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Author ID: glasserman.paul Recent zbMATH articles by "Glasserman, Paul"
Published as: Glasserman, Paul; Glasserman, P.
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Publications by Year

Citations contained in zbMATH Open

90 Publications have been cited 2,544 times in 1,840 Documents Cited by Year
Monte Carlo methods in financial engineering. Zbl 1038.91045
Glasserman, Paul
676
2004
Monte Carlo methods for security pricing. Zbl 0901.90007
Boyle, Phelim; Broadie, Mark; Glasserman, Paul
143
1997
Pricing American-style securities using simulation. Zbl 0901.90009
Broadie, Mark; Glasserman, Paul
114
1997
Gradient estimation via perturbation analysis. Foreword by Yu-Chi Ho. Zbl 0746.90024
Glasserman, Paul
112
1991
A continuity correction for discrete barrier options. Zbl 1020.91020
Broadie, Mark; Glasserman, Paul; Kou, Steven
94
1997
Estimating security price derivatives using simulation. Zbl 0881.90018
Broadie, Mark; Glasserman, Paul
87
1996
Connecting discrete and continuous path-dependent options. Zbl 0924.90007
Broadie, Mark; Glasserman, Paul; Kou, S. G.
70
1999
Asymptotically optimal importance sampling and stratification for pricing path-dependent options. Zbl 0980.91034
Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez
67
1999
Importance sampling for portfolio credit risk. Zbl 1232.91621
Glasserman, Paul; Li, Jingyi
60
2005
Multilevel splitting for estimating rare event probabilities. Zbl 0985.65006
Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez; Zajic, Tim
51
1999
Portfolio value-at-risk with heavy-tailed risk factors. Zbl 1147.91325
Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez
51
2002
A comparison of some Monte Carlo and quasi Monte Carlo techniques for option pricing. Zbl 0888.90010
Acworth, Peter; Broadie, Mark; Glasserman, Paul
50
1997
Robust risk measurement and model risk. Zbl 1294.91076
Glasserman, Paul; Xu, Xingbo
50
2014
Counterexamples in importance sampling for large deviations probabilities. Zbl 0892.60043
Glasserman, Paul; Wang, Yashan
49
1997
Number of paths versus number of basis functions in American option pricing. Zbl 1062.60041
Glasserman, Paul; Yu, Bin
46
2004
Variance reduction techniques for estimating value-at-risk. Zbl 1232.91348
Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez
45
2000
Sensitivity analysis for base-stock levels in multiechelon production- inventory systems. Zbl 0832.90051
Glasserman, Paul; Tayur, Sridhar
43
1995
Analysis of an importance sampling estimator for tandem queues. Zbl 0841.62083
Glasserman, Paul; Kou, Shing-Gang
32
1995
The term structure of simple forward rates with jump risk. Zbl 1087.91024
Glasserman, Paul; Kou, S. G.
28
2003
Some guildelines and guarantees for common random numbers. Zbl 0758.65091
Glasserman, Paul; Yao, David D.
27
1992
Gamma expansion of the Heston stochastic volatility model. Zbl 1302.60100
Glasserman, Paul; Kim, Kyoung-Kuk
27
2011
Large deviations in multifactor portfolio credit risk. Zbl 1186.91227
Glasserman, Paul; Kang, Wanmo; Shahabuddin, Perwez
26
2007
Simulation for American options: regression now or regression later? Zbl 1062.91033
Glasserman, Paul; Yu, Bin
25
2004
Malliavin Greeks without Malliavin calculus. Zbl 1133.60030
Chen, Nan; Glasserman, Paul
24
2007
Sensitivity estimates from characteristic functions. Zbl 1226.62016
Glasserman, Paul; Liu, Zongjian
23
2010
Monotone structure in discrete-event systems. Zbl 0920.93003
Glasserman, Paul; Yao, David D.
