Publications

5 results for Paul Glasserman

Perwez Shahabuddin, 1962 - 2005: A professional appreciation
- - Sigrún Andradóttir
  - Paul Glasserman
  - et al.
- 2007
- ACM TOMACS
Portfolio value-at-risk with heavy-tailed risk factors
- - Paul Glasserman
  - Philip Heidelberger
  - et al.
- 2003
- Mathematical Finance
Importance sampling in the heath-jarrow-morton framework
- - Paul Glasserman
  - Philip Heidelberger
  - et al.
- 1999
- Journal of Derivatives
Multilevel splitting for estimating rare event probabilities
- - Paul Glasserman
  - Philip Heidelberger
  - et al.
- 1999
- Operations Research
A large deviations perspective on the efficiency of multilevel splitting
- - Paul Glasserman
  - Philip Heidelberger
  - et al.
- 1998
- IEEE TACON