Edit Profile (opens in new tab) Glasserman, Paul Compute Distance To: Compute Author ID: glasserman.paul Published as: Glasserman, Paul; Glasserman, P. External Links: MGP · Wikidata · GND · IdRef · theses.fr Documents Indexed: 95 Publications since 1987, including 3 Books 3 Contributions as Editor Co-Authors: 44 Co-Authors with 74 Joint Publications 965 Co-Co-Authors all top 5 Co-Authors 21 single-authored 11 Yao, David D. W. 9 Broadie, Mark N. 8 Shahabuddin, Perwez 7 Heidelberger, Philip 4 Kang, Wanmo 4 Kim, Kyoung-Kuk 4 Kou, Shing-Gang 3 Tayur, Sridhar R. 3 Xu, Xingbo 3 Zajic, Tim 2 Boyle, Phelim P. 2 Chen, Nan 2 Chen, Zhiyong 2 Gong, Weibo 2 Juneja, Sandeep 2 Kou, Steven 2 Liu, Tai-Wen 2 Merener, Nicolas 2 Staum, Jeremy 2 Wang, Yashan 1 Acworth, Peter 1 Andradóttir, Sigrún 1 Cont, Rama 1 Duffie, James Darrell 1 Fox, Bennett Louis 1 Glynn, Peter W. 1 Ha, Zachary N. C. 1 He, Pu 1 Kang, Chulmin 1 Li, Jingyi 1 Liu, Zongjian 1 Moallemi, Ciamac Cyrus 1 Neuberg, Richard 1 Nouri, Behzad 1 Rogers, Chris B. 1 Sigman, Karl 1 Strickland, Stephen G. 1 Suchintabandid, Sira 1 Vega-Redondo, Fernando 1 Wang, Hui 1 Wu, Qi 1 Yang, Linan 1 Yuan, Kai 1 Zhao, Xiaoliang all top 5 Serials 17 Operations Research 8 Mathematical Finance 6 Management Science 6 Mathematics of Operations Research 6 Finance and Stochastics 4 IEEE Transactions on Automatic Control 4 Journal of Applied Probability 4 Quantitative Finance 3 Advances in Applied Probability 3 Journal of Economic Dynamics & Control 3 The Annals of Applied Probability 2 Operations Research Letters 2 Discrete Event Dynamic Systems 2 ACM Transactions on Modeling and Computer Simulation 2 Probability in the Engineering and Informational Sciences 1 Econometrica 1 Journal of the Association for Computing Machinery 1 Journal of Optimization Theory and Applications 1 Naval Research Logistics 1 Communications in Statistics. Stochastic Models 1 Statistical Science 1 Queueing Systems 1 Annals of Operations Research 1 Stochastic Processes and their Applications 1 Proceedings of the Royal Society of London. Series A. Mathematical, Physical and Engineering Sciences 1 International Journal of Theoretical and Applied Finance 1 The Kluwer International Series in Engineering and Computer Science 1 Lecture Notes in Statistics 1 SIAM Journal on Financial Mathematics 1 Stochastic Systems 1 Applications of Mathematics 1 Wiley Series in Probability and Mathematical Statistics all top 5 Fields 46 Probability theory and stochastic processes (60-XX) 42 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 35 Numerical analysis (65-XX) 24 Operations research, mathematical programming (90-XX) 22 Statistics (62-XX) 8 Systems theory; control (93-XX) 2 General and overarching topics; collections (00-XX) 2 History and biography (01-XX) 2 Computer science (68-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 87 Publications have been cited 2,235 times in 1,615 Documents Cited by ▼ Year ▼ Monte Carlo methods in financial engineering. Zbl 1038.91045Glasserman, Paul 556 2004 Monte Carlo methods for security pricing. Zbl 0901.90007Boyle, Phelim; Broadie, Mark; Glasserman, Paul 134 1997 Pricing American-style securities using simulation. Zbl 0901.90009Broadie, Mark; Glasserman, Paul 105 1997 Gradient estimation via perturbation analysis. Foreword by Yu-Chi Ho. Zbl 0746.90024Glasserman, Paul 98 1991 A continuity correction for discrete barrier options. Zbl 1020.91020Broadie, Mark; Glasserman, Paul; Kou, Steven 88 1997 Estimating security price derivatives using simulation. Zbl 0881.90018Broadie, Mark; Glasserman, Paul 81 1996 Connecting discrete and continuous path-dependent options. Zbl 0924.90007Broadie, Mark; Glasserman, Paul; Kou, S. G. 67 1999 Asymptotically optimal importance sampling and stratification for pricing path-dependent options. Zbl 0980.91034Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez 