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Paul Glasserman

Paul Glassermann
Jack R. Anderson Professor of Business
Decision, Risk, and Operations Division
Areas of Expertise
AI and Business Analytics Asset Management Financial Engineering Financial Institutions
Contact
Office: 1114 Kravis
Phone: (212) 8544102
E-mail: [email protected]
Links
Personal Website
Curriculum Vitae

Professor Glasserman's research and teaching address risk management, derivative securities, Monte Carlo simulation, statistics and operations. Prior to joining Columbia, Glasserman was with Bell Laboratories; he has also held visiting positions at Princeton University, NYU, and the Federal Reserve Bank of New York. In 2011-2012, he was on leave from Columbia and working at the Office of Financial Research in the U.S. Treasury Department, where he continues to serve as a part-time consultant.

 

Glasserman's publications include the book Monte Carlo Methods in Financial Engineering (Springer, 2004), which received the 2006 Lanchester Prize and the 2005 I-Sim Outstanding Publication Award. Glasserman is a past recipient of the National Young Investigator Award from the National Science Foundation (1994 - 99), IBM University Partnership Awards (1998 - 2001), the TIMS Outstanding Simulation Publication Award (1992), the Erlang Prize (1996), the IMS Medallion from the Institute of Mathematical Statistics (2006), and a fellowship from the FDIC Center for Financial Research (2004). He received the 2004 Wilmott Award for Cutting-Edge Research in Quantitative Finance and Risk Magazine's 2007 Quant of the Year Award, and he received a U.S. patent for an option pricing method. He was named an INFORMS Fellow in 2008. He is also a recipient of the Dean's Award for Teaching Excellence (1994, 2000) and the Saul Gass Expository Writing Award (2016). Glasserman serves on the editorial boards of Operations Research, Mathematical Finance, the Journal of Derivatives, and Stochastic Systems.

 

Glasserman was senior vice dean of Columbia Business School in 2004-2008 and served as interim director of the Sanford C. Bernstein & Co. Center for Leadership and Ethics in 2005-2007. He currently serves as research director of the Program for Financial Studies.

Education
AB, Princeton, 1984; PhD, Harvard, 1988
Joined CBS
1991

All Activities

  • Research
  • Teaching
  • Awards and Honors
  • Press
  • Journal articles
  • Working papers
  • Articles
  • Books
  • Chapters
Type
Journal Article
Glasserman, Paul and Harry Mamaysky
. “Investor Information Choice with Macro and Micro Information.”
Review of Asset Pricing Studies
vol.
forthcoming
, (May 02, 2022):
not known
.
Read More about Investor Information Choice with Macro and Micro Information
Type
Journal Article
Glasserman, Paul, Kriste Krstovski, Harry Mamaysky, and Paul Laliberte
. “Choosing News Topics to Explain Stock Market Returns.”
Proceedings of the ACM International Conference on AI in Finance (ICAIF-2020)
vol.
1
, (October 01, 2020):
unknown
.
Read More about Choosing News Topics to Explain Stock Market Returns
Type
Journal Article
Glasserman, Paul and Harry Mamaysky
. “Does unusual news forecast market stress?”
Journal of Financial and Quantitative Analysis
vol.
54
, (October 01, 2019):
1937
-
1974
.
Read More about Does unusual news forecast market stress?
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Type
Journal Article
Glasserman, Paul, Ciamac Moallemi, and Kai Yuan
. “Hidden illiquidity with multiple central counterparties.”
Operations Research
vol.
64
, (January 01, 2016):
1143
-
1158
.
Read More about Hidden illiquidity with multiple central counterparties
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Type
Journal Article
Glasserman, Paul and Kyoung-Kuk Kim
. “Saddlepoint approximations for affine jump-diffusion models.”
Journal of Economic Dynamics and Control
vol.
33
, (January 01, 2009):
15
-
36
.
Read More about Saddlepoint approximations for affine jump-diffusion models
Type
Journal Article
Chen, Zhiyong and Paul Glasserman
. “Sensitivity estimates for portfolio credit derivatives using Monte Carlo.”
Finance and Stochastics
vol.
12
, (October 01, 2008):
507
-
540
.
Read More about Sensitivity estimates for portfolio credit derivatives using Monte Carlo
Type
Journal Article
Glasserman, Paul and Sandeep Juneja
. “Uniformly efficient importance sampling for the tail distribution of sums of random variables.”
Mathematics of Operations Research
vol.
33
, (February 01, 2008):
36
-
50
.
