| Year |
Citation |
Score |
| 2020 |
Capponi A, Glasserman P, Weber MH. Swing Pricing for Mutual Funds: Breaking the Feedback Loop between Fire Sales and Fund Redemptions Management Science. 66: 3581-3602. DOI: 10.1287/Mnsc.2019.3353 |
0.375 |
|
| 2020 |
Glasserman P, He P. Buy rough, sell smooth Quantitative Finance. 20: 363-378. DOI: 10.1080/14697688.2019.1675899 |
0.403 |
|
| 2019 |
Glasserman P, Mamaysky H. Does Unusual News Forecast Market Stress Journal of Financial and Quantitative Analysis. 54: 1937-1974. DOI: 10.2139/Ssrn.2632699 |
0.345 |
|
| 2019 |
Neuberg R, Glasserman P. Estimating a Covariance Matrix for Market Risk Management and the Case of Credit Default Swaps Quantitative Finance. 19: 77-92. DOI: 10.1080/14697688.2018.1494850 |
0.355 |
|
| 2018 |
Glasserman P, Yang L. Bounding Wrong-Way Risk in CVA Calculation Mathematical Finance. 28: 268-305. DOI: 10.2139/Ssrn.2607649 |
0.481 |
|
| 2018 |
Glasserman P, Wu Q. Persistence and Procyclicality in Margin Requirements Management Science. 64: 5705-5724. DOI: 10.1287/Mnsc.2017.2915 |
0.401 |
|
| 2017 |
Chen N, Glasserman P, Nouri B, Pelger M. Contingent Capital, Tail Risk, and Debt-Induced Collapse Review of Financial Studies. 30: 3921-3969. DOI: 10.2139/Ssrn.2361304 |
0.715 |
|
| 2017 |
Ghamami S, Glasserman P. Does OTC Derivatives Reform Incentivize Central Clearing Journal of Financial Intermediation. 32: 76-87. DOI: 10.1016/J.Jfi.2017.05.007 |
0.368 |
|
| 2016 |
Glasserman P, Nouri B. Market‐Triggered Changes in Capital Structure: Equilibrium Price Dynamics Econometrica. 84: 2113-2153. DOI: 10.3982/Ecta11206 |
0.724 |
|
| 2016 |
Glasserman P, Moallemi CC, Yuan K. Hidden Illiquidity with Multiple Central Counterparties Operations Research. 64: 1143-1158. DOI: 10.2139/Ssrn.2519647 |
0.39 |
|
| 2015 |
Bookstaber R, Glasserman P, Iyengar G, Luo Y, Venkatasubramanian V, Zhang Z. Process Systems Engineering as a Modeling Paradigm for Analyzing Systemic Risk in Financial Networks The Journal of Investing. 24: 147-162. DOI: 10.3905/Joi.2015.24.2.147 |
0.345 |
|
| 2015 |
Glasserman P, Young HP. How likely is contagion in financial networks? Journal of Banking and Finance. 50: 383-399. DOI: 10.2139/Ssrn.2642423 |
0.311 |
|
| 2015 |
Glasserman P, Kang C, Kang W. Stress scenario selection by empirical likelihood Quantitative Finance. 15: 25-41. DOI: 10.2139/Ssrn.2101465 |
0.406 |
|
| 2014 |
Glasserman P, Xu X. Robust risk measurement and model risk Quantitative Finance. 14: 29-58. DOI: 10.2139/Ssrn.2167765 |
0.605 |
|
| 2014 |
Glasserman P, Kang W. OR forum-Design of risk weights Operations Research. 62: 1204-1220. DOI: 10.1287/Opre.2014.1308 |
0.317 |
|
| 2013 |
Glasserman P, Xu X. Robust portfolio control with stochastic factor dynamics Operations Research. 61: 874-893. DOI: 10.2139/Ssrn.1960723 |
0.646 |
|
| 2012 |
Glasserman P. Risk horizon and rebalancing horizon in portfolio risk measurement Mathematical Finance. 22: 215-249. DOI: 10.2139/Ssrn.1396850 |
0.372 |
|
| 2012 |
Glasserman P, Nouri B. Contingent capital with a capital-ratio trigger Management Science. 58: 1816-1833. DOI: 10.1287/Mnsc.1120.1520 |