59 1999 Importance sampling for portfolio credit risk. Zbl 1232.91621Glasserman, Paul; Li, Jingyi 52 2005 A comparison of some Monte Carlo and quasi Monte Carlo techniques for option pricing. Zbl 0888.90010Acworth, Peter; Broadie, Mark; Glasserman, Paul 48 1997 Multilevel splitting for estimating rare event probabilities. Zbl 0985.65006Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez; Zajic, Tim 46 1999 Robust risk measurement and model risk. Zbl 1294.91076Glasserman, Paul; Xu, Xingbo 45 2014 Counterexamples in importance sampling for large deviations probabilities. Zbl 0892.60043Glasserman, Paul; Wang, Yashan 45 1997 Portfolio value-at-risk with heavy-tailed risk factors. Zbl 1147.91325Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez 44 2002 Sensitivity analysis for base-stock levels in multiechelon production- inventory systems. Zbl 0832.90051Glasserman, Paul; Tayur, Sridhar 39 1995 Number of paths versus number of basis functions in American option pricing. Zbl 1062.60041Glasserman, Paul; Yu, Bin 37 2004 Variance reduction techniques for estimating value-at-risk. Zbl 1232.91348Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez 32 2000 Analysis of an importance sampling estimator for tandem queues. Zbl 0841.62083Glasserman, Paul; Kou, Shing-Gang 32 1995 The term structure of simple forward rates with jump risk. Zbl 1087.91024Glasserman, Paul; Kou, S. G. 27 2003 Some guildelines and guarantees for common random numbers. Zbl 0758.65091Glasserman, Paul; Yao, David D. 24 1992 Large deviations in multifactor portfolio credit risk. Zbl 1186.91227Glasserman, Paul; Kang, Wanmo; Shahabuddin, Perwez 22 2007 Malliavin Greeks without Malliavin calculus. Zbl 1133.60030Chen, Nan; Glasserman, Paul 21 2007 Gamma expansion of the Heston stochastic volatility model. Zbl 1302.60100Glasserman, Paul; Kim, Kyoung-Kuk 20 2011 The stability of a capacitated, multi-echelon production-inventory system under a base-stock policy. Zbl 0815.90080Glasserman, Paul; Tayur, Sridhar 19 1994 Simulation for American options: regression now or regression later? Zbl 1062.91033Glasserman, Paul; Yu, Bin 19 2004 Smoothed perturbation analysis for a class of discrete-event systems. Zbl 0721.93051Glasserman, Paul; Gong, Wei-Bo 18 1990 Additive and multiplicative duals for American option pricing. Zbl 1146.91022Chen, Nan; Glasserman, Paul 18 2007 Sensitivity estimates from characteristic functions. Zbl 1226.62016Glasserman, Paul; Liu, Zongjian 18 2010 Monotone structure in discrete-event systems. Zbl 0920.93003Glasserman, Paul; Yao, David D. 18 1994 Structural conditions for perturbation analysis derivative estimation: Finite-time performance indices. Zbl 0743.60086Glasserman, Paul 17 1991 Bounds and asymptotics for planning critical safety stocks. Zbl 0890.90078Glasserman, Paul 17 1997 Arbitrage-free discretization of lognormal forward Libor and swap rate models. Zbl 0947.60050Glasserman, Paul; Zhao, Xiaoliang 16 2000 Robust portfolio control with stochastic factor dynamics. Zbl 1291.91192Glasserman, Paul; Xu, Xingbo 15 2013 Moment explosions and stationary distributions in affine diffusion models. Zbl 1182.91215Glasserman, Paul; Kim, Kyoung-Kuk 15 2010 Conditioning on one-step survival for barrier option simulations. Zbl 1163.91398Glasserman, Paul; Staum, Jeremy 15 2001 Convergence of a discretization scheme for jump-diffusion processes with state-dependent intensities. Zbl 1043.60052Glasserman, Paul; Merener, Nicolas 14 2004 Monotone optimal control of permutable GSMPs. Zbl 0801.60077Glasserman, Paul; Yao, David D. 13 1994 Leadtime-inventory trade-offs in assemble-to-order systems. Zbl 0987.90004Glasserman, Paul; Wang, Yashan 13 1998 Fast simulation of multifactor portfolio credit risk. Zbl 1167.91369Glasserman, Paul; Kang, Wanmo; Shahabuddin, Perwez 12 2008 Limits of first