21
1994
Additive and multiplicative duals for American option pricing. Zbl 1146.91022
Chen, Nan; Glasserman, Paul
20
2007
The stability of a capacitated, multi-echelon production-inventory system under a base-stock policy. Zbl 0815.90080
Glasserman, Paul; Tayur, Sridhar
19
1994
Conditioning on one-step survival for barrier option simulations. Zbl 1163.91398
Glasserman, Paul; Staum, Jeremy
19
2001
Smoothed perturbation analysis for a class of discrete-event systems. Zbl 0721.93051
Glasserman, Paul; Gong, Wei-Bo
18
1990
Robust portfolio control with stochastic factor dynamics. Zbl 1291.91192
Glasserman, Paul; Xu, Xingbo
18
2013
Arbitrage-free discretization of lognormal forward Libor and swap rate models. Zbl 0947.60050
Glasserman, Paul; Zhao, Xiaoliang
17
2000
Structural conditions for perturbation analysis derivative estimation: Finite-time performance indices. Zbl 0743.60086
Glasserman, Paul
17
1991
Bounds and asymptotics for planning critical safety stocks. Zbl 0890.90078
Glasserman, Paul
17
1997
Convergence of a discretization scheme for jump-diffusion processes with state-dependent intensities. Zbl 1043.60052
Glasserman, Paul; Merener, Nicolas
17
2004
Moment explosions and stationary distributions in affine diffusion models. Zbl 1182.91215
Glasserman, Paul; Kim, Kyoung-Kuk
16
2010
Fast simulation of multifactor portfolio credit risk. Zbl 1167.91369
Glasserman, Paul; Kang, Wanmo; Shahabuddin, Perwez
15
2008
Monotone optimal control of permutable GSMPs. Zbl 0801.60077
Glasserman, Paul; Yao, David D.
14
1994
Leadtime-inventory trade-offs in assemble-to-order systems. Zbl 0987.90004
Glasserman, Paul; Wang, Yashan
14
1998
A large deviations perspective on the efficiency of multilevel splitting. Zbl 0957.68005
Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez; Zajic, Tim
13
1998
Limits of first passage times to rare sets in regenerative processes. Zbl 0830.60021
Glasserman, Paul; Kou, Shing-Gang
12
1995
Numerical solution of jump-diffusion LIBOR market models. Zbl 1035.60047
Glasserman, Paul; Merener, Nicolas
12
2003
Saddlepoint approximations for affine jump-diffusion models. Zbl 1170.91480
Glasserman, Paul; Kim, Kyoung-Kuk
11
2009
Hidden illiquidity with multiple central counterparties. Zbl 1378.91120
Glasserman, Paul; Moallemi, Ciamac C.; Yuan, Kai
11
2016
Fast pricing of basket default swaps. Zbl 1167.91364
Chen, Zhiyong; Glasserman, Paul
11
2008
Monotonicity in generalized semi-Markov processes. Zbl 0753.60082
Glasserman, Paul; Yao, David D.
10
1992
Bounding wrong-way risk in CVA calculation. Zbl 1403.91362
Glasserman, Paul; Yang, Linan
10
2018
Large sample properties of weighted Monte Carlo estimators. Zbl 1165.65303
Glasserman, Paul; Yu, Bin
10
2005
A simple approximation for a multistage capacitated production-inventory system. Zbl 0870.90064
Glasserman, Paul; Tayur, Sridhar
9
1996
Structured buffer-allocation problems. Zbl 0847.90066
Glasserman, Paul; Yao, David D.
9
1996
Stochastic vector difference equations with stationary coefficients. Zbl 0839.60060
Glasserman, Paul; Yao, David D.
8
1995
Allocating production capacity among multiple products. Zbl 0879.90106
Glasserman, Paul
8
1996
Strongly consistent steady-state derivative estimates. Zbl 1134.93416
Glasserman, Paul; Hu, Jian-Qiang; Strickland, Stephen G.
8
1991
Infinitesimal perturbation analysis of birth and death process. Zbl 0638.60090
Glasserman, Paul
7
1988
The limiting value of derivative estimators based on perturbation analysis. Zbl 0744.60102
Glasserman, Paul
7
1990
Algebraic structure of some stochastic discrete event systems, with applications. Zbl 0738.93068
Glasserman, Paul; Yao, David D.
