Paul Glasserman

82 papers A* 1Misc 20Journal 59Unranked 2
YearRankTypeTitle / Venue / Authors
2026 A* conf
Do Large Language Models (LLMs) Understand Chronology? (Student Abstract).
AAAI
Pattaraphon Kenny Wongchamcharoen, Paul Glasserman
2026 J jnl
Privacy Profiles Under Tradeoff Composition.
Trans. Mach. Learn. Res.
Paul Glasserman
2025 J jnl
Do Large Language Models (LLMs) Understand Chronology?
CoRR
Pattaraphon Kenny Wongchamcharoen, Paul Glasserman
2025 J jnl
Does Overnight News Explain Overnight Returns?
CoRR
Paul Glasserman, Kriste Krstovski, Paul Laliberte, Harry Mamaysky
2025 J jnl
Linear Classifiers Under Infinite Imbalance.
Oper. Res.
Paul Glasserman, Mike Li
2025 J jnl
Stress Testing Spillover Risk in Mutual Funds.
Manag. Sci.
Agostino Capponi, Paul Glasserman, Marko H. Weber
2023 J jnl
Assessing Look-Ahead Bias in Stock Return Predictions Generated By GPT Sentiment Analysis.
CoRR
Paul Glasserman, Caden Lin
2023 J jnl
Maximum Entropy Distributions with Applications to Graph Simulation.
Oper. Res.
Paul Glasserman, Enrique Lelo de Larrea
2022 J jnl
Collateralized Networks.
Manag. Sci.
Samim Ghamami, Paul Glasserman, H. Peyton Young
2022 J jnl
Should Bank Stress Tests Be Fair?
CoRR
Paul Glasserman, Mike Li
2021 J jnl
Linear Classifiers Under Infinite Imbalance.
CoRR
Paul Glasserman, Mike Li
2020 J jnl
Choosing News Topics to Explain Stock Market Returns.
CoRR
Paul Glasserman, Kriste Krstovski, Paul Laliberte, Harry Mamaysky
2020 — conf
Choosing news topics to explain stock market returns.
ICAIF
Paul Glasserman, Kriste Krstovski, Paul Laliberte, Harry Mamaysky
2020 J jnl
Swing Pricing for Mutual Funds: Breaking the Feedback Loop Between Fire Sales and Fund Redemptions.
Manag. Sci.
Agostino Capponi, Paul Glasserman, Marko H. Weber
2019 J jnl
Submodular Risk Allocation.
Manag. Sci.
Samim Ghamami, Paul Glasserman
2018 J jnl
Persistence and Procyclicality in Margin Requirements.
Manag. Sci.
Paul Glasserman, Qi Wu
2018 Misc conf
Simulation of bipartite or Directed graphs with prescribed degree sequences using Maximum Entropy Probabilities.
WSC
Paul Glasserman, Enrique Lelo de Larrea
2016 J jnl
Hidden Illiquidity with Multiple Central Counterparties.
Oper. Res.
Paul Glasserman, Ciamac C. Moallemi, Kai Yuan
2016 J jnl
Preface to the Special Issue on Systemic Risk: Models and Mechanisms.
Oper. Res.
Rama Cont, Darrell Duffie, Paul Glasserman, Chris Rogers, Fernando Vega-Redondo
2014 J jnl
OR Forum - Design of Risk Weights.
Oper. Res.
Paul Glasserman, Wanmo Kang
2013 J jnl
Robust Portfolio Control with Stochastic Factor Dynamics.
Oper. Res.
Paul Glasserman, Xingbo Xu
2012 J jnl
Contingent Capital with a Capital-Ratio Trigger.
Manag. Sci.
Paul Glasserman, Behzad Nouri
2012 J jnl
Quadratic Transform Approximation for CDO Pricing in Multifactor Models.
SIAM J. Financial Math.
Paul Glasserman, Sira Suchintabandid
2011 J jnl
Gamma expansion of the Heston stochastic volatility model.
Finance Stochastics
Paul Glasserman, Kyoung-Kuk Kim
2011 J jnl
Valuing the Treasury's Capital Assistance Program.
Manag. Sci.
Paul Glasserman, Zhenyu Wang
2010 Misc conf
Contingent capital with discrete conversion from debt to equity.
WSC
Paul Glasserman, Behzad Nouri
2010 Misc conf
Importance sampling for tail risk in discretely rebalanced portfolios.