passage times to rare sets in regenerative processes. Zbl 0830.60021Glasserman, Paul; Kou, Shing-Gang 12 1995 Saddlepoint approximations for affine jump-diffusion models. Zbl 1170.91480Glasserman, Paul; Kim, Kyoung-Kuk 11 2009 Fast pricing of basket default swaps. Zbl 1167.91364Chen, Zhiyong; Glasserman, Paul 11 2008 Numerical solution of jump-diffusion LIBOR market models. Zbl 1035.60047Glasserman, Paul; Merener, Nicolas 11 2003 Monotonicity in generalized semi-Markov processes. Zbl 0753.60082Glasserman, Paul; Yao, David D. 10 1992 A large deviations perspective on the efficiency of multilevel splitting. Zbl 0957.68005Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez; Zajic, Tim 10 1998 Structured buffer-allocation problems. Zbl 0847.90066Glasserman, Paul; Yao, David D. 9 1996 A simple approximation for a multistage capacitated production-inventory system. Zbl 0870.90064Glasserman, Paul; Tayur, Sridhar 9 1996 Hidden illiquidity with multiple central counterparties. Zbl 1378.91120Glasserman, Paul; Moallemi, Ciamac C.; Yuan, Kai 9 2016 Large sample properties of weighted Monte Carlo estimators. Zbl 1165.65303Glasserman, Paul; Yu, Bin 8 2005 Stochastic vector difference equations with stationary coefficients. Zbl 0839.60060Glasserman, Paul; Yao, David D. 8 1995 Allocating production capacity among multiple products. Zbl 0879.90106Glasserman, Paul 8 1996 Bounding wrong-way risk in CVA calculation. Zbl 1403.91362Glasserman, Paul; Yang, Linan 7 2018 Strongly consistent steady-state derivative estimates. Zbl 1134.93416Glasserman, Paul; Hu, Jian-Qiang; Strickland, Stephen G. 7 1991 Infinitesimal perturbation analysis of birth and death process. Zbl 0638.60090Glasserman, Paul 7 1988 The limiting value of derivative estimators based on perturbation analysis. Zbl 0744.60102Glasserman, Paul 7 1990 Algebraic structure of some stochastic discrete event systems, with applications. Zbl 0738.93068Glasserman, Paul; Yao, David D. 7 1991 Uniformly efficient importance sampling for the tail distribution of sums of random variables. Zbl 1162.65308Glasserman, Paul; Juneja, Sandeep 7 2008 Derivative estimates from simulation of continuous-time Markov chains. Zbl 0748.60060Glasserman, Paul 6 1992 Generalized semi-Markov processes: Antimatroid structure and second-order properties. Zbl 0753.60086Glasserman, Paul; Yao, David D. 6 1992 Forward and future implied volatility. Zbl 1231.91434Glasserman, Paul; Wu, Qi 5 2011 Pricing American options by simulation using a stochastic mesh with optimized weights. Zbl 1013.91054Broadie, Mark; Glasserman, Paul; Ha, Zachary 5 2000 Market-triggered changes in capital structure: equilibrium price dynamics. Zbl 1420.91498Glasserman, Paul; Nouri, Behzad 4 2016 OR forum: Design of risk weights. Zbl 1342.91039Glasserman, Paul; Kang, Wanmo 4 2014 Processes with associated increments. Zbl 0757.60068Glasserman, Paul 4 1992 Regenerative derivatives of regenerative sequences. Zbl 0767.60093Glasserman, Paul 4 1993 Time-changing and truncating \(K\)-capacity queues from one \(K\) to another. Zbl 0748.60095Glasserman, Paul; Gong, Wei-Bo 4 1991 Resource allocation among simulation time steps. Zbl 1165.62348Glasserman, Paul; Staum, Jeremy 4 2003 Sensitivity estimates for portfolio credit derivatives using Monte Carlo. Zbl 1199.91203Chen, Zhiyong; Glasserman, Paul 4 2008 Corrected diffusion approximations for a multistage production-inventory system. Zbl 0871.90037Glasserman, Paul; Liu, Tai-Wen 4 1997 Rare-event simulation for multistage production-inventory systems. Zbl 0880.90032Glasserman, Paul; Liu, Tai-Wen 4 1996 Risk horizon and rebalancing horizon in portfolio risk measurement. Zbl 1278.91138Glasserman, Paul 4 2012 Stress scenario selection by empirical likelihood. Zbl 1398.62297Glasserman, Paul; Kang, Chulmin; Kang, Wanmo 3 2015 Estimating derivatives via Poisson’s equation. Zbl 