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Mark Broadie - Publications

Affiliations: 
Industrial Engineering Columbia University, New York, NY 
Area:
General Engineering, Operations Research
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38 high-probability publications. We are testing a new system for linking publications to authors. You can help! If you notice any inaccuracies, please sign in and mark papers as correct or incorrect matches. If you identify any major omissions or other inaccuracies in the publication list, please let us know.

Year Citation  Score
2017 Broadie M, Shen W. Numerical solutions to dynamic portfolio problems with upper bounds Computational Management Science. 14: 215-227. DOI: 10.1007/S10287-016-0270-5  0.347
2016 Broadie M, Shen W. HIGH-DIMENSIONAL PORTFOLIO OPTIMIZATION with TRANSACTION COSTS International Journal of Theoretical and Applied Finance. 19. DOI: 10.1142/S0219024916500254  0.405
2015 Broadie M, Du Y, Moallemi CC. Risk estimation via regression Operations Research. 63: 1077-1097. DOI: 10.1287/Opre.2015.1419  0.337
2014 Broadie M, Cicek DM, Zeevi A. Multidimensional stochastic approximation: Adaptive algorithms and applications Acm Transactions On Modeling and Computer Simulation. 24: 6. DOI: 10.1145/2553085  0.375
2012 Asvanunt A, Broadie M, Sundaresan S. Managing corporate liquidity: Strategies and pricing implications Finance At Fields. 37-74. DOI: 10.1142/S0219024911006589  0.647
2012 Broadie M, Derman E, Glasserman P, Kou S. Financial engineering at Columbia University Quantitative Finance. 12: 11-14. DOI: 10.1080/14697688.2011.635002  0.32
2011 Broadie M, Du Y, Moallemi CC. Efficient risk estimation via nested sequential simulation Management Science. 57: 1172-1194. DOI: 10.1287/Mnsc.1110.1330  0.316
2011 Asvanunt A, Broadie M, Sundaresan S. Managing corporate liquidity: Strategies and pricing implications International Journal of Theoretical and Applied Finance. 14: 369-406. DOI: 10.1142/S0219024911006589  0.64
2009 Broadie M, Chernov M, Johannes MS. Understanding Index Option Returns Review of Financial Studies. 22: 4493-4529. DOI: 10.2139/Ssrn.965739  0.441
2009 Broadie M, Chernov M, Johannes M. Understanding index option returns Review of Financial Studies. 22: 4493-4529. DOI: 10.1093/rfs/hhp032  0.373
2008 Broadie MN, Jain A. Pricing and hedging volatility derivatives Journal of Derivatives. 15: 7-24. DOI: 10.3905/Jod.2008.702503  0.612
2008 Broadie M, Jain A. The effect of jumps and discrete sampling on volatility and variance swaps International Journal of Theoretical and Applied Finance. 11: 761-797. DOI: 10.1142/S0219024908005032  0.554
2008 Broadie M, Cao M. Improved lower and upper bound algorithms for pricing American options by simulation Quantitative Finance. 8: 845-861. DOI: 10.1080/14697680701763086  0.365
2007 Broadie M, Chernov M, Sundaresan SM. Optimal Debt and Equity Values in the Presence of Chapter 7 and Chapter 11 Journal of Finance. 62: 1341-1377. DOI: 10.2139/Ssrn.661441  0.429
2007 Broadie M, Chernov M, Johannes M. Model Specification and Risk Premia: Evidence from Futures Options Journal of Finance. 62: 1453-1490. DOI: 10.2139/Ssrn.504642  0.415
2007 Broadie M, Chernov M, Johannes M. Model specification and risk premia: Evidence from futures options Journal of Finance. 62: 1453-1490. DOI: 10.1111/j.1540-6261.2007.01241.x  0.315
2007 Broadie M, Chernov M, Sundaresan S. Optimal debt and equity values in the presence of chapter 7 and chapter 11 Journal of Finance. 62: 1341-1377. DOI: 10.1111/j.1540-6261.2007.01238.x  0.333
2007 Broadie M, Kaya O. A binomial lattice method for pricing corporate debt and modeling chapter 11 proceedings Journal of Financial and Quantitative Analysis. 42: 279-312. DOI: 10.1017/S0022109000003288  0.632
2006 Broadie M, Kaya O. Exact simulation of stochastic volatility and other affine jump diffusion processes Operations Research. 54: 217-231. DOI: 10.1287/Opre.1050.0247  0.602
2005 Broadie M, Yamamoto Y. A double-exponential fast Gauss transform algorithm for pricing discrete path-dependent options Operations Research. 53: 764-779. DOI: 10.1287/Opre.1050.0219  0.366
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  0.454
2004 Broadie M, Detemple JB. Option pricing: Valuation models and applications Management Science. 50: 1145-1177. DOI: 10.1287/Mnsc.1040.0275  0.422
2004 Andersen L, Broadie M. Primal-dual simulation algorithm for pricing multidimensional American options Management Science. 50: 1222-1234. DOI: 10.1287/Mnsc.1040.0258  0.39
2004 Broadie M, Kaya Ö. Exact simulation of option Greeks under stochastic volatility and jump diffusion models Proceedings - Winter Simulation Conference. 2: 1607-1615.  0.587
2003 Broadie M, Yamamoto Y. Application of the fast Gauss transform to option pricing Management Science. 49: 1071-1088. DOI: 10.1287/Mnsc.49.8.1071.16405  0.34
2000 Broadie M, Detemple J, Ghysels E, Torrés O. American options with stochastic dividends and volatility: A nonparametric investigation Journal of Econometrics. 94: 53-92. DOI: 10.1016/S0304-4076(99)00017-2  0.477
2000 Broadie M, Detemple J, Ghysels E, Torrès O. Nonparametric estimation of American options' exercise boundaries and call prices Journal of Economic Dynamics and Control. 24: 1829-1857. DOI: 10.1016/S0165-1889(99)00094-9  0.422
1999 Broadie M, Glasserman P, Kou S. Connecting discrete and continuous path-dependent options Finance and Stochastics. 3: 55-82. DOI: 10.1007/S007800050052  0.459
1998 Broadie M, Cvitanić J, Soner HM. Optimal Replication of Contingent Claims under Portfolio Constraints Review of Financial Studies. 11: 59-79. DOI: 10.1093/Rfs/11.1.59  0.403
1997 Broadie M, Glasserman P, Jain G. Enhanced Monte Carlo Estimates for American Option Prices Journal of Derivatives. 5: 25-44. DOI: 10.3905/Jod.1997.407983  0.398
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  0.451
1997 Broadie M, Detemple J. The valuation of American options on multiple assets Mathematical Finance. 7: 241-286. DOI: 10.1111/1467-9965.00032  0.382
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  0.397
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  0.382
1996 Broadie M, Glasserman P. Estimating security price derivatives using simulation Management Science. 42: 269-285. DOI: 10.1287/Mnsc.42.2.269  0.394
1996 Broadie M, Detemple J. American option valuation: New bounds, approximations, and a comparison of existing methods Review of Financial Studies. 9: 1211-1250. DOI: 10.1093/Rfs/9.4.1211  0.401
1995 Broadie M, Detemple JB. American Capped Call Options on Dividend-Paying Assets Review of Financial Studies. 8: 161-191. DOI: 10.1093/Rfs/8.1.161  0.349
1993 Broadie M, Joneja D. An Application of Markov Chain Analysis to the Game of Squash Decision Sciences. 24: 1023-1035. DOI: 10.1111/J.1540-5915.1993.Tb00501.X  0.34
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