WSC
Paul Glasserman, Xingbo Xu
2010 J jnl
Sensitivity Estimates from Characteristic Functions.
Oper. Res.
Paul Glasserman, Zongjian Liu
2008 Misc conf
Beta approximations for bridge sampling.
WSC
Paul Glasserman, Kyoung-Kuk Kim
2008 J jnl
Fast Pricing of Basket Default Swaps.
Oper. Res.
Zhiyong Chen, Paul Glasserman
2008 J jnl
Fast Simulation of Multifactor Portfolio Credit Risk.
Oper. Res.
Paul Glasserman, Wanmo Kang, Perwez Shahabuddin
2008 J jnl
Sensitivity estimates for portfolio credit derivatives using Monte Carlo.
Finance Stochastics
Zhiyong Chen, Paul Glasserman
2008 J jnl
Uniformly Efficient Importance Sampling for the Tail Distribution of Sums of Random Variables.
Math. Oper. Res.
Paul Glasserman, Sandeep Juneja
2007 J jnl
Additive and multiplicative duals for American option pricing.
Finance Stochastics
Nan Chen, Paul Glasserman
2007 Misc conf
Approximations and control variates for pricing portfolio credit derivatives.
WSC
Zhiyong Chen, Paul Glasserman
2007 J jnl
Perwez Shahabuddin, 1962-2005: A professional appreciation.
ACM Trans. Model. Comput. Simul.
Sigrún Andradóttir, Paul Glasserman, Peter W. Glynn, Philip Heidelberger, Sandeep Juneja
2007 Misc conf
Recent advances in simulation for security pricing (1995).
WSC
Phelim Boyle, Mark Broadie, Paul Glasserman
2007 Misc conf
Sensitivity estimates from characteristic functions.
WSC
Paul Glasserman, Zongjian Liu
2005 J jnl
Importance Sampling for Portfolio Credit Risk.
Manag. Sci.
Paul Glasserman, Jingyi Li
2005 J jnl
Large Sample Properties of Weighted Monte Carlo Estimators.
Oper. Res.
Paul Glasserman, Bin Yu
2004 Misc conf
Function-Approximation-Based Importance Sampling for Pricing American Options.
WSC
Nomesh Bolia, Sandeep Juneja, Paul Glasserman
2003 Misc conf
New simulation methodology for risk analysis: importance sampling for a mixed Poisson model of portfolio credit risk.
WSC
Paul Glasserman, Jingyi Li
2003 J jnl
Numerical solution of jump-diffusion LIBOR market models.
Finance Stochastics
Paul Glasserman, Nicolas Merener
2003 J jnl
Resource Allocation Among Simulation Time Steps.
Oper. Res.
Paul Glasserman, Jeremy Staum
2001 J jnl
Conditioning on One-Step Survival for Barrier Option Simulations.
Oper. Res.
Paul Glasserman, Jeremy Staum
2001 Misc conf
Simulation in financial engineering: stopping simulated paths early.
WSC
Paul Glasserman, Jeremy Staum
2000 J jnl
Arbitrage-free discretization of lognormal forward Libor and swap rate models.
Finance Stochastics
Paul Glasserman, Xiaoliang Zhao
2000 — conf
Value-at-risk with heavy-tailed risk factors.
CIFEr
Paul Glasserman, Philip Heidelberger, Perwez Shahabuddin
2000 Misc conf
Variance reduction techniques for value-at-risk with heavy-tailed risk factors.
WSC
Paul Glasserman, Philip Heidelberger, Perwez Shahabuddin
1999 J jnl
Connecting discrete and continuous path-dependent options.
Finance Stochastics
Mark Broadie, Paul Glasserman, Shing-Gang Kou
1999 J jnl
Fill-Rate Bottlenecks in Production-Inventory Networks.
Manuf. Serv. Oper. Manag.
Paul Glasserman, Yashan Wang
1999 J jnl
Multilevel Splitting for Estimating Rare Event Probabilities.
Oper. Res.
Paul Glasserman, Philip Heidelberger, Perwez Shahabuddin, Tim Zajic
1999 Misc conf
Stratification issues in estimating value-at-risk.
WSC
Paul Glasserman, Philip Heidelberger, Perwez Shahabuddin
1998 J jnl
A large deviations perspective on the efficiency of multilevel splitting.