1134.62356Fox, Bennett L.; Glasserman, Paul 3 1991 A look at multilevel splitting. Zbl 0888.65147Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez; Zajic, Tim 3 1997 Stationary waiting time derivatives. Zbl 0760.60083Glasserman, Paul 3 1992 Smoothing complements and randomized score functions. Zbl 0771.62024Glasserman, Paul 3 1992 Filtered Monte Carlo. Zbl 0780.65084Glasserman, Paul 3 1993 Structural conditions for perturbation analysis of queueing systems. Zbl 0799.68039Glasserman, Paul 3 1991 Monte Carlo methods for security pricing. Zbl 0991.91026Boyle, Phelim; Broadie, Mark; Glasserman, Paul 3 2001 Discrete-time “inversion” and derivative estimation for Markov chains. Zbl 0711.60073Glasserman, Paul 2 1990 Quadratic transform approximation for CDO pricing in multifactor models. Zbl 1255.91398Glasserman, Paul; Suchintabandid, Sira 2 2012 Shortfall risk in long-term hedging with short-term futures contracts. Zbl 0995.91030Glasserman, Paul 2 2001 Buy rough, sell smooth. Zbl 1466.91336Glasserman, Paul; He, Pu 2 2020 A conversation with Chris Heyde. Zbl 1333.01042Glasserman, Paul; Kou, Steven 1 2006 Stochastic monotonicity and conditional Monte Carlo for likelihood ratios. Zbl 0774.65101Glasserman, Paul 1 1993 Subadditivity and stability of a class of discrete-event systems. Zbl 0839.93076Glasserman, Paul; Yao, David D. 1 1995 Stochastic networks: stability and rare events. Proceedings of the workshop, New York, NY, USA, November 3-4, 1995. Zbl 0846.00029 1 1996 Buy rough, sell smooth. Zbl 1466.91336Glasserman, Paul; He, Pu 2 2020 Bounding wrong-way risk in CVA calculation. Zbl 1403.91362Glasserman, Paul; Yang, Linan 7 2018 Hidden illiquidity with multiple central counterparties. Zbl 1378.91120Glasserman, Paul; Moallemi, Ciamac C.; Yuan, Kai 9 2016 Market-triggered changes in capital structure: equilibrium price dynamics. Zbl 1420.91498Glasserman, Paul; Nouri, Behzad 4 2016 Stress scenario selection by empirical likelihood. Zbl 1398.62297Glasserman, Paul; Kang, Chulmin; Kang, Wanmo 3 2015 Robust risk measurement and model risk. Zbl 1294.91076Glasserman, Paul; Xu, Xingbo 45 2014 OR forum: Design of risk weights. Zbl 1342.91039Glasserman, Paul; Kang, Wanmo 4 2014 Robust portfolio control with stochastic factor dynamics. Zbl 1291.91192Glasserman, Paul; Xu, Xingbo 15 2013 Risk horizon and rebalancing horizon in portfolio risk measurement. Zbl 1278.91138Glasserman, Paul 4 2012 Quadratic transform approximation for CDO pricing in multifactor models. Zbl 1255.91398Glasserman, Paul; Suchintabandid, Sira 2 2012 Gamma expansion of the Heston stochastic volatility model. Zbl 1302.60100Glasserman, Paul; Kim, Kyoung-Kuk 20 2011 Forward and future implied volatility. Zbl 1231.91434Glasserman, Paul; Wu, Qi 5 2011 Sensitivity estimates from characteristic functions. Zbl 1226.62016Glasserman, Paul; Liu, Zongjian 18 2010 Moment explosions and stationary distributions in affine diffusion models. Zbl 1182.91215Glasserman, Paul; Kim, Kyoung-Kuk 15 2010 Saddlepoint approximations for affine jump-diffusion models. Zbl 1170.91480Glasserman, Paul; Kim, Kyoung-Kuk 11 2009 Fast simulation of multifactor portfolio credit risk. Zbl 1167.91369Glasserman, Paul; Kang, Wanmo; Shahabuddin, Perwez 12 2008 Fast pricing of basket default swaps. Zbl 1167.91364Chen, Zhiyong; Glasserman, Paul 11 2008 Uniformly efficient importance sampling for the tail distribution of sums of random variables. Zbl 1162.65308Glasserman, Paul; Juneja, Sandeep 7 2008 Sensitivity estimates for portfolio credit derivatives using Monte Carlo. Zbl 1199.91203Chen, Zhiyong; Glasserman, Paul 4 2008 Large deviations in multifactor portfolio credit risk. Zbl 1186.91227Glasserman, Paul; Kang, Wanmo; Shahabuddin, Perwez 22 2007 Malliavin Greeks without Malliavin calculus. Zbl 1133.60030Chen, Nan; Glasserman, Paul 21 2007 Additive and multiplicative