7
1991
Uniformly efficient importance sampling for the tail distribution of sums of random variables. Zbl 1162.65308
Glasserman, Paul; Juneja, Sandeep
7
2008
Stress scenario selection by empirical likelihood. Zbl 1398.62297
Glasserman, Paul; Kang, Chulmin; Kang, Wanmo
7
2015
Pricing American options by simulation using a stochastic mesh with optimized weights. Zbl 1013.91054
Broadie, Mark; Glasserman, Paul; Ha, Zachary
6
2000
Derivative estimates from simulation of continuous-time Markov chains. Zbl 0748.60060
Glasserman, Paul
6
1992
Generalized semi-Markov processes: Antimatroid structure and second-order properties. Zbl 0753.60086
Glasserman, Paul; Yao, David D.
6
1992
Buy rough, sell smooth. Zbl 1466.91336
Glasserman, Paul; He, Pu
6
2020
Sensitivity estimates for portfolio credit derivatives using Monte Carlo. Zbl 1199.91203
Chen, Zhiyong; Glasserman, Paul
5
2008
Forward and future implied volatility. Zbl 1231.91434
Glasserman, Paul; Wu, Qi
5
2011
Processes with associated increments. Zbl 0757.60068
Glasserman, Paul
4
1992
Time-changing and truncating \(K\)-capacity queues from one \(K\) to another. Zbl 0748.60095
Glasserman, Paul; Gong, Wei-Bo
4
1991
Corrected diffusion approximations for a multistage production-inventory system. Zbl 0871.90037
Glasserman, Paul; Liu, Tai-Wen
4
1997
Rare-event simulation for multistage production-inventory systems. Zbl 0880.90032
Glasserman, Paul; Liu, Tai-Wen
4
1996
Regenerative derivatives of regenerative sequences. Zbl 0767.60093
Glasserman, Paul
4
1993
Resource allocation among simulation time steps. Zbl 1165.62348
Glasserman, Paul; Staum, Jeremy
4
2003
Risk horizon and rebalancing horizon in portfolio risk measurement. Zbl 1278.91138
Glasserman, Paul
4
2012
OR forum: Design of risk weights. Zbl 1342.91039
Glasserman, Paul; Kang, Wanmo
4
2014
Market-triggered changes in capital structure: equilibrium price dynamics. Zbl 1420.91498
Glasserman, Paul; Nouri, Behzad
4
2016
Stationary waiting time derivatives. Zbl 0760.60083
Glasserman, Paul
3
1992
Smoothing complements and randomized score functions. Zbl 0771.62024
Glasserman, Paul
3
1992
A look at multilevel splitting. Zbl 0888.65147
Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez; Zajic, Tim
3
1997
Structural conditions for perturbation analysis of queueing systems. Zbl 0799.68039
Glasserman, Paul
3
1991
Monte Carlo methods for security pricing. Zbl 0991.91026
Boyle, Phelim; Broadie, Mark; Glasserman, Paul
3
2001
Filtered Monte Carlo. Zbl 0780.65084
Glasserman, Paul
3
1993
Estimating derivatives via Poisson’s equation. Zbl 1134.62356
Fox, Bennett L.; Glasserman, Paul
3
1991
Shortfall risk in long-term hedging with short-term futures contracts. Zbl 0995.91030
Glasserman, Paul
2
2001
Discrete-time “inversion” and derivative estimation for Markov chains. Zbl 0711.60073
Glasserman, Paul
2
1990
Quadratic transform approximation for CDO pricing in multifactor models. Zbl 1255.91398
Glasserman, Paul; Suchintabandid, Sira
2
2012
W-shaped implied volatility curves and the Gaussian mixture model. Zbl 1518.91279
Glasserman, Paul; Pirjol, Dan
2
2023
Stochastic networks: stability and rare events. Proceedings of the workshop, New York, NY, USA, November 3-4, 1995. Zbl 0846.00029
1
1996
Stochastic monotonicity and conditional Monte Carlo for likelihood ratios. Zbl 0774.65101
Glasserman, Paul
1
1993
Hedging with trees. Advances in pricing and risk managing derivatives. Zbl 0997.90502
1
1998
Subadditivity and stability of a class of discrete-event systems. Zbl 0839.93076
Glasserman, Paul; Yao, David D.