0.714 |
|
| 2012 |
Glasserman P, Suchintabandid S. Quadratic transform approximation for CDO pricing in multifactor models Siam Journal On Financial Mathematics. 3: 137-162. DOI: 10.1137/110827399 |
0.731 |
|
| 2011 |
Glasserman P, Wang Z. Valuing the treasury's capital assistance program Management Science. 57: 1195-1211. DOI: 10.1287/Mnsc.1110.1351 |
0.378 |
|
| 2011 |
Glasserman P, Wu Q. Forward and future implied volatility International Journal of Theoretical and Applied Finance. 14: 407-432. DOI: 10.1142/S0219024911006590 |
0.471 |
|
| 2011 |
Glasserman P, Kim KK. Gamma expansion of the Heston stochastic volatility model Finance and Stochastics. 15: 267-296. DOI: 10.1007/S00780-009-0115-Y |
0.441 |
|
| 2010 |
Glasserman P, Liu Z. Estimating Greeks in simulating Lévy-driven models Journal of Computational Finance. 14: 3-56. DOI: 10.21314/Jcf.2010.210 |
0.617 |
|
| 2010 |
Glasserman P, Liu Z. Sensitivity estimates from characteristic functions Operations Research. 58: 1611-1623. DOI: 10.1287/Opre.1100.0837 |
0.608 |
|
| 2010 |
Glasserman P, Kim KK. Moment explosions and stationary distributions in affine diffusion models Mathematical Finance. 20: 1-33. DOI: 10.1111/J.1467-9965.2009.00387.X |
0.442 |
|
| 2010 |
Glasserman P, Nouri B. Contingent capital with discrete conversion from debt to equity Proceedings - Winter Simulation Conference. 2732-2741. DOI: 10.1109/WSC.2010.5678968 |
0.705 |
|
| 2009 |
Glasserman P, Kim KK. Saddlepoint approximations for affine jump-diffusion models Journal of Economic Dynamics and Control. 33: 15-36. DOI: 10.1016/J.Jedc.2008.04.007 |
0.566 |
|
| 2008 |
Glasserman P, Kang W, Shahabuddin P. Fast simulation of multifactor portfolio credit risk Operations Research. 56: 1200-1217. DOI: 10.1287/Opre.1080.0558 |
0.425 |
|
| 2008 |
Chen Z, Glasserman P. Fast pricing of basket default swaps Operations Research. 56: 286-303. DOI: 10.1287/Opre.1070.0456 |
0.431 |
|
| 2008 |
Glasserman P, Juneja S. Uniformly efficient importance sampling for the tail distribution of sums of random variables Mathematics of Operations Research. 33: 36-50. DOI: 10.1287/Moor.1070.0276 |
0.384 |
|
| 2008 |
Chen Z, Glasserman P. Sensitivity estimates for portfolio credit derivatives using Monte Carlo Finance and Stochastics. 12: 507-540. DOI: 10.1007/S00780-008-0071-Y |
0.425 |
|
| 2007 |
Glasserman P, Kang W, Shahabuddin P. Large deviations in multifactor portfolio credit risk Mathematical Finance. 17: 345-379. DOI: 10.1111/J.1467-9965.2006.00307.X |
0.34 |
|
| 2007 |
Chen Z, Glasserman P. Approximations and control variates for pricing portfolio credit derivatives Proceedings - Winter Simulation Conference. 976-983. DOI: 10.1109/WSC.2007.4419694 |
0.357 |
|
| 2007 |
Glasserman P. Chapter 10 Calculating Portfolio Credit Risk Handbooks in Operations Research and Management Science. 15: 437-470. DOI: 10.1016/S0927-0507(07)15010-6 |
0.332 |
|
| 2007 |
Chen N, Glasserman P. Malliavin Greeks without Malliavin calculus Stochastic Processes and Their Applications. 117: 1689-1723. DOI: 10.1016/J.Spa.2007.03.012 |
0.415 |
|
| 2007 |