duals for American option pricing. Zbl 1146.91022Chen, Nan; Glasserman, Paul 18 2007 A conversation with Chris Heyde. Zbl 1333.01042Glasserman, Paul; Kou, Steven 1 2006 Importance sampling for portfolio credit risk. Zbl 1232.91621Glasserman, Paul; Li, Jingyi 52 2005 Large sample properties of weighted Monte Carlo estimators. Zbl 1165.65303Glasserman, Paul; Yu, Bin 8 2005 Monte Carlo methods in financial engineering. Zbl 1038.91045Glasserman, Paul 556 2004 Number of paths versus number of basis functions in American option pricing. Zbl 1062.60041Glasserman, Paul; Yu, Bin 37 2004 Simulation for American options: regression now or regression later? Zbl 1062.91033Glasserman, Paul; Yu, Bin 19 2004 Convergence of a discretization scheme for jump-diffusion processes with state-dependent intensities. Zbl 1043.60052Glasserman, Paul; Merener, Nicolas 14 2004 The term structure of simple forward rates with jump risk. Zbl 1087.91024Glasserman, Paul; Kou, S. G. 27 2003 Numerical solution of jump-diffusion LIBOR market models. Zbl 1035.60047Glasserman, Paul; Merener, Nicolas 11 2003 Resource allocation among simulation time steps. Zbl 1165.62348Glasserman, Paul; Staum, Jeremy 4 2003 Portfolio value-at-risk with heavy-tailed risk factors. Zbl 1147.91325Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez 44 2002 Conditioning on one-step survival for barrier option simulations. Zbl 1163.91398Glasserman, Paul; Staum, Jeremy 15 2001 Monte Carlo methods for security pricing. Zbl 0991.91026Boyle, Phelim; Broadie, Mark; Glasserman, Paul 3 2001 Shortfall risk in long-term hedging with short-term futures contracts. Zbl 0995.91030Glasserman, Paul 2 2001 Variance reduction techniques for estimating value-at-risk. Zbl 1232.91348Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez 32 2000 Arbitrage-free discretization of lognormal forward Libor and swap rate models. Zbl 0947.60050Glasserman, Paul; Zhao, Xiaoliang 16 2000 Pricing American options by simulation using a stochastic mesh with optimized weights. Zbl 1013.91054Broadie, Mark; Glasserman, Paul; Ha, Zachary 5 2000 Connecting discrete and continuous path-dependent options. Zbl 0924.90007Broadie, Mark; Glasserman, Paul; Kou, S. G. 67 1999 Asymptotically optimal importance sampling and stratification for pricing path-dependent options. Zbl 0980.91034Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez 59 1999 Multilevel splitting for estimating rare event probabilities. Zbl 0985.65006Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez; Zajic, Tim 46 1999 Leadtime-inventory trade-offs in assemble-to-order systems. Zbl 0987.90004Glasserman, Paul; Wang, Yashan 13 1998 A large deviations perspective on the efficiency of multilevel splitting. Zbl 0957.68005Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez; Zajic, Tim 10 1998 Monte Carlo methods for security pricing. Zbl 0901.90007Boyle, Phelim; Broadie, Mark; Glasserman, Paul 134 1997 Pricing American-style securities using simulation. Zbl 0901.90009Broadie, Mark; Glasserman, Paul 105 1997 A continuity correction for discrete barrier options. Zbl 1020.91020Broadie, Mark; Glasserman, Paul; Kou, Steven 88 1997 A comparison of some Monte Carlo and quasi Monte Carlo techniques for option pricing. Zbl 0888.90010Acworth, Peter; Broadie, Mark; Glasserman, Paul 48 1997 Counterexamples in importance sampling for large deviations probabilities. Zbl 0892.60043Glasserman, Paul; Wang, Yashan 45 1997 Bounds and asymptotics for planning critical safety stocks. Zbl 0890.90078Glasserman, Paul 17 1997 Corrected diffusion approximations for a multistage production-inventory system. Zbl 0871.90037Glasserman, Paul; Liu, Tai-Wen 4 1997 A look at multilevel splitting. Zbl 0888.65147Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez; Zajic, Tim 3 1997 Estimating security price derivatives using simulation. Zbl 