Read More about Uniformly efficient importance sampling for the tail distribution of sums of random variables
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Type
Journal Article
Chen, Zhiyong and Paul Glasserman
. “Fast pricing of basket default swaps.”
Operations Research
vol.
56
, (January 01, 2008):
286
-
303
.
Read More about Fast pricing of basket default swaps
Download PDF on Fast pricing of basket default swaps
Type
Journal Article
Glasserman, Paul, Wanmo Kang, and Perwez Shahabuddin
. “Fast simulation of multifactor portfolio credit risk.”
Operations Research
vol.
56
, (January 01, 2008):
1200
-
1217
.
Read More about Fast simulation of multifactor portfolio credit risk
Download PDF on Fast simulation of multifactor portfolio credit risk
Type
Journal Article
Chen, Nan and Paul Glasserman
. “Malliavin Greeks without Malliavin calculus.”
Stochastic Processes and Their Applications
vol.
117
, (November 01, 2007):
1689
-
1723
.
Read More about Malliavin Greeks without Malliavin calculus
Type
Journal Article
Glasserman, Paul, Wanmo Kang, and Perwez Shahabuddin
. “Large deviations in multifactor portfolio credit risk.”
Mathematical Finance
vol.
17
, (July 01, 2007):
345
-
379
.
Read More about Large deviations in multifactor portfolio credit risk
Type
Journal Article
Glasserman, Paul and Sira Suchintabandid
. “Correlation expansions for CDO pricing.”
Journal of Banking & Finance
vol.
31
, (May 01, 2007):
1375
-
1398
.
Read More about Correlation expansions for CDO pricing
Type
Journal Article
Chen, Nan and Paul Glasserman
. “Additive and multiplicative duals for American option pricing.”
Finance and Stochastics
vol.
11
, (January 01, 2007):
153
-
179
.
Read More about Additive and multiplicative duals for American option pricing
Type
Journal Article
Glasserman, Paul
. “Measuring marginal risk contributions in credit portfolios.”
Journal of Computational Finance
vol.
9
, (January 01, 2006):
1
-
41
.
Read More about Measuring marginal risk contributions in credit portfolios
Type
Journal Article
Glasserman, Paul and Jesus Ruiz-Mata
. “Computing the credit loss distribution in the Gaussian copula model: A comparison of methods.”
Journal of Credit Risk
vol.
2
, (January 01, 2006):
33
-
66
.
Read More about Computing the credit loss distribution in the Gaussian copula model: A comparison of methods
Type
Journal Article
Glasserman, Paul and Bin Yu
. “Large sample properties of weighted Monte Carlo estimators.”
Operations Research
vol.
53
, (January 01, 2005):
298
-
312
.
Read More about Large sample properties of weighted Monte Carlo estimators
Download PDF on Large sample properties of weighted Monte Carlo estimators
Type
Journal Article
Glasserman, Paul and Bin Yu
. “Number of Paths Versus Number of Basis Functions in American Option Pricing.”
Annals of Applied Probability
vol.
14
, (January 01, 2004):
2090
-
2119
.
Read More about Number of Paths Versus Number of Basis Functions in American Option Pricing
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Type
Journal Article
Broadie, Mark and Paul Glasserman
. “A Stochastic Mesh Method for Pricing High-Dimensional American Options.”
Journal of Computational Finance
vol.
7
, (January 01, 2004):
35
-
72
.
Read More about A Stochastic Mesh Method for Pricing High-Dimensional American Options
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Type
Journal Article
Glasserman, Paul and David Yao
. “Optimal couplings are totally positive and more.”
Journal of Applied Probability
vol.
41
, (January 01, 2004):
321
-
332
.
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Type
Journal Article
Glasserman, Paul
. “Tail approximations for portfolio credit risk.”
The Journal of Derivatives
vol.
12
, (January 01, 2004):
24
-
42
.
Read More about Tail approximations for portfolio credit risk
Download PDF on Tail approximations for portfolio credit risk
Type
Journal Article
Glasserman, Paul and Shing-Gang Kou
. “The Term Structure of Simple Forward Rates with Jump Risk.”
Mathematical Finance
vol.
13
, (July 01, 2003):
383
-
410
.
Read More about The Term Structure of Simple Forward Rates with Jump Risk
Download PDF on The Term Structure of Simple Forward Rates with Jump Risk
Type
Journal Article
Glasserman, Paul
. “Cap and Swaption Approximations in LIBOR Market Models with Jumps.”