Glasserman P, Suchintabandid S. Correlation expansions for CDO pricing Journal of Banking and Finance. 31: 1375-1398. DOI: 10.1016/J.Jbankfin.2006.10.018 |
0.741 |
|
| 2007 |
Chen N, Glasserman P. Additive and multiplicative duals for American option pricing Finance and Stochastics. 11: 153-179. DOI: 10.1007/S00780-006-0031-3 |
0.408 |
|
| 2005 |
Glasserman P. Measuring Marginal Risk Contributions in Credit Portfolios Journal of Computational Finance. 9: 1-41. DOI: 10.2139/Ssrn.681227 |
0.384 |
|
| 2005 |
Glasserman P, Yu B. Large sample properties of weighted Monte Carlo estimators Operations Research. 53: 298-312. DOI: 10.1287/Opre.1040.0148 |
0.353 |
|
| 2005 |
Glasserman P, Li J. Importance sampling for portfolio credit risk Management Science. 51: 1643-1656. DOI: 10.1287/Mnsc.1050.0415 |
0.401 |
|
| 2004 |
Glasserman P. Tail Approximations for Portfolio Credit Risk Journal of Derivatives. 12: 24-42. DOI: 10.3905/Jod.2004.450966 |
0.388 |
|
| 2004 |
Broadie M, Glasserman P. A Sotchastic Mesh Method for Pricing High-Dimensional American Options Journal of Computational Finance. 7: 35-72. DOI: 10.21314/Jcf.2004.117 |
0.419 |
|
| 2004 |
Glasserman P, Yao DD. Optimal couplings are totally positive and more Journal of Applied Probability. 41: 321-332. DOI: 10.1239/Jap/1082552208 |
0.314 |
|
| 2004 |
Glasserman P, Yu B. Number of paths versus number of basis functions in American option pricing Annals of Applied Probability. 14: 2090-2119. DOI: 10.1214/105051604000000846 |
0.417 |
|
| 2004 |
Glasserman P, Merener N. Convergence of a discretization scheme for jump-diffusion processes with state-dependent intensities Proceedings of the Royal Society a: Mathematical, Physical and Engineering Sciences. 460: 111-127. DOI: 10.1098/Rspa.2003.1237 |
0.761 |
|
| 2004 |
Bolia N, Juneja S, Glasserman P. Function-approximation-based importance sampling for pricing american options Proceedings - Winter Simulation Conference. 1: 604-611. |
0.327 |
|
| 2003 |
Glasserman P, Merener N. Cap and Swaption Approximations in Libor Market Models with Jumps Journal of Computational Finance. 7: 1-36. DOI: 10.2139/Ssrn.292853 |
0.8 |
|
| 2003 |
Glasserman P, Kou SG. The term structure of simple forward rates with jump risk Mathematical Finance. 13: 383-410. DOI: 10.2139/Ssrn.223773 |
0.413 |
|
| 2003 |
Glasserman P, Staum J. Resource allocation among simulation time steps Operations Research. 51: 908-921+1003. DOI: 10.1287/Opre.51.6.908.24922 |
0.746 |
|
| 2003 |
Glasserman P, Merener N. Numerical solution of jump-diffusion LIBOR market models Finance and Stochastics. 7: 1-27. DOI: 10.1007/S007800200076 |
0.799 |
|
| 2003 |
Glasserman P, Li J. Importance sampling for a mixed poisson model of portfolio credit risk Winter Simulation Conference Proceedings. 1: 267-275. |
0.322 |
|
| 2002 |
Glasserman P, Heidelberger P, Shahabuddin P. Portfolio Value‐at‐Risk with Heavy‐Tailed Risk Factors Mathematical Finance. 12: 239-269. DOI: 10.1111/1467-9965.00141 |
0.431 |
|
| 2002 |
Glasserman P, Heidelberger P, Shahabuddin P. Portfolio value-at-risk with heavy-tailed risk factors Mathematical Finance. 12: 239-269. |
0.316 |
|
| 2001 |