1
1995
A conversation with Chris Heyde. Zbl 1333.01042
Glasserman, Paul; Kou, Steven
1
2006
Estimating a covariance matrix for market risk management and the case of credit default swaps. Zbl 1407.91231
Neuberg, Richard; Glasserman, Paul
1
2019
W-shaped implied volatility curves and the Gaussian mixture model. Zbl 1518.91279
Glasserman, Paul; Pirjol, Dan
2
2023
Buy rough, sell smooth. Zbl 1466.91336
Glasserman, Paul; He, Pu
6
2020
Estimating a covariance matrix for market risk management and the case of credit default swaps. Zbl 1407.91231
Neuberg, Richard; Glasserman, Paul
1
2019
Bounding wrong-way risk in CVA calculation. Zbl 1403.91362
Glasserman, Paul; Yang, Linan
10
2018
Hidden illiquidity with multiple central counterparties. Zbl 1378.91120
Glasserman, Paul; Moallemi, Ciamac C.; Yuan, Kai
11
2016
Market-triggered changes in capital structure: equilibrium price dynamics. Zbl 1420.91498
Glasserman, Paul; Nouri, Behzad
4
2016
Stress scenario selection by empirical likelihood. Zbl 1398.62297
Glasserman, Paul; Kang, Chulmin; Kang, Wanmo
7
2015
Robust risk measurement and model risk. Zbl 1294.91076
Glasserman, Paul; Xu, Xingbo
50
2014
OR forum: Design of risk weights. Zbl 1342.91039
Glasserman, Paul; Kang, Wanmo
4
2014
Robust portfolio control with stochastic factor dynamics. Zbl 1291.91192
Glasserman, Paul; Xu, Xingbo
18
2013
Risk horizon and rebalancing horizon in portfolio risk measurement. Zbl 1278.91138
Glasserman, Paul
4
2012
Quadratic transform approximation for CDO pricing in multifactor models. Zbl 1255.91398
Glasserman, Paul; Suchintabandid, Sira
2
2012
Gamma expansion of the Heston stochastic volatility model. Zbl 1302.60100
Glasserman, Paul; Kim, Kyoung-Kuk
27
2011
Forward and future implied volatility. Zbl 1231.91434
Glasserman, Paul; Wu, Qi
5
2011
Sensitivity estimates from characteristic functions. Zbl 1226.62016
Glasserman, Paul; Liu, Zongjian
23
2010
Moment explosions and stationary distributions in affine diffusion models. Zbl 1182.91215
Glasserman, Paul; Kim, Kyoung-Kuk
16
2010
Saddlepoint approximations for affine jump-diffusion models. Zbl 1170.91480
Glasserman, Paul; Kim, Kyoung-Kuk
11
2009
Fast simulation of multifactor portfolio credit risk. Zbl 1167.91369
Glasserman, Paul; Kang, Wanmo; Shahabuddin, Perwez
15
2008
Fast pricing of basket default swaps. Zbl 1167.91364
Chen, Zhiyong; Glasserman, Paul
11
2008
Uniformly efficient importance sampling for the tail distribution of sums of random variables. Zbl 1162.65308
Glasserman, Paul; Juneja, Sandeep
7
2008
Sensitivity estimates for portfolio credit derivatives using Monte Carlo. Zbl 1199.91203
Chen, Zhiyong; Glasserman, Paul
5
2008
Large deviations in multifactor portfolio credit risk. Zbl 1186.91227
Glasserman, Paul; Kang, Wanmo; Shahabuddin, Perwez
26
2007
Malliavin Greeks without Malliavin calculus. Zbl 1133.60030
Chen, Nan; Glasserman, Paul
24
2007
Additive and multiplicative duals for American option pricing. Zbl 1146.91022
Chen, Nan; Glasserman, Paul
20
2007
A conversation with Chris Heyde. Zbl 1333.01042
Glasserman, Paul; Kou, Steven
1
2006
Importance sampling for portfolio credit risk. Zbl 1232.91621
Glasserman, Paul; Li, Jingyi
60
2005
Large sample properties of weighted Monte Carlo estimators. Zbl 1165.65303
Glasserman, Paul; Yu, Bin
10
2005
Monte Carlo methods in financial engineering. Zbl 1038.91045
Glasserman, Paul
676
2004
Number of paths versus number of basis functions in American option pricing. Zbl 1062.60041
Glasserman, Paul; Yu, Bin
46
2004
Simulation for American options: regression now or regression later? Zbl 1062.91033
Glasserman, Paul; Yu, Bin
25
2004
Convergence of a discretization scheme for jump-diffusion processes with state-dependent intensities. Zbl 1043.60052
Glasserman, Paul; Merener, Nicolas
17
2004
The term structure of simple forward rates with jump risk. Zbl 1087.91024
Glasserman, Paul; Kou, S. G.