Journal of Computational Finance
vol.
7
, (February 01, 2003):
1
-
36
.
Read More about Cap and Swaption Approximations in LIBOR Market Models with Jumps
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Type
Journal Article
Glasserman, Paul and Nicolas Merener
. “Numerical Solution of Jump-Diffusion LIBOR Market Models.”
Finance and Stochastics
vol.
7
, (January 01, 2003):
1
-
27
.
Read More about Numerical Solution of Jump-Diffusion LIBOR Market Models
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Type
Journal Article
Glasserman, Paul and Jeremy Staum
. “Resource allocation among simulation time steps.”
Operations Research
vol.
51
, (January 01, 2003):
908
-
921
.
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Type
Journal Article
Glasserman, Paul, Peter Heidelberger, and Perwez Shahabuddin
. “Portfolio Value-at-Risk with Heavy-Tailed Risk Factors.”
Mathematical Finance
vol.
12
, (September 01, 2002):
239
-
270
.
Read More about Portfolio Value-at-Risk with Heavy-Tailed Risk Factors
Download PDF on Portfolio Value-at-Risk with Heavy-Tailed Risk Factors
Type
Journal Article
Jin, Yan and Paul Glasserman
. “Equilibrium positive interest rates: A unified view.”
The Review of Financial Studies
vol.
14
, (January 01, 2001):
187
-
214
.
Read More about Equilibrium positive interest rates: A unified view
Type
Journal Article
Glasserman, Paul and Jeremy Staum
. “Conditioning on one-step survival for barrier option simulations.”
Operations Research
vol.
49
, (January 01, 2001):
923
-
937
.
Read More about Conditioning on one-step survival for barrier option simulations
Download PDF on Conditioning on one-step survival for barrier option simulations
Type
Journal Article
Glasserman, Paul, Peter Heidelberger, and Perwez Shahabuddin
. “Variance Reduction Techniques for Estimating Value-at-Risk.”
Management Science
vol.
46
, (October 01, 2000):
1349
-
64
.
Read More about Variance Reduction Techniques for Estimating Value-at-Risk
Download PDF on Variance Reduction Techniques for Estimating Value-at-Risk
Type
Journal Article
Glasserman, Paul and Hui Wang
. “Discretization of deflated bond prices.”
Advances in Applied Probability
vol.
32
, (June 01, 2000):
540
-
563
.
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Type
Journal Article
Glasserman, Paul and Xiaoliang Zhao
. “Arbitrage-free discretization of lognormal forward Libor and swap rate models.”
Finance and Stochastics
vol.
4
, (January 01, 2000):
35
-
68
.
Read More about Arbitrage-free discretization of lognormal forward Libor and swap rate models
Type
Journal Article
Glasserman, Paul, Philip Heidelberger, and Perwez Shahabuddin
. “Asymptotically optimal importance sampling and stratification for pricing path-dependent options.”
Mathematical Finance
vol.
9
, (April 01, 1999):
117
-
152
.
Read More about Asymptotically optimal importance sampling and stratification for pricing path-dependent options
Type
Journal Article
Glasserman, Paul, Philip Heidelberger, Perwez Shahabuddin, and Tim Zajic
. “Multilevel splitting for estimating rare event probabilities.”
Operations Research
vol.
47
, (January 01, 1999):
585
-
600
.
Read More about Multilevel splitting for estimating rare event probabilities
Download PDF on Multilevel splitting for estimating rare event probabilities
Type
Journal Article
Glasserman, Paul and Yashan Wang
. “Fill-rate bottlenecks in production-inventory networks.”
Manufacturing & Service Operations Management
vol.
1
, (January 01, 1999):
62
-
76
.
Read More about Fill-rate bottlenecks in production-inventory networks
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Type
Journal Article
Glasserman, Paul and Xiaoliang Zhao
. “Fast greeks by simulation in forward LIBOR models.”
The Journal of Computational Finance
vol.
3
, (January 01, 1999):
5
-
39
.
Read More about Fast greeks by simulation in forward LIBOR models
Type
Journal Article
Broadie, Mark, Paul Glasserman, and Shing-Gang Kou
. “Connecting Discrete and Continuous Path-Dependent Options.”
Finance and Stochastics
vol.
3
, (January 01, 1999):
55
-
82
.
Read More about Connecting Discrete and Continuous Path-Dependent Options
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Type
Journal Article
Glasserman, Paul, Philip Heidelberger, Perwez Shahabuddin, and Tim Zajic
. “A large deviations perspective on the efficiency of multilevel splitting.”