0881.90018Broadie, Mark; Glasserman, Paul 81 1996 Structured buffer-allocation problems. Zbl 0847.90066Glasserman, Paul; Yao, David D. 9 1996 A simple approximation for a multistage capacitated production-inventory system. Zbl 0870.90064Glasserman, Paul; Tayur, Sridhar 9 1996 Allocating production capacity among multiple products. Zbl 0879.90106Glasserman, Paul 8 1996 Rare-event simulation for multistage production-inventory systems. Zbl 0880.90032Glasserman, Paul; Liu, Tai-Wen 4 1996 Stochastic networks: stability and rare events. Proceedings of the workshop, New York, NY, USA, November 3-4, 1995. Zbl 0846.00029 1 1996 Sensitivity analysis for base-stock levels in multiechelon production- inventory systems. Zbl 0832.90051Glasserman, Paul; Tayur, Sridhar 39 1995 Analysis of an importance sampling estimator for tandem queues. Zbl 0841.62083Glasserman, Paul; Kou, Shing-Gang 32 1995 Limits of first passage times to rare sets in regenerative processes. Zbl 0830.60021Glasserman, Paul; Kou, Shing-Gang 12 1995 Stochastic vector difference equations with stationary coefficients. Zbl 0839.60060Glasserman, Paul; Yao, David D. 8 1995 Subadditivity and stability of a class of discrete-event systems. Zbl 0839.93076Glasserman, Paul; Yao, David D. 1 1995 The stability of a capacitated, multi-echelon production-inventory system under a base-stock policy. Zbl 0815.90080Glasserman, Paul; Tayur, Sridhar 19 1994 Monotone structure in discrete-event systems. Zbl 0920.93003Glasserman, Paul; Yao, David D. 18 1994 Monotone optimal control of permutable GSMPs. Zbl 0801.60077Glasserman, Paul; Yao, David D. 13 1994 Regenerative derivatives of regenerative sequences. Zbl 0767.60093Glasserman, Paul 4 1993 Filtered Monte Carlo. Zbl 0780.65084Glasserman, Paul 3 1993 Stochastic monotonicity and conditional Monte Carlo for likelihood ratios. Zbl 0774.65101Glasserman, Paul 1 1993 Some guildelines and guarantees for common random numbers. Zbl 0758.65091Glasserman, Paul; Yao, David D. 24 1992 Monotonicity in generalized semi-Markov processes. Zbl 0753.60082Glasserman, Paul; Yao, David D. 10 1992 Derivative estimates from simulation of continuous-time Markov chains. Zbl 0748.60060Glasserman, Paul 6 1992 Generalized semi-Markov processes: Antimatroid structure and second-order properties. Zbl 0753.60086Glasserman, Paul; Yao, David D. 6 1992 Processes with associated increments. Zbl 0757.60068Glasserman, Paul 4 1992 Stationary waiting time derivatives. Zbl 0760.60083Glasserman, Paul 3 1992 Smoothing complements and randomized score functions. Zbl 0771.62024Glasserman, Paul 3 1992 Gradient estimation via perturbation analysis. Foreword by Yu-Chi Ho. Zbl 0746.90024Glasserman, Paul 98 1991 Structural conditions for perturbation analysis derivative estimation: Finite-time performance indices. Zbl 0743.60086Glasserman, Paul 17 1991 Strongly consistent steady-state derivative estimates. Zbl 1134.93416Glasserman, Paul; Hu, Jian-Qiang; Strickland, Stephen G. 7 1991 Algebraic structure of some stochastic discrete event systems, with applications. Zbl 0738.93068Glasserman, Paul; Yao, David D. 7 1991 Time-changing and truncating \(K\)-capacity queues from one \(K\) to another. Zbl 0748.60095Glasserman, Paul; Gong, Wei-Bo 4 1991 Estimating derivatives via Poisson’s equation. Zbl 1134.62356Fox, Bennett L.; Glasserman, Paul 3 1991 Structural conditions for perturbation analysis of queueing systems. Zbl 0799.68039Glasserman, Paul 3 1991 Smoothed perturbation analysis for a class of discrete-event systems. Zbl 0721.93051Glasserman, Paul; Gong, Wei-Bo 18 1990 The limiting value of derivative estimators based on perturbation analysis. Zbl 0744.60102Glasserman, Paul 7 1990 Discrete-time “inversion” and derivative estimation for Markov chains. Zbl 0711.60073Glasserman, Paul 2 1990 Infinitesimal perturbation analysis of birth and death