Glasserman P, Staum J. Conditioning on one-step survival for barrier option simulations Operations Research. 49: 923-937. DOI: 10.1287/Opre.49.6.923.10018 |
0.751 |
|
| 2001 |
Jin Y, Glasserman P. Equilibrium positive interest rates: A unified view Review of Financial Studies. 14: 187-214. DOI: 10.1093/Rfs/14.1.187 |
0.452 |
|
| 2000 |
Glasserman P. Introduction to the Special Issue on Stochastic Models and Simulation Management Science. 46: 1-1. DOI: 10.1287/Mnsc.46.9.0.12237 |
0.386 |
|
| 2000 |
Glasserman P, Heidelberger P, Shahabuddin P. Variance reduction techniques for estimating value-at-risk Management Science. 46: 1349-1364. DOI: 10.1287/Mnsc.46.10.1349.12274 |
0.377 |
|
| 2000 |
Glasserman P, Wang H. Discretization of deflated bond prices Advances in Applied Probability. 32: 540-563. DOI: 10.1239/Aap/1013540178 |
0.484 |
|
| 2000 |
Glasserman P, Zhao X. Arbitrage-Free Discretization Of Lognormal Forward Libor And Swap Rate Models Finance and Stochastics. 4: 35-68. DOI: 10.1007/S007800050002 |
0.476 |
|
| 1999 |
Glasserman P, Heidelberger P, Shahabuddin P. Importance Sampling in the Heath-Jarrow-Morton Framework Journal of Derivatives. 7: 32-50. DOI: 10.3905/Jod.1999.319109 |
0.371 |
|
| 1999 |
Glasserman P, Zhao X. Fast greeks by simulation in forward LIBOR models Journal of Computational Finance. 3: 5-39. DOI: 10.21314/Jcf.1999.037 |
0.46 |
|
| 1999 |
Glasserman P, Heidelberger P, Shahabuddin P, Zajic T. Multilevel splitting for estimating rare event probabilities Operations Research. 47: 585-600. DOI: 10.1287/Opre.47.4.585 |
0.41 |
|
| 1999 |
Glasserman P, Heidelberger P, Shahabuddin P. Asymptotically optimal importance sampling and stratification for pricing path-dependent options Mathematical Finance. 9: 117-152. DOI: 10.1111/1467-9965.00065 |
0.404 |
|
| 1999 |
Broadie M, Glasserman P, Kou S. Connecting discrete and continuous path-dependent options Finance and Stochastics. 3: 55-82. DOI: 10.1007/S007800050052 |
0.463 |
|
| 1998 |
Glasserman P, Wang Y. Leadtime-inventory trade-offs in assemble-to-order systems Operations Research. 46: 858-871. DOI: 10.1287/Opre.46.6.858 |
0.351 |
|
| 1998 |
Glasserman P, Heidelberger P, Shahabuddin P, Zajic T. A large deviations perspective on the efficiency of multilevel splitting Ieee Transactions On Automatic Control. 43: 1666-1679. DOI: 10.1109/9.736061 |
0.41 |
|
| 1997 |
Glasserman P. Bounds and asymptotics for planning critical safety stocks Operations Research. 45: 244-257. DOI: 10.1287/Opre.45.2.244 |
0.302 |
|
| 1997 |
Glasserman P, Liu TW. Corrected diffusion approximations for a multistage production-inventory system Mathematics of Operations Research. 22: 186-201. DOI: 10.1287/Moor.22.1.186 |
0.366 |
|
| 1997 |
Glasserman P, Wang Y. Counterexamples in importance sampling for large deviations probabilities Annals of Applied Probability. 7: 731-746. DOI: 10.1214/Aoap/1034801251 |
0.366 |
|
| 1997 |
Broadie M, Glasserman P, Steven K. A continuity correction for discrete barrier options Mathematical Finance. 7: 325-349. DOI: 10.1111/1467-9965.00035 |
0.444 |
|
| 1997 |