IEEE Transactions on Automatic Control
vol.
43
, (December 01, 1998):
1666
-
1679
.
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Type
Journal Article
Glasserman, Paul and Yashan Wang
. “Leadtime-inventory trade-offs in assemble-to-order systems.”
Operations Research
vol.
46
, (January 01, 1998):
858
-
871
.
Read More about Leadtime-inventory trade-offs in assemble-to-order systems
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Type
Journal Article
Glasserman, Paul and Yashan Wang
. “Counterexamples in importance sampling for large deviations probabilities.”
<a href="http://www.imstat.org/aap/">The Annals of Applied Probability</a>
vol.
7
, (August 01, 1997):
731
-
746
.
Read More about Counterexamples in importance sampling for large deviations probabilities
Download PDF on Counterexamples in importance sampling for large deviations probabilities
Type
Journal Article
Glasserman, Paul and Tai-Wen Liu
. “Corrected diffusion approximations for a multistage production-inventory system.”
Mathematics of Operations Research
vol.
22
, (February 01, 1997):
186
-
201
.
Read More about Corrected diffusion approximations for a multistage production-inventory system
Download PDF on Corrected diffusion approximations for a multistage production-inventory system
Type
Journal Article
Broadie, Mark, Paul Glasserman, and Gautam Jain
. “Enhanced Monte Carlo estimates for American option prices.”
The Journal of Derivatives
vol.
5
, (January 01, 1997):
25
-
44
.
Read More about Enhanced Monte Carlo estimates for American option prices
Download PDF on Enhanced Monte Carlo estimates for American option prices
Type
Journal Article
Glasserman, Paul, Philip Heidelberger, and Perwez Shahabuddin
. “Importance sampling in the Heath-Jarrow-Morton framework.”
The Journal of Derivatives
vol.
7
, (January 01, 1997):
32
-
50
.
Read More about Importance sampling in the Heath-Jarrow-Morton framework
Type
Journal Article
Broadie, Mark, Paul Glasserman, and Shing-Gang Kou
. “A Continuity Correction for Discrete Barrier Options.”
Mathematical Finance
vol.
7
, (January 01, 1997):
325
-
49
.
Read More about A Continuity Correction for Discrete Barrier Options
Download PDF on A Continuity Correction for Discrete Barrier Options
Type
Journal Article
Glasserman, Paul
. “Bounds and asymptotics for planning critical safety stocks.”
Operations Research
vol.
45
, (January 01, 1997):
244
-
257
.
Read More about Bounds and asymptotics for planning critical safety stocks
Download PDF on Bounds and asymptotics for planning critical safety stocks
Type
Journal Article
Boyle, Phelim, Mark Broadie, and Paul Glasserman
. “Monte Carlo Methods for Security Pricing.”
Journal of Economic Dynamics and Control
vol.
21
, (January 01, 1997):
1267
-
1321
.
Read More about Monte Carlo Methods for Security Pricing
Download PDF on Monte Carlo Methods for Security Pricing
Type
Journal Article
Broadie, Mark and Paul Glasserman
. “Pricing American-Style Securities Using Simulation.”
Journal of Economic Dynamics and Control
vol.
21
, (January 01, 1997):
1323
-
52
.
Read More about Pricing American-Style Securities Using Simulation
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Type
Journal Article
Glasserman, Paul and Tai-Wen Liu
. “Rare-event simulation for multistage production-inventory systems.”
Management Science
vol.
42
, (September 01, 1996):
1292
-
1307
.
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Type
Journal Article
Glasserman, Paul and Sridhar Tayur
. “A simple approximation for a multistage capacitated production-inventory system.”
Naval Research Logistics
vol.
43
, (February 01, 1996):
41
-
58
.
Read More about A simple approximation for a multistage capacitated production-inventory system
Type
Journal Article
Broadie, Mark and Paul Glasserman
. “Estimating Security Price Derivatives Using Simulation.”
Management Science
vol.
42
, (January 01, 1996):
269
-
85
.
Read More about Estimating Security Price Derivatives Using Simulation
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Type
Journal Article
Glasserman, Paul and David Yao
. “Structured buffer-allocation problems.”
Discrete Event Dynamic Systems
vol.
6
, (January 01, 1996):
9
-
41
.
Read More about Structured buffer-allocation problems
Type
Journal Article
Glasserman, Paul
. “Allocating production capacity among multiple products.”
Operations Research
vol.
