Mark Broadie

Affiliations: 
Industrial Engineering Columbia University, New York, NY 
Area:
General Engineering, Operations Research
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"Mark Broadie"

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Milena Todorova grad student 2004 Columbia
Ozgur Kaya grad student 2005 Columbia
Attakrit Asvanunt grad student 2007 Columbia
Ashish Jain grad student 2007 Columbia
Zhidong Wang grad student 2008 Columbia
Soonmin Ko grad student 2012 Columbia
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Publications

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Asvanunt A, Broadie M, Sundaresan S. (2012) Managing corporate liquidity: Strategies and pricing implications Finance At Fields. 37-74
Asvanunt A, Broadie M, Sundaresan S. (2011) Managing corporate liquidity: Strategies and pricing implications International Journal of Theoretical and Applied Finance. 14: 369-406
Broadie M, Ko S. (2009) A simulation model to analyze the impact of distance and direction on golf scores Proceedings - Winter Simulation Conference. 3109-3120
Broadie M, Jain A. (2008) The effect of jumps and discrete sampling on volatility and variance swaps International Journal of Theoretical and Applied Finance. 11: 761-797
Broadie MN, Jain A. (2008) Pricing and hedging volatility derivatives Journal of Derivatives. 15: 7-24
Broadie M, Kaya O. (2007) A binomial lattice method for pricing corporate debt and modeling chapter 11 proceedings Journal of Financial and Quantitative Analysis. 42: 279-312
Broadie M, Kaya O. (2006) Exact simulation of stochastic volatility and other affine jump diffusion processes Operations Research. 54: 217-231
Broadie M, Kaya Ö. (2004) Exact simulation of option Greeks under stochastic volatility and jump diffusion models Proceedings - Winter Simulation Conference. 2: 1607-1615
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