Broadie M, Glasserman P. Pricing American-style securities using simulation Journal of Economic Dynamics and Control. 21: 1323-1352. DOI: 10.1016/S0165-1889(97)00029-8 |
0.392 |
|
| 1997 |
Boyle P, Broadie M, Glasserman P. Monte Carlo methods for security pricing Journal of Economic Dynamics and Control. 21: 1267-1321. DOI: 10.1016/S0165-1889(97)00028-6 |
0.414 |
|
| 1996 |
Glasserman P. Allocating production capacity among multiple products Operations Research. 44: 724-734. DOI: 10.1287/Opre.44.5.724 |
0.329 |
|
| 1996 |
Glasserman P, Liu TW. Rare-event simulation for multistage production-inventory systems Management Science. 42: 1292-1307. DOI: 10.1287/Mnsc.42.9.1292 |
0.378 |
|
| 1996 |
Broadie M, Glasserman P. Estimating security price derivatives using simulation Management Science. 42: 269-285. DOI: 10.1287/Mnsc.42.2.269 |
0.44 |
|
| 1996 |
Glasserman P, Yao DD. Structured buffer-allocation problems Discrete Event Dynamic Systems: Theory and Applications. 6: 9-41. DOI: 10.1007/Bf01796782 |
0.359 |
|
| 1996 |
Glasserman P, Tayur S. A simple approximation for a multistage capacitated production-inventory system Naval Research Logistics. 43: 41-58. DOI: 10.1002/(Sici)1520-6750(199602)43:1<41::Aid-Nav3>3.0.Co;2-N |
0.349 |
|
| 1995 |
Glasserman P, Tayur S. Sensitivity Analysis for Base-Stock Levels in Multiechelon Production-Inventory Systems Management Science. 41: 263-281. DOI: 10.1287/Mnsc.41.2.263 |
0.409 |
|
| 1995 |
Glasserman P, Kou S. Limits of First Passage Times to Rare Sets in Regenerative Processes Annals of Applied Probability. 5: 424-445. DOI: 10.1214/Aoap/1177004772 |
0.339 |
|
| 1995 |
Glasserman P, Kou S. Analysis of an importance sampling estimator for tandem queues Acm Transactions On Modeling and Computer Simulation. 5: 22-42. DOI: 10.1145/203091.203093 |
0.335 |
|
| 1995 |
Glasserman P, Yao DD. Subadditivity and Stability of a Class of Discrete-Event Systems Ieee Transactions On Automatic Control. 40: 1514-1527. DOI: 10.1109/9.412623 |
0.361 |
|
| 1995 |
Glasserman P. Hedging-Point Production Control with Multiple Failure Modes Ieee Transactions On Automatic Control. 40: 707-712. DOI: 10.1109/9.376104 |
0.314 |
|
| 1994 |
Glasserman P, Tayur S. The Stability of a Capacitated, Multi-Echelon Production-Inventory System Under a Base-Stock Policy Operations Research. 42: 913-925. DOI: 10.1287/Opre.42.5.913 |
0.343 |
|
| 1994 |
Glasserman P, Yao DD. Monotone optimal control of permutable GSMPs Mathematics of Operations Research. 19: 449-476. DOI: 10.1287/Moor.19.2.449 |
0.351 |
|
| 1994 |
Glasserman P, Vakili P. Comparing Markov Chains Simulated in Parallel Probability in the Engineering and Informational Sciences. 8: 309-326. DOI: 10.1017/S0269964800003430 |
0.329 |
|
| 1993 |
Glasserman P. Regenerative derivatives of regenerative sequences Advances in Applied Probability. 25: 116-139. DOI: 10.2307/1427499 |
0.317 |
|
| 1993 |
Glasserman P. Stochastic Monotonicity And Conditional Monte Carlo For Likelihood Ratios Advances in Applied Probability. 25: 103-115. DOI: 10.2307/1427498 |
0.404 |
|
| 1993 |
Glasserman P. Filtered Monte Carlo Mathematics of Operations Research. 18: 610-634. DOI: 10.1287/Moor.18.3.610 |
