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Paul Glasserman
Researcher Next ID · RN-016699
Researcher · Economics, Econometrics and Finance
, Bulgaria
Not currently recruitingFunding unknown
- Works count
- 304
- Citation count
- 14,976
- H-index
- 54
- i10-index
- 150
Research interests
Economics, Econometrics and Finance
Decision Sciences
Stochastic processes and financial applications
Credit Risk and Financial Regulations
Financial Risk and Volatility Modeling
Banking stability, regulation, efficiency
Probability and Risk Models
Publications
A stochastic mesh method for pricing high-dimensional American options
The Journal of Computational Finance · 2004 · 10.21314/jcf.2004.117
Monte Carlo Methods in Financial Engineering
Applications of mathematics · 2003 · 10.1007/978-0-387-21617-1
Monte Carlo methods for security pricing
Journal of Economic Dynamics and Control · 1997 · 10.1016/s0165-1889(97)00028-6
Pricing American-style securities using simulation
Journal of Economic Dynamics and Control · 1997 · 10.1016/s0165-1889(97)00029-8
Estimating Security Price Derivatives Using Simulation
Management Science · 1996 · 10.1287/mnsc.42.2.269
Current projects
No projects listed.