28
2003
Numerical solution of jump-diffusion LIBOR market models. Zbl 1035.60047
Glasserman, Paul; Merener, Nicolas
12
2003
Resource allocation among simulation time steps. Zbl 1165.62348
Glasserman, Paul; Staum, Jeremy
4
2003
Portfolio value-at-risk with heavy-tailed risk factors. Zbl 1147.91325
Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez
51
2002
Conditioning on one-step survival for barrier option simulations. Zbl 1163.91398
Glasserman, Paul; Staum, Jeremy
19
2001
Monte Carlo methods for security pricing. Zbl 0991.91026
Boyle, Phelim; Broadie, Mark; Glasserman, Paul
3
2001
Shortfall risk in long-term hedging with short-term futures contracts. Zbl 0995.91030
Glasserman, Paul
2
2001
Variance reduction techniques for estimating value-at-risk. Zbl 1232.91348
Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez
45
2000
Arbitrage-free discretization of lognormal forward Libor and swap rate models. Zbl 0947.60050
Glasserman, Paul; Zhao, Xiaoliang
17
2000
Pricing American options by simulation using a stochastic mesh with optimized weights. Zbl 1013.91054
Broadie, Mark; Glasserman, Paul; Ha, Zachary
6
2000
Connecting discrete and continuous path-dependent options. Zbl 0924.90007
Broadie, Mark; Glasserman, Paul; Kou, S. G.
70
1999
Asymptotically optimal importance sampling and stratification for pricing path-dependent options. Zbl 0980.91034
Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez
67
1999
Multilevel splitting for estimating rare event probabilities. Zbl 0985.65006
Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez; Zajic, Tim
51
1999
Leadtime-inventory trade-offs in assemble-to-order systems. Zbl 0987.90004
Glasserman, Paul; Wang, Yashan
14
1998
A large deviations perspective on the efficiency of multilevel splitting. Zbl 0957.68005
Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez; Zajic, Tim
13
1998
Hedging with trees. Advances in pricing and risk managing derivatives. Zbl 0997.90502
1
1998
Monte Carlo methods for security pricing. Zbl 0901.90007
Boyle, Phelim; Broadie, Mark; Glasserman, Paul
143
1997
Pricing American-style securities using simulation. Zbl 0901.90009
Broadie, Mark; Glasserman, Paul
114
1997
A continuity correction for discrete barrier options. Zbl 1020.91020
Broadie, Mark; Glasserman, Paul; Kou, Steven
94
1997
A comparison of some Monte Carlo and quasi Monte Carlo techniques for option pricing. Zbl 0888.90010
Acworth, Peter; Broadie, Mark; Glasserman, Paul
50
1997
Counterexamples in importance sampling for large deviations probabilities. Zbl 0892.60043
Glasserman, Paul; Wang, Yashan
49
1997
Bounds and asymptotics for planning critical safety stocks. Zbl 0890.90078
Glasserman, Paul
17
1997
Corrected diffusion approximations for a multistage production-inventory system. Zbl 0871.90037
Glasserman, Paul; Liu, Tai-Wen
4
1997
A look at multilevel splitting. Zbl 0888.65147
Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez; Zajic, Tim
3
1997
Estimating security price derivatives using simulation. Zbl 0881.90018
Broadie, Mark; Glasserman, Paul
87
1996
A simple approximation for a multistage capacitated production-inventory system. Zbl 0870.90064
Glasserman, Paul; Tayur, Sridhar
9
1996
Structured buffer-allocation problems. Zbl 0847.90066
Glasserman, Paul; Yao, David D.