IEEE Trans. Autom. Control.
Paul Glasserman, Philip Heidelberger, Perwez Shahabuddin, Tim Zajic
1998 Misc conf
Gaussian Importance Sampling and Stratification: Computational Issues.
WSC
Paul Glasserman, Philip Heidelberger, Perwez Shahabuddin
1998 J jnl
Leadtime-Inventory Trade-Offs in Assemble-to-Order Systems.
Oper. Res.
Paul Glasserman, Yashan Wang
1997 J jnl
Bounds and Asymptotics for Planning Critical Safety Stocks.
Oper. Res.
Paul Glasserman
1997 J jnl
Corrected Diffusion Approximations for a Multistage Production-Inventory System.
Math. Oper. Res.
Paul Glasserman, Tai-Wen Liu
1996 J jnl
Allocating Production Capacity Among Multiple Products.
Oper. Res.
Paul Glasserman
1996 Misc conf
Splitting for Rare Event Simulation: Analysis of Simple Cases.
WSC
Paul Glasserman, Philip Heidelberger, Perwez Shahabuddin, Tim Zajic
1996 J jnl
Structured buffer-allocation problems.
Discret. Event Dyn. Syst.
Paul Glasserman, David D. Yao
1995 Misc conf
A Pruned and Bootstrapped American Option Simulator.
WSC
Mark Broadie, Paul Glasserman
1995 J jnl
Analysis of an Importance Sampling Estimator for Tandem Queues.
ACM Trans. Model. Comput. Simul.
Paul Glasserman, Shing-Gang Kou
1995 J jnl
Hedging-point production control with multiple failure modes.
IEEE Trans. Autom. Control.
Paul Glasserman
1995 Misc conf
Recent Advances in Simulation for Security Pricing.
WSC
Phelim Boyle, Mark Broadie, Paul Glasserman
1995 J jnl
Subadditivity and stability of a class of discrete-event systems.
IEEE Trans. Autom. Control.
Paul Glasserman, David D. Yao
1994 J jnl
Monotone Optimal Control of Permutable GSMPs.
Math. Oper. Res.
Paul Glasserman, David D. Yao
1994 J jnl
The Stability of a Capacitated, Multi-Echelon Production-Inventory System Under a Base-Stock Policy.
Oper. Res.
Paul Glasserman, Sridhar R. Tayur
1993 J jnl
Filtered Monte Carlo.
Math. Oper. Res.
Paul Glasserman
1992 Misc conf
Correlation of Markov Chains Simulated in Parallel.
WSC
Paul Glasserman, Pirooz Vakili
1992 J jnl
Derivative Estimates from Simulation of Continuous-Time Markov Chains.
Oper. Res.
Paul Glasserman
1992 J jnl
Generalized Semi-Markov Processes: Antimatroid Structure and Second-Order Properties.
Math. Oper. Res.
Paul Glasserman, David D. Yao
1992 Misc conf
Gradient estimation for regenerative processes.
WSC
Paul Glasserman, Peter W. Glynn
1992 J jnl
Monotonicity in Generalized Semi-Markov Processes.
Math. Oper. Res.
Paul Glasserman, David D. Yao
1992 J jnl
Smoothing complements and randomized score functions.
Ann. Oper. Res.
Paul Glasserman
1992 J jnl
Stationary waiting time derivatives.
Queueing Syst. Theory Appl.
Paul Glasserman
1991 J jnl
Algebraic structure of some stochastic discrete event systems, with applications.
Discret. Event Dyn. Syst.
Paul Glasserman, David D. Yao
1991 J jnl
Structural Conditions for Perturbation Analysis Derivative Estimation: Finite-Time Performance Indices.
Oper. Res.
Paul Glasserman
1991 J jnl
Structural Conditions for Perturbation Analysis of Queuing Systems.
J. ACM
Paul Glasserman
1989 J jnl
Aggregation Approximations for Sensitivity Analysis of Multi-Class Queueing Networks.
Perform. Evaluation
Paul Glasserman, Yu-Chi Ho
1989 Misc conf
Derivative estimates from discontinuous realizations: smoothing techniques.
WSC
Paul Glasserman, Wei-Bo Gong
1988 Misc conf
Performance continuity and differentiability in Monte Carlo optimization.
WSC
Paul Glasserman