process. Zbl 0638.60090Glasserman, Paul 7 1988 all cited Publications top 5 cited Publications all top 5 Cited by 2,394 Authors 20 Oosterlee, Cornelis Willebrordus 19 Joshi, Mark S. 18 Belomestny, Denis 18 Glasserman, Paul 17 Fu, Michael C. 15 Wang, Xiaoqun 12 Dupuis, Paul G. 12 Heidergott, Bernd F. 11 Blanchet, Jose H. 11 Cui, Zhenyu 11 Lyuu, Yuh-Dauh 11 Schoenmakers, John G. M. 10 Juneja, Sandeep 10 Tempone, Raúl F. 9 Boyle, Phelim P. 9 Cassandras, Christos G. 9 Fusai, Gianluca 9 Glynn, Peter W. 9 Gobet, Emmanuel 9 Hong, Liu Jeff 9 Tan, Ken Seng 8 Cao, Xi-Ren 8 Giles, Michael B. 8 He, Zhijian 8 Hörmann, Wolfgang 8 L’Ecuyer, Pierre 8 Levendorskiĭ, Sergeĭ Zakharovich 8 Ökten, Giray 8 Rubinstein, Reuven Y. 8 Spiliopoulos, Konstantinos V. 7 Bayer, Christian 7 Broadie, Mark N. 7 Guyader, Arnaud 7 Jourdain, Benjamin 7 Kuo, Frances Y. 7 Lam, Henry 7 Leovey, Hernan 7 Liu, Jingchen 7 Mandjes, Michel Robertus Hendrikus 7 Mehrdoust, Farshid 7 Ortiz-Gracia, Luis 7 Peng, Yijie 7 Platen, Eckhard 7 Sak, Halis 7 Schweizer, Nikolaus 7 Sezer, Ali Devin 7 Sowers, Richard B. 7 Wong, Hoi Ying 7 Yao, David D. W. 7 Zhu, Lingjiong 6 Bender, Christian 6 Ho, Yu-Chi 6 Jentzen, Arnulf 6 Katsoulakis, Markos A. 6 Kim, Junseok 6 Kolkiewicz, Adam W. 6 Li, Chenxu 6 Linetsky, Vadim 6 Liu, Guangwu 6 Marazzina, Daniele 6 Pirjol, Dan 6 Reisinger, Christoph 6 Scheinhardt, Werner R. W. 6 Sloan, Ian Hugh 6 Vázquez-Abad, Felisa J. 6 Wang, Hui 6 Xu, Chenglong 5 Bernard, Carole L. 5 Chen, Nan 5 de Boer, Pieter-Tjerk 5 Giesecke, Kay 5 Haugh, Martin B. 5 Hu, Jian-Qiang 5 Kim, Kyoung-Kuk 5 Kohatsu-Higa, Arturo 5 Kohler, Michael 5 Kroese, Dirk P. 5 Kuznetsov, N. Yu. 5 Kyriakou, Ioannis 5 Leobacher, Gunther 5 Mishura, Yuliya Stepanivna 5 Owen, Art B. 5 Pagès, Gilles 5 Papapantoleon, Antonis 5 Rey-Bellet, Luc 5 Ridder, Ad 5 Sabino, Piergiacomo 5 Vázquez Cendón, Carlos 5 Wang, Ruodu 5 Xu, Gongjun 5 Yamada, Toshihiro 4 Agarwal, Ankush 4 Alfonsi, Aurélien 4 Altman, Eitan 4 Asmussen, Søren 4 Benth, Fred Espen 4 Borgonovo, Emanuele 4 Bréhier, Charles-Edouard 4 Cai, Ning 4 Cérou, Frédéric ...and 2,294 more Authors all top 5 Cited in 251 Serials 107 European Journal of Operational Research 100 Quantitative Finance 64 International Journal of Theoretical and Applied Finance 44 The Annals of Applied Probability 40 Journal of Computational and Applied Mathematics 38 Annals of Operations Research 37 Discrete Event Dynamic Systems 36 Applied Mathematical Finance 36 Mathematical Finance 34 Stochastic Processes and their Applications 32 Queueing Systems 30 Insurance Mathematics & Economics 29 Applied Mathematics and Computation 29 Journal of Economic Dynamics & Control 27 Advances in Applied Probability 27 Operations Research 27 SIAM Journal on Financial Mathematics 26 Operations Research Letters 23 Finance and Stochastics 22 Methodology and Computing in Applied Probability 21 Journal of Applied Probability 21 International Journal of Computer Mathematics 21 Monte Carlo Methods and Applications 17 Mathematics of Operations Research 17 Journal of Complexity 17 SIAM/ASA Journal on Uncertainty Quantification 15 Mathematics and Computers in Simulation 15 North American Actuarial Journal 14 Stochastic Analysis and Applications 14 Statistics and Computing 12 Naval Research Logistics 12 SIAM Journal on Scientific Computing 12 INFORMS Journal on Computing 11 Journal of Optimization Theory and Applications 11 SIAM Journal on Numerical Analysis 11 Asia-Pacific Financial Markets 10 Computers & Operations Research 10 Review of Derivatives Research 10 European Actuarial Journal 9 Automatica 9 Journal of Statistical Computation and Simulation 9 Mathematical Methods of Operations Research 8 Physica A 8 Journal of Econometrics 8 International Journal of Production Research 8 Communications in Statistics. Simulation and Computation 8 Computational Statistics