44
, (January 01, 1996):
724
-
734
.
Read More about Allocating production capacity among multiple products
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Type
Journal Article
Glasserman, Paul and David Yao
. “Stochastic vector difference equations with stationary coefficients.”
Journal of Applied Probability
vol.
32
, (December 01, 1995):
851
-
866
.
Read More about Stochastic vector difference equations with stationary coefficients
Type
Journal Article
Glasserman, Paul and Shing-Gang Kou
. “Limits of first passage times to rare sets in regenerative processes.”
<a href="http://www.imstat.org/publications/">The Annals of Applied Probability</a>
vol.
5
, (May 01, 1995):
424
-
445
.
Read More about Limits of first passage times to rare sets in regenerative processes
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Type
Journal Article
Glasserman, Paul
. “Hedging-point production control with multiple failure modes.”
IEEE Transactions on Automatic Control
vol.
40
, (April 01, 1995):
707
-
712
.
Read More about Hedging-point production control with multiple failure modes
Download PDF on Hedging-point production control with multiple failure modes
Type
Journal Article
Glasserman, Paul and David Yao
. “Subadditivity and stability of a class of discrete-event systems.”
IEEE Transactions on Automatic Control
vol.
40
, (January 01, 1995):
1514
-
1527
.
Read More about Subadditivity and stability of a class of discrete-event systems
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Type
Journal Article
Glasserman, Paul and Shing-Gang Kou
. “Analysis of an importance sampling estimator for tandem queues.”
ACM Transactions on Modeling and Computer Simulation (TOMACS)
vol.
5
, (January 01, 1995):
22
-
42
.
Read More about Analysis of an importance sampling estimator for tandem queues
Type
Journal Article
Glasserman, Paul and David Yao
. “Monotone optimal control of permutable GSMPs.”
Mathematics of Operations Research
vol.
19
, (May 01, 1994):
449
-
476
.
Read More about Monotone optimal control of permutable GSMPs
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Type
Journal Article
Glasserman, Paul and Pirooz Vakili
. “Comparing Markov chains simulated in parallel.”
<a href="http://journals.cambridge.org/action/displayAbstract?fromPage=online&aid=5590628">Probability in the Engineering and Informational Sciences</a>
vol.
8
, (January 01, 1994):
309
-
326
.
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Type
Journal Article
Glasserman, Paul and Sridhar Tayur
. “The stability of a capacitated, multi-echelon production-inventory system under a base-stock policy.”
Operations Research
vol.
42
, (January 01, 1994):
913
-
925
.
Read More about The stability of a capacitated, multi-echelon production-inventory system under a base-stock policy
Download PDF on The stability of a capacitated, multi-echelon production-inventory system under a base-stock policy
Type
Journal Article
Glasserman, Paul
. “Filtered Monte Carlo.”
Mathematics of Operations Research
vol.
18
, (August 01, 1993):
610
-
634
.
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Type
Journal Article
Glasserman, Paul
. “Regenerative derivatives of regenerative sequences.”
Advances in Applied Probability
vol.
25
, (March 01, 1993):
116
-
139
.
Read More about Regenerative derivatives of regenerative sequences
Type
Journal Article
Glasserman, Paul
. “Stochastic monotonicity and conditional Monte Carlo for likelihood ratios.”
Advances in Applied Probability
vol.
25
, (March 01, 1993):
103
-
115
.
Read More about Stochastic monotonicity and conditional Monte Carlo for likelihood ratios
Type
Journal Article
Glasserman, Paul
. “Stationary waiting time derivatives.”
Queueing Systems: Theory and Applications
vol.
12
, (December 01, 1992):
369
-
389
.
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Type
Journal Article
Glasserman, Paul and David Yao
. “Some guidelines and guarantees for common random numbers.”
Management Science
vol.
38
, (June 01, 1992):
884
-
908
.
Read More about Some guidelines and guarantees for common random numbers
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Type
Journal Article
Glasserman, Paul
. “Processes with associated increments.”
Journal of Applied Probability
vol.
29
, (June 01, 1992):
313
-
333
.
Read More about Processes with associated increments
Type
Journal Article
Glasserman, Paul and David Yao
. “Generalized semi-Markov processes: Antimatroid structure and second-order properties.”
Mathematics of Operations Research
vol.
17
, (May 01, 1992):
444
-
469
.
Read More about Generalized semi-Markov processes: Antimatroid structure and second-order properties
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Type
Journal Article
Glasserman, Paul and David Yao
. “Monotonicity in generalized semi-Markov processes.”
