studies
vol.
8
,
(January 01, 1995):
161
-91
.
- Type
-
Journal Article
.
“Computing efficient frontiers using estimated parameters.”
Annals of Operations Research
vol.
45
,
(December 01, 1993):
21
-58
.
- Type
-
Journal Article
Broadie, Mark and Dev Joneja
.
“An application of Markov chain analysis to the game of squash.”
Decision Sciences
vol.
24
,
(January 01, 1993):
1023
-1035
.
- Type
-
Journal Article
Broadie, Mark and B. Curtis Eaves
.
“A variable rate refining triangulation.”
Mathematical programming
vol.
38
,
(June 01, 1987):
161
-202
.
- Type
-
Journal Article
.
“A theorem about antiprisms.”
Linear Algebra and Its Applications
vol.
66
,
(April 01, 1985):
99
-111
.
- Type
-
Journal Article
.
“An introduction to the octahedral algorithm for the computation of economic equilibria.”
Mathematical Programming Studies
vol.
23
,
(January 01, 1985):
121
-143
.
- Type
-
Journal Article
Broadie, Mark and Richard Cottle
.
“A note on triangulating the 5-cube.”
Discrete Mathematics
vol.
52
,
(January 01, 1984):
39
-49
.
- Type
-
Working Paper
.
Growth Options and Optimal Default under Liquidity Constraints: The Role of Corporate Cash Balances. September 28, 2009.
- Type
-
Working Paper
.
Understanding Index Option Returns. May 01, 2007.
- Type
-
Working Paper
Sundaresan, M. Suresh and Mark Broadie
.
Optimal Corporate Securities Values in the Presence of Chapter 7 and Chapter 11. August 01, 2004.
- Type
-
Newspaper/Magazine Article
.
“Model Specification and Risk Premia: Evidence from Futures Options.”
Journal of Finance
.
Forthcoming.
- Type
-
Book
.
Every Shot Counts: Using the Revolutionary Strokes Gained Approach to Improve Your Golf Performance and Strategy.
New York
:
Gotham
,
2014.
- Type
-
Book
.
Hedging with trees: Advances in pricing and risk managing derivatives.
London
:
Risk Books
,
1998.
- Type
-
Chapter
Andersen, Leif and Mark Broadie
.
“Early Exercise Options: Upper Bounds.”
In Encyclopedia of Quantitative Finance
,
edited by Rama Cont
,
West Sussex
:
Wiley
,
2010.
- Type
-
Chapter
Broadie, Mark and S. Ko
.
“A Simulation Model to Analyze the Impact of Distance and Direction on Golf Scores.”
In Proceedings of the 2009 Winter Simulation Conference
,
3109
-3120
.
New York
:
Institute of Electrical and Electronics Engineers
,
2009.
- Type
-
Chapter
.
“Assessing Golfer Performance Using Golfmetrics.”
In
Science and Golf V: Proceedings of the 2008 World Scientific Congress of Golf
,
edited by D. Crews and R. Lutz
,
253
-262
.
Mesa, AZ
:
Energy in Motion Inc.
,
2008.
- Type
-
Chapter
Broadie, Mark and O. Kaya
.
“Exact Simulation of Option Greeks Under Stochastic Volatility and Jump Diffusion Models.”
In Proceedings of the 2004 Winter Simulation Conference
,
edited by R. G. Ingalls, M. D. Rossetti, J. S. Smith, and B. A. Peters
,
1607
-15
.
Washington
:
INFORMS
,
2004.
- Type
-
Chapter
.
“Monte Carlo methods for security pricing.”
In
Option Pricing, Interest Rates and Risk Management
,
edited by Elyes Jouini, Jaksa Cvitanic, and & Marek Musiela
,
185
-239
.
New York
:
Cambridge University Press
,
2001.
- Type
-
Chapter
.
“Pricing American options by simulation using a stochastic mesh with optimized weights.”
In
Probabilistic constrained optimization: Methodology and applications
,
edited by Stanislav P. Uryasev
,
26
-44
.
Dorwell, MA
:
Kluwer
,
2000.
- Type
-
Chapter
Broadie, Mark and Jerome Detemple
.
“American options on dividend-paying assets.”
In Topology and Markets
,
edited by Graciela Chichilnisky
,
69
-98
.
Providence, RI
:
American Mathematical Society/Fields Institute Communications
,
1999.
- Type
-
Chapter
.
“A comparison of some Monte Carlo and quasi Monte Carlo techniques for option pricing.”
In
Monte Carlo and quasi-Monte Carlo methods 1996
,
edited by Harald Niederreiter, Peter Hellekalek, Gerhard Larcher, and Peter Zinterhof
,
1
-18
.
New York
:
Springer-Verlag
,
1998.
- Type
-
Chapter
.
“Simulation for option pricing and risk management.”
In
Risk Management and Analysis, Volume 1: Measuring and Modelling Financial Risk
,
edited by Carol Alexander
,
173
-208
.
New York
:
Wiley
,
1998.
- Type
-
Chapter
Broadie, Mark and Jerome Detemple
.
“Recent advances in numerical methods for pricing derivative securities.”
In Numerical Methods in Finance
,
edited by L.C.G. Rogers and D. Talay
,
43
-66
.
New York
:
Cambridge University Press
,
1997.
- Type
- Course
B8131: Sports Analytics
- Type
-
Case Study
- Type
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