9
1996
Allocating production capacity among multiple products. Zbl 0879.90106
Glasserman, Paul
8
1996
Rare-event simulation for multistage production-inventory systems. Zbl 0880.90032
Glasserman, 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 0832.90051
Glasserman, Paul; Tayur, Sridhar
43
1995
Analysis of an importance sampling estimator for tandem queues. Zbl 0841.62083
Glasserman, Paul; Kou, Shing-Gang
32
1995
Limits of first passage times to rare sets in regenerative processes. Zbl 0830.60021
Glasserman, Paul; Kou, Shing-Gang
12
1995
Stochastic vector difference equations with stationary coefficients. Zbl 0839.60060
Glasserman, Paul; Yao, David D.
8
1995
Subadditivity and stability of a class of discrete-event systems. Zbl 0839.93076
Glasserman, Paul; Yao, David D.
1
1995
Monotone structure in discrete-event systems. Zbl 0920.93003
Glasserman, Paul; Yao, David D.
21
1994
The stability of a capacitated, multi-echelon production-inventory system under a base-stock policy. Zbl 0815.90080
Glasserman, Paul; Tayur, Sridhar
19
1994
Monotone optimal control of permutable GSMPs. Zbl 0801.60077
Glasserman, Paul; Yao, David D.
14
1994
Regenerative derivatives of regenerative sequences. Zbl 0767.60093
Glasserman, Paul
4
1993
Filtered Monte Carlo. Zbl 0780.65084
Glasserman, Paul
3
1993
Stochastic monotonicity and conditional Monte Carlo for likelihood ratios. Zbl 0774.65101
Glasserman, Paul
1
1993
Some guildelines and guarantees for common random numbers. Zbl 0758.65091
Glasserman, Paul; Yao, David D.
27
1992
Monotonicity in generalized semi-Markov processes. Zbl 0753.60082
Glasserman, Paul; Yao, David D.
10
1992
Derivative estimates from simulation of continuous-time Markov chains. Zbl 0748.60060
Glasserman, Paul
6
1992
Generalized semi-Markov processes: Antimatroid structure and second-order properties. Zbl 0753.60086
Glasserman, Paul; Yao, David D.
6
1992
Processes with associated increments. Zbl 0757.60068
Glasserman, Paul
4
1992
Stationary waiting time derivatives. Zbl 0760.60083
Glasserman, Paul
3
1992
Smoothing complements and randomized score functions. Zbl 0771.62024
Glasserman, Paul
3
1992
Gradient estimation via perturbation analysis. Foreword by Yu-Chi Ho. Zbl 0746.90024
Glasserman, Paul
112
1991
Structural conditions for perturbation analysis derivative estimation: Finite-time performance indices. Zbl 0743.60086
Glasserman, Paul
17
1991
Strongly consistent steady-state derivative estimates. Zbl 1134.93416
Glasserman, Paul; Hu, Jian-Qiang; Strickland, Stephen G.
8
1991
Algebraic structure of some stochastic discrete event systems, with applications. Zbl 0738.93068
Glasserman, Paul; Yao, David D.
7
1991
Time-changing and truncating \(K\)-capacity queues from one \(K\) to another. Zbl 0748.60095
Glasserman, Paul; Gong, Wei-Bo
4
1991
Structural conditions for perturbation analysis of queueing systems. Zbl 0799.68039
Glasserman, Paul
3
1991
Estimating derivatives via Poisson’s equation. Zbl 1134.62356
Fox, Bennett L.; Glasserman, Paul
3
1991
Smoothed perturbation analysis for a class of discrete-event systems. Zbl 0721.93051
Glasserman, Paul; Gong, Wei-Bo
18
1990
The limiting value of derivative estimators based on perturbation analysis. Zbl 0744.60102
Glasserman, Paul
7
1990
Discrete-time “inversion” and derivative estimation for Markov chains. Zbl 0711.60073
Glasserman, Paul
2
1990
Infinitesimal perturbation analysis of birth and death process. Zbl 0638.60090
Glasserman, Paul
7
1988
all top 5

Cited by 2,722 Authors

