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D-Index & Metrics

Economics and Finance

D-Index
37
Citations
12157
World Ranking
2601
National Ranking
1449

Overview

Mark Broadie is affiliated with Columbia University in the United States. Their research spans multiple fields of study, with a primary focus on Medicine and Economics, Econometrics and Finance.

Their work encompasses a range of subfields including Economics and Econometrics, Biomedical Engineering, Orthopedics and Sports Medicine, Management Science and Operations Research, as well as Statistics, Probability and Uncertainty.

Broadie's research topics concentrate significantly on Sports Analytics and Performance, Sports Dynamics and Biomechanics, and Sports Performance and Training. Additional areas of focus include Simulation Techniques and Applications, Advanced Statistical Process Monitoring, Advanced Multi-Objective Optimization Algorithms, and Diverse Approaches in Healthcare and Education Studies.

They have published in various academic venues, notably:

  • The Journal of Strength and Conditioning Research
  • Strength and