Mathematics of Operations Research
vol.
17
, (February 01, 1992):
1
-
21
.
Read More about Monotonicity in generalized semi-Markov processes
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Type
Journal Article
Glasserman, Paul
. “Derivative estimates from simulation of continuous-time Markov chains.”
Operations Research
vol.
40
, (January 01, 1992):
292
-
308
.
Read More about Derivative estimates from simulation of continuous-time Markov chains
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Type
Journal Article
Glasserman, Paul
. “Smoothing complements and randomized score functions.”
Annals of Operations Research
vol.
39
, (January 01, 1992):
41
-
67
.
Read More about Smoothing complements and randomized score functions
Type
Journal Article
Glasserman, Paul
. “Structural conditions for perturbation analysis of queueing systems.”
Journal of the ACM
vol.
38
, (October 01, 1991):
1005
-
1025
.
Read More about Structural conditions for perturbation analysis of queueing systems
Type
Journal Article
Glasserman, Paul and Wei-Bo Gong
. “Time-changing and truncating K-capacity queues from one K to another.”
Journal of Applied Probability
vol.
28
, (September 01, 1991):
647
-
655
.
Read More about Time-changing and truncating <em>K</em>-capacity queues from one <em>K</em> to another
Type
Journal Article
Fox, Bennett and Paul Glasserman
. “Estimating derivatives via Poisson's equation.”
Probability in the Engineering and Informational Sciences
vol.
5
, (January 01, 1991):
415
-
428
.
Read More about Estimating derivatives via Poisson's equation
Type
Journal Article
Glasserman, Paul and David Yao
. “Algebraic structure of some stochastic discrete event systems, with applications.”
Discrete Event Dynamic Systems
vol.
1
, (January 01, 1991):
7
-
35
.
Read More about Algebraic structure of some stochastic discrete event systems, with applications
Type
Journal Article
Glasserman, Paul
. “Structural conditions for perturbation analysis derivative estimation: Finite-time performance indices.”
Operations Research
vol.
39
, (January 01, 1991):
724
-
738
.
Read More about Structural conditions for perturbation analysis derivative estimation: Finite-time performance indices
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Type
Journal Article
Glasserman, Paul, Jian-Qiang Hu, and Stephen Strickland
. “Strongly consistent steady-state derivative estimates.”
Probability in the Engineering and Informational Sciences
vol.
5
, (January 01, 1991):
391
-
413
.
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Type
Journal Article
Glasserman, Paul
. “Discrete-time 'inversion' and derivative estimation for Markov chains.”
Operations Research Letters
vol.
9
, (September 01, 1990):
305
-
313
.
Read More about Discrete-time 'inversion' and derivative estimation for Markov chains
Type
Journal Article
Glasserman, Paul
. “The limiting value of derivative estimators based on perturbation analysis.”
Stochastic Models
vol.
6
, (January 01, 1990):
229
-
257
.
Read More about The limiting value of derivative estimators based on perturbation analysis
Type
Journal Article
Glasserman, Paul and Yu-Chi Ho
. “Aggregation approximations for sensitivity analysis of multi-class queueing networks.”
Performance Evaluation
vol.
10
, (December 01, 1989):
295
-
308
.
Read More about Aggregation approximations for sensitivity analysis of multi-class queueing networks
Type
Journal Article
Glasserman, Paul
. “Infinitesimal perturbation analysis of a birth and death process.”
Operations Research Letters
vol.
7
, (February 01, 1988):
43
-
49
.
Read More about Infinitesimal perturbation analysis of a birth and death process
Type
Journal Article
Glasserman, Paul
. “Sensitivity of sample values not generated by inversion.”
Journal of Optimization Theory and Applications
vol.
52
, (March 01, 1987):
487
-
493
.
Read More about Sensitivity of sample values not generated by inversion
Type
Working Paper
Mamaysky, Harry, Paul Glasserman, and Jimmy Qin
. New News is Bad News. August 29, 2023.
Read More about New News is Bad News
Download PDF on New News is Bad News
Type
Working Paper
Glasserman, Paul, Harry Mamaysky, and Yiwen Shen
. Dynamic Information Regimes in Financial Markets. April 28, 2021.
Read More about Dynamic Information Regimes in Financial Markets
Type
Working Paper
Glasserman, Paul, Fulin Li, and Harry Mamaysky
. Time Variation in the News-Returns Relationship. July 16, 2019.