22 Fu, Michael C.
20 Belomestny, Denis
20 Joshi, Mark S.
20 Oosterlee, Cornelis Willebrordus
19 Glasserman, Paul
16 Wang, Xiaoqun
14 Heidergott, Bernd F.
13 Blanchet, Jose H.
13 Schoenmakers, John G. M.
12 Dupuis, Paul G.
12 Glynn, Peter W.
12 Peng, Yijie
12 Tempone, Raúl F.
11 Cui, Zhenyu
11 Gobet, Emmanuel
11 Lyuu, Yuh-Dauh
10 Juneja, Sandeep
9 Bayer, Christian
9 Boyle, Phelim P.
9 Cassandras, Christos G.
9 Fusai, Gianluca
9 Giles, Michael B.
9 He, Zhijian
9 Hong, Liu Jeff
9 Lam, Henry
9 L’Ecuyer, Pierre
9 Ökten, Giray
9 Sabino, Piergiacomo
9 Tan, Ken Seng
8 Bender, Christian
8 Cao, Xi-Ren
8 Hörmann, Wolfgang
8 Kuo, Frances Y.
8 Levendorskiĭ, Sergeĭ Zakharovich
8 Liu, Jingchen
8 Mehrdoust, Farshid
8 Ortiz-Gracia, Luis
8 Pirjol, Dan
8 Rubinstein, Reuven Y.
8 Schweizer, Nikolaus
8 Spiliopoulos, Konstantinos V.
8 Wong, Hoi Ying
8 Xu, Chenglong
8 Zhu, Lingjiong
7 Broadie, Mark N.
7 Guyader, Arnaud
7 Jentzen, Arnulf
7 Jourdain, Benjamin
7 Kwok, Yue-Kuen
7 Leovey, Hernan
7 Mandjes, Michel Robertus Hendrikus
7 Platen, Eckhard
7 Sak, Halis
7 Sezer, Ali Devin
7 Sloan, Ian Hugh
7 Sowers, Richard B.
7 Yao, David D. W.
6 Del Moral, Pierre
6 Filipović, Damir
6 Giesecke, Kay
6 Ho, Yu-Chi
6 Katsoulakis, Markos A.
6 Kim, Junseok
6 Kim, Kyoung-Kuk
6 Kohler, Michael
6 Kolkiewicz, Adam W.
6 Li, Chenxu
6 Linetsky, Vadim
6 Liu, Guangwu
6 Marazzina, Daniele
6 Owen, Art B.
6 Papapantoleon, Antonis
6 Reisinger, Christoph
6 Scheinhardt, Werner R. W.
6 Tang, Qihe
6 Vázquez-Abad, Felisa J.
6 Vázquez Cendón, Carlos
6 Wang, Hui
6 Wang, Ruodu
5 Bernard, Carole
5 Brignone, Riccardo
5 Cai, Ning
5 Crepey, Stephane
5 de Boer, Pieter-Tjerk
5 Haugh, Martin B.
5 Herrmann, Samuel
5 Hu, Jian-Qiang
5 Jasra, Ajay
5 Kohatsu-Higa, Arturo
5 Kroese, Dirk P.
5 Kuznetsov, N. Yu.
5 Kyriakou, Ioannis
5 Lelong, Jérôme
5 Leobacher, Gunther
5 Mijatović, Aleksandar
5 Mishura, Yuliya Stepanivna
5 Pagès, Gilles
5 Pelsser, Antoon A. J.
5 Rey-Bellet, Luc
5 Ridder, Ad
...and 2,622 more Authors
all top 5

Cited in 269 Serials

116 European Journal of Operational Research
113 Quantitative Finance
64 International Journal of Theoretical and Applied Finance
56 Mathematical Finance
46 Annals of Operations Research
45 The Annals of Applied Probability
43 Journal of Computational and Applied Mathematics
38 Discrete Event Dynamic Systems
37 Applied Mathematical Finance
35 Stochastic Processes and their Applications
34 Journal of Economic Dynamics & Control
33 Insurance Mathematics & Economics
33 SIAM Journal on Financial Mathematics
32 Queueing Systems
31 Operations Research Letters
30 Applied Mathematics and Computation
30 Operations Research
28 Advances in Applied Probability
27 Monte Carlo Methods and Applications
26 Methodology and Computing in Applied Probability
23 International Journal of Computer Mathematics
23 Finance and Stochastics
22 Journal of Applied Probability
20 Mathematics of Operations Research
20 Journal of Complexity
19 Mathematics and Computers in Simulation
18 Statistics and Computing
18 SIAM/ASA Journal on Uncertainty Quantification
16 Naval Research Logistics
16 INFORMS Journal on Computing
15 Stochastic Analysis and Applications
15 North American Actuarial Journal
14 SIAM Journal on Numerical Analysis
13 SIAM Journal on Scientific Computing
12 Review of Derivatives Research
11 Journal of Optimization Theory and Applications
11 Computers & Operations Research
11 Asia-Pacific Financial Markets
11 Computational Management Science
11 European Actuarial Journal
10 Journal of Econometrics
10 Journal of Statistical Computation and Simulation
9 Physica A
9 Automatica