and Data Analysis 8 ACM Transactions on Modeling and Computer Simulation 8 Computational Management Science 7 Computers & Mathematics with Applications 7 Mathematics of Computation 7 Mathematical and Computer Modelling 7 Cybernetics and Systems Analysis 7 Probability in the Engineering and Informational Sciences 7 Decisions in Economics and Finance 7 Stochastic Models 7 Stochastics 7 Annals of Finance 6 Journal of Scientific Computing 6 Communications in Statistics. Theory and Methods 6 Computational Economics 5 Journal of Computational Physics 5 Statistics & Probability Letters 5 Japan Journal of Industrial and Applied Mathematics 5 Computational Statistics 5 Mathematical Programming. Series A. Series B 5 Bernoulli 5 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 5 Scandinavian Actuarial Journal 5 European Series in Applied and Industrial Mathematics (ESAIM): Mathematical Modelling and Numerical Analysis 5 Journal of the Korean Society for Industrial and Applied Mathematics 4 Journal of Mathematical Analysis and Applications 4 The Annals of Probability 4 The Annals of Statistics 4 BIT 4 SIAM Journal on Optimization 4 Chaos 4 Optimization and Engineering 4 The ANZIAM Journal 4 ASTIN Bulletin 4 Nonlinear Analysis. Hybrid Systems 4 Stochastic Systems 4 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys 3 Computer Methods in Applied Mechanics and Engineering 3 Lithuanian Mathematical Journal 3 Theoretical Computer Science 3 Journal of Applied Mathematics and Stochastic Analysis 3 European Journal of Applied Mathematics 3 Journal of Global Optimization 3 Linear Algebra and its Applications 3 SIAM Review 3 Discrete Dynamics in Nature and Society 3 Extremes 3 Discrete and Continuous Dynamical Systems. Series B 3 Journal of Machine Learning Research (JMLR) 3 Stochastics and Dynamics 3 Mathematics and Financial Economics 3 AStA. Advances in Statistical Analysis 3 Electronic Journal of Statistics 2 Computer Physics Communications ...and 151 more Serials all top 5 Cited in 41 Fields 911 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 698 Probability theory and stochastic processes (60-XX) 612 Numerical analysis (65-XX) 305 Statistics (62-XX) 305 Operations research, mathematical programming (90-XX) 99 Systems theory; control (93-XX) 60 Computer science (68-XX) 50 Partial differential equations (35-XX) 28 Ordinary differential equations (34-XX) 27 Calculus of variations and optimal control; optimization (49-XX) 23 Approximations and expansions (41-XX) 18 Biology and other natural sciences (92-XX) 16 Statistical mechanics, structure of matter (82-XX) 13 Number theory (11-XX) 11 Information and communication theory, circuits (94-XX) 10 Functional analysis (46-XX) 9 Integral transforms, operational calculus (44-XX) 8 Integral equations (45-XX) 7 Dynamical systems and ergodic theory (37-XX) 6 Measure and integration (28-XX) 6 Harmonic analysis on Euclidean spaces (42-XX) 6 Operator theory (47-XX) 6 Quantum theory (81-XX) 5 Fluid mechanics (76-XX) 4 Combinatorics (05-XX) 4 Functions of a complex variable (30-XX) 3 Linear and multilinear algebra; matrix theory (15-XX) 3 Real functions (26-XX) 3 Difference and functional equations (39-XX) 3 Mechanics of deformable solids (74-XX) 2 Special functions (33-XX) 2 Optics, electromagnetic theory (78-XX) 1 General and overarching topics; collections (00-XX) 1 Mathematical logic and foundations (03-XX) 1 Order, lattices, ordered algebraic structures (06-XX) 1 Nonassociative rings and algebras (17-XX) 1 Abstract harmonic analysis (43-XX) 1 Convex and discrete geometry (52-XX) 1 Differential geometry (53-XX) 1 Classical thermodynamics, heat transfer (80-XX) 1 Geophysics (86-XX) Citations by Year Wikidata Timeline The data are displayed as stored in Wikidata under a Creative Commons CC0 License. Updates and corrections should be made in Wikidata.