Read More about Time Variation in the News-Returns Relationship
Type
Working Paper
Glasserman, Paul
. Tail Approximations for Portfolio Credit Risk. February 01, 2005.
Read More about Tail Approximations for Portfolio Credit Risk
Download PDF on Tail Approximations for Portfolio Credit Risk
Type
Working Paper
Glasserman, Paul
. Measuring Marginal Risk Contributions in Credit Portfolios. January 01, 2004.
Read More about Measuring Marginal Risk Contributions in Credit Portfolios
Download PDF on Measuring Marginal Risk Contributions in Credit Portfolios
Type
Working Paper
Glasserman, Paul and Jingyi Li
. Importance Sampling for Portfolio Credit Risk. December 01, 2003.
Read More about Importance Sampling for Portfolio Credit Risk
Download PDF on Importance Sampling for Portfolio Credit Risk
Type
Working Paper
Glasserman, Paul and Bin Yu
. Large Sample Properties of Weighted Monte Carlo Estimators. August 01, 2003.
Read More about Large Sample Properties of Weighted Monte Carlo Estimators
Download PDF on Large Sample Properties of Weighted Monte Carlo Estimators
Type
Book
Glasserman, Paul
. Monte Carlo Methods in Financial Engineering. 
New York
:
Springer
, 2005.
Read More about Monte Carlo Methods in Financial Engineering
Type
Book
Broadie, Mark and Paul Glasserman
. Hedging with trees: Advances in pricing and risk managing derivatives. 
London
:
Risk Books
, 1998.
Read More about Hedging with trees: Advances in pricing and risk managing derivatives
Type
Book
Glasserman, Paul, Karl Sigman, and David Yao
. Stochastic networks: Stability and rare events. 
New York
:
Springer-Verlag
, 1996.
Read More about Stochastic networks: Stability and rare events
Type
Book
Glasserman, Paul and David Yao
. Monotone structure in discrete-event systems. 
New York
:
Wiley
, 1994.
Read More about Monotone structure in discrete-event systems
Type
Book
Glasserman, Paul
. Gradient estimation via perturbation analysis. 
Norwell, MA
:
Kluwer
, 1991.
Read More about Gradient estimation via perturbation analysis
Type
Chapter
Glasserman, Paul and Xingbo Xu
. “Importance Sampling for Tail Risk in Discretely Rebalanced Portfolios.” In
Proceedings of the 2010 Winter Simulation Conference
,
2655
-
2665
.
Baltimore, MD
:
IEEE
, 2010.
Read More about Importance Sampling for Tail Risk in Discretely Rebalanced Portfolios
Type
Chapter
Glasserman, Paul
. “Calculating portfolio credit risk.” In
Handbooks in Operations Research and Management Science: Financial Engineering, Volume 15
, edited by
J. R. Birge and V. Linetsky
,
437
-
470
.
Amsterdam
:
Elsevier
, 2007.
Read More about Calculating portfolio credit risk
Type
Chapter
Glasserman, Paul and Nicolas Merener
. “Convergence of a Discretization Scheme for Jump-Diffusion Processes with State-Dependent Intensities.” In
Stochastic Analysis with Applications to Mathematical Finance
, edited by
Jeff Cash
,
London, UK
:
The Royal Society
, 2004.
Read More about Convergence of a Discretization Scheme for Jump-Diffusion Processes with State-Dependent Intensities
Download PDF on Convergence of a Discretization Scheme for Jump-Diffusion Processes with State-Dependent Intensities
Type
Chapter
Glasserman, Paul and Jingyi Li
. “Importance Sampling for a Mixed Poisson Model of Portfolio Credit Risk.” In
Proceedings of the Winter Simulation Conference 2003
, edited by
S. Chick, P J. Sanchez, D. Ferrin, and D. J. Morrice
,
Los Alamitos, Calif.
:
IEEE
, 2003.
Read More about Importance Sampling for a Mixed Poisson Model of Portfolio Credit Risk
Download PDF on Importance Sampling for a Mixed Poisson Model of Portfolio Credit Risk
Type
Chapter
Glasserman, Paul and Bin Yu
. “Simulation for American Options: Regression Now or Regression Later?” In
Monte Carlo and Quasi-Monte Carlo Methods 2002
, edited by
H. Niederreiter
,
Berlin, Germany
:
Springer
, 2002.
Read More about Simulation for American Options: Regression Now or Regression Later?
Download PDF on Simulation for American Options: Regression Now or Regression Later?