9 Communications in Statistics. Simulation and Computation
9 Computational Statistics and Data Analysis
9 Mathematical Methods of Operations Research
8 International Journal of Production Research
8 Journal of Scientific Computing
8 Cybernetics and Systems Analysis
8 ACM Transactions on Modeling and Computer Simulation
8 Stochastics
7 Computers & Mathematics with Applications
7 Mathematics of Computation
7 Mathematical and Computer Modelling
7 Probability in the Engineering and Informational Sciences
7 Decisions in Economics and Finance
7 Stochastic Models
7 Annals of Finance
6 Journal of Computational Physics
6 Communications in Statistics. Theory and Methods
6 Computational Economics
6 Applied Stochastic Models in Business and Industry
6 ASTIN Bulletin
6 European Series in Applied and Industrial Mathematics (ESAIM): Mathematical Modelling and Numerical Analysis
5 Computer Methods in Applied Mechanics and Engineering
5 Statistics & Probability Letters
5 Applied Numerical Mathematics
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 Journal of Machine Learning Research (JMLR)
5 Journal of the Korean Society for Industrial and Applied Mathematics
5 Stochastic Systems
4 Journal of Mathematical Analysis and Applications
4 Mathematical Methods in the Applied Sciences
4 The Annals of Probability
4 The Annals of Statistics
4 BIT
4 SIAM Journal on Control and Optimization
4 SIAM Journal on Optimization
4 Chaos
4 Optimization and Engineering
4 The ANZIAM Journal
4 Discrete and Continuous Dynamical Systems. Series B
4 Nonlinear Analysis. Hybrid Systems
4 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys
3 Communications on Pure and Applied Mathematics
3 Lithuanian Mathematical Journal
3 Chaos, Solitons and Fractals
3 International Statistical Review
3 Journal of Multivariate Analysis
3 Theoretical Computer Science
3 Journal of Theoretical Probability
3 Journal of Applied Mathematics and Stochastic Analysis
3 European Journal of Applied Mathematics
3 Journal of Global Optimization
...and 169 more Serials
all top 5

Cited in 43 Fields

1,035 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
777 Probability theory and stochastic processes (60-XX)
706 Numerical analysis (65-XX)
348 Statistics (62-XX)
335 Operations research, mathematical programming (90-XX)
110 Systems theory; control (93-XX)
70 Computer science (68-XX)
58 Partial differential equations (35-XX)
30 Ordinary differential equations (34-XX)
30 Calculus of variations and optimal control; optimization (49-XX)
27 Approximations and expansions (41-XX)
21 Biology and other natural sciences (92-XX)
19 Number theory (11-XX)
18 Statistical mechanics, structure of matter (82-XX)
12 Functional analysis (46-XX)
11 Integral transforms, operational calculus (44-XX)
11 Information and communication theory, circuits (94-XX)
9 Dynamical systems and ergodic theory (37-XX)
9 Integral equations (45-XX)
8 Harmonic analysis on Euclidean spaces (42-XX)
7 Quantum theory (81-XX)
6 Measure and integration (28-XX)
6 Operator theory (47-XX)
6 Fluid mechanics (76-XX)
5 Mechanics of deformable solids (74-XX)
4 Combinatorics (05-XX)
4 Linear and multilinear algebra; matrix theory (15-XX)
4 Real functions (26-XX)
4 Functions of a complex variable (30-XX)
3 Difference and functional equations (39-XX)
2 Special functions (33-XX)
2 Optics, electromagnetic theory (78-XX)
2 Geophysics (86-XX)
1 General and overarching topics; collections (00-XX)
1 History and biography (01-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 Mathematics education (97-XX)

Citations by Year

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