0.364 |
|
| 1992 |
Glasserman P. Processes with associated increments Journal of Applied Probability. 29: 313-333. DOI: 10.2307/3214569 |
0.332 |
|
| 1992 |
Glasserman P. Derivative Estimates from Simulation of Continuous-Time Markov Chains Operations Research. 40: 292-308. DOI: 10.1287/Opre.40.2.292 |
0.384 |
|
| 1992 |
Glasserman P, Yao DD. Generalized Semi-Markov Processes: Antimatroid Structure and Second-Order Properties Mathematics of Operations Research. 17: 444-469. DOI: 10.1287/Moor.17.2.444 |
0.336 |
|
| 1992 |
Glasserman P, Yao DD. Monotonicity in Generalized Semi-Markov Processes Mathematics of Operations Research. 17: 1-21. DOI: 10.1287/Moor.17.1.1 |
0.333 |
|
| 1992 |
Glasserman P, Yao DD. Some Guidelines and Guarantees for Common Random Numbers Management Science. 38: 884-908. DOI: 10.1287/Mnsc.38.6.884 |
0.395 |
|
| 1992 |
Glasserman P. Smoothing complements and randomized score functions Annals of Operations Research. 39: 41-67. DOI: 10.1007/Bf02060935 |
0.358 |
|
| 1992 |
Glasserman P. Stationary waiting time derivatives Queueing Systems. 12: 369-389. DOI: 10.1007/Bf01158809 |
0.373 |
|
| 1991 |
Glasserman P. Structural Conditions for Perturbation Analysis Derivative Estimation: Finite-Time Performance Indices Operations Research. 39: 724-738. DOI: 10.1287/Opre.39.5.724 |
0.402 |
|
| 1991 |
Glasserman P. Structural conditions for perturbation analysis of queuing systems Journal of the Acm. 38: 1005-1025. DOI: 10.1145/115234.115348 |
0.376 |
|
| 1991 |
Glasserman P, Hu J, Strickland SG. Strongly Consistent Steady-State Derivative Estimates Probability in the Engineering and Informational Sciences. 5: 391-413. DOI: 10.1017/S0269964800002199 |
0.389 |
|
| 1991 |
Glasserman P, Yao DD. Algebraic structure of some stochastic discrete event systems, with applications Discrete Event Dynamic Systems: Theory and Applications. 1: 7-35. DOI: 10.1007/Bf01797141 |
0.418 |
|
| 1990 |
Glasserman P, Gong WB. Smoothed Perturbation Analysis for a Class of Discrete-Event Systems Ieee Transactions On Automatic Control. 35: 1218-1230. DOI: 10.1109/9.59807 |
0.402 |
|
| 1990 |
Glasserman P. The limiting value of derivative estimators based on perturbation analysis Communications in Statistics. Stochastic Models. 6: 229-257. DOI: 10.1080/15326349908807146 |
0.377 |
|
| 1990 |
Glasserman P. Discrete-time 'inversion' and derivative estimation for Markov chains Operations Research Letters. 9: 305-313. DOI: 10.1016/0167-6377(90)90024-Y |
0.366 |
|
| 1989 |
Glasserman P, Ho YC. Aggregation approximations for sensitivity analysis of multi-class queueing networks Performance Evaluation. 10: 295-308. DOI: 10.1016/0166-5316(89)90019-9 |
0.57 |
|
| 1988 |
Glasserman P. Infinitesimal perturbation analysis of a birth and death process Operations Research Letters. 7: 43-49. DOI: 10.1016/0167-6377(88)90051-X |
0.302 |
|
| 1987 |
Glasserman P. Sensitivity of sample values not generated by inversion Journal of Optimization Theory and Applications. 52: 487-493. DOI: 10.1007/Bf00938218 |
0.363 |
|
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