Type
Chapter
Glasserman, Paul, Peter Heidelberger, and Perwez Shahabuddin
. “Efficient Monte Carlo Methods for Value-at-Risk.” In
Mastering Risk
, edited by
Carol Alexander
,
New York
:
Financial Times / Prentice Hall
, 2001.
Read More about Efficient Monte Carlo Methods for Value-at-Risk
Download PDF on Efficient Monte Carlo Methods for Value-at-Risk
Type
Chapter
Glasserman, Paul
. “Shortfall risk in long-term hedging with short-term futures contracts.” In
Option Pricing, Interest Rates and Risk Management
, edited by
Elyes Jouini, Jaksa Cvitanic, and Marek Musiela
,
477
-
508
.
New York
:
Cambridge University Press
, 2001.
Read More about Shortfall risk in long-term hedging with short-term futures contracts
Download PDF on Shortfall risk in long-term hedging with short-term futures contracts
Type
Chapter
Glasserman, Paul
. “The quest for precision through value-at-risk.” In
Mastering Risk: Concepts
, edited by
James Pickford
,
109
-
114
.
London
:
Pearson Education Limited
, 2001.
Read More about The quest for precision through value-at-risk
Download PDF on The quest for precision through value-at-risk
Type
Chapter
Boyle, Phelim, Mark Broadie, and Paul Glasserman
. “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.
Read More about Monte Carlo methods for security pricing
Download PDF on Monte Carlo methods for security pricing
Type
Chapter
Broadie, Mark, Paul Glasserman, and Zachary Ha
. “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.
Read More about Pricing American options by simulation using a stochastic mesh with optimized weights
Type
Chapter
Glasserman, Paul, Peter Heidelberger, and Perwez Shahabuddin
. “Importance Sampling and Stratification for Value-at-Risk.” In
Computational Finance
, edited by
Abu-Mostafa, LeBaron, Andrew Lo, and Andreas Weigend
,
Cambridge, Mass.
:
MIT Press
, 2000.
Read More about Importance Sampling and Stratification for Value-at-Risk
Download PDF on Importance Sampling and Stratification for Value-at-Risk
Type
Chapter
Glasserman, Paul, Peter Heidelberger, and Perwez Shahabuddin
. “Stratification Issues in Estimating Value-at-Risk.” In
Proceedings of the 1999 Winter Simulation Conference
, edited by
P. A. Farrington, H. B. Nembhard, D. T. Sturrock, and G. W. Evans
,
Los Alamitos, Calif.
:
IEEE
, 1999.
Read More about Stratification Issues in Estimating Value-at-Risk
Download PDF on Stratification Issues in Estimating Value-at-Risk
Type
Chapter
Broadie, Mark and Paul Glasserman
. “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.
Read More about Simulation for option pricing and risk management
Type
Chapter
Acworth, Peter, Mark Broadie, and Paul Glasserman
. “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.
Read More about A comparison of some Monte Carlo and quasi Monte Carlo techniques for option pricing
  • Courses
  • Case Studies
Type
Course
B8148: The Analytics Advantage
View Course on The Analytics Advantage
Type
Course
B6100: Managerial Statistics
View Course on Managerial Statistics
Type
Course
B8114: Applied Regression Analysis
View Course on Applied Regression Analysis
Type
Case Study
Maglaras, Costis, Trevor Hariis, and Paul Glasserman
. GM Integrative case for Managerial Statistics.  2011.
Read More about GM Integrative case for Managerial Statistics
Type
Case Study
Harris, Trevor, Costis Maglaris, Nicolás Stier-Moses, and Paul Glasserman
. Did General Motors Produce to Match Demand? 
Columbia University
:
CaseWorks
, 2011.
Read More about Did General Motors Produce to Match Demand?
Type
Case Study
Glasserman, Paul
. OTC or CCP? ICE or CME?  2010.
Read More about OTC or CCP? ICE or CME?
Type
Case Study
Glasserman, Paul
. AIG CDS CDO OMG.  2010.
Read More about AIG CDS CDO OMG
Type
Case Study
Glasserman, Paul
. Does Detailing Pay? 
Columbia CaseWorks
:
Columbia Business School
, 2009.
Read More about Does Detailing Pay?
Download PDF on Does Detailing Pay?
Type
Case Study
Glasserman, Paul
. Does Detailing Pay? Teaching Note. 
Columbia CaseWorks
:
Columbia Business School
, 2009.
Read More about Does Detailing Pay? Teaching Note
Download PDF on Does Detailing Pay? Teaching Note
  • Awards & Honors
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