Mark Broadie

26 papers Misc 10Journal 16
YearRankTypeTitle / Venue / Authors
2022 J jnl
Practical Nonparametric Sampling Strategies for Quantile-Based Ordinal Optimization.
INFORMS J. Comput.
Dongwook Shin, Mark Broadie, Assaf Zeevi
2018 J jnl
Tractable Sampling Strategies for Ordinal Optimization.
Oper. Res.
Dongwook Shin, Mark Broadie, Assaf Zeevi
2017 J jnl
Numerical solutions to dynamic portfolio problems with upper bounds.
Comput. Manag. Sci.
Mark Broadie, Weiwei Shen
2016 Misc conf
Tractable sampling strategies for quantile-based ordinal optimization.
WSC
Dongwook Shin, Mark Broadie, Assaf Zeevi
2015 J jnl
Risk Estimation via Regression.
Oper. Res.
Mark Broadie, Yiping Du, Ciamac C. Moallemi
2014 J jnl
Multidimensional stochastic approximation: Adaptive algorithms and applications.
ACM Trans. Model. Comput. Simul.
Mark Broadie, Deniz M. Cicek, Assaf Zeevi
2012 J jnl
Assessing Golfer Performance on the PGA TOUR.
Interfaces
Mark Broadie
2011 J jnl
Efficient Risk Estimation via Nested Sequential Simulation.
Manag. Sci.
Mark Broadie, Yiping Du, Ciamac Cyrus Moallemi
2011 J jnl
General Bounds and Finite-Time Improvement for the Kiefer-Wolfowitz Stochastic Approximation Algorithm.
Oper. Res.
Mark Broadie, Deniz M. Cicek, Assaf Zeevi
2011 Misc conf
Risk estimation via weighted regression.
WSC
Mark Broadie, Yiping Du, Ciamac Cyrus Moallemi
2009 Misc conf
A Simulation Model to Analyze the Impact of Distance and Direction on Golf Scores.
WSC
Mark Broadie, Soonmin Ko
2009 Misc conf
An Adaptive Multidimensional Version of the Kiefer-Wolfowitz Stochastic Approximation Algorithm.
WSC
Mark Broadie, Deniz M. Cicek, Assaf Zeevi
2008 Misc conf
A simulation model to analyze the impact of hole size on putting in golf.
WSC
Matulya Bansal, Mark Broadie
2007 Misc conf
Implications of heavy tails on simulation-based ordinal optimization.
WSC
Mark Broadie, Minsup Han, Assaf Zeevi
2007 Misc conf
Recent advances in simulation for security pricing (1995).
WSC
Phelim Boyle, Mark Broadie, Paul Glasserman
2006 J jnl
Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes.
Oper. Res.
Mark Broadie, Özgür Kaya
2004 J jnl
ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications.
Manag. Sci.
Mark Broadie, Jérôme Detemple
2004 Misc conf
Exact Simulation of Option Greeks under Stochastic Volatility and Jump Diffusion Models.
WSC
Mark Broadie, Özgür Kaya
2004 J jnl
Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options.
Manag. Sci.
Leif Andersen, Mark Broadie
2003 J jnl
Application of the Fast Gauss Transform to Option Pricing.
Manag. Sci.
Mark Broadie, Yusaku Yamamoto
1999 J jnl
Connecting discrete and continuous path-dependent options.
Finance Stochastics
Mark Broadie, Paul Glasserman, Shing-Gang Kou
1995 Misc conf
A Pruned and Bootstrapped American Option Simulator.
WSC
Mark Broadie, Paul Glasserman
1995 Misc conf
Recent Advances in Simulation for Security Pricing.
WSC
Phelim Boyle, Mark Broadie, Paul Glasserman
1993 J jnl
Computing efficient frontiers using estimated parameters.
Ann. Oper. Res.
Mark Broadie
1987 J jnl
A variable rate refining triangulation.
Math. Program.
Mark Broadie, B. Curtis Eaves
1984 J jnl
A note on triangulating the 5-cube.
Discret. Math.
Mark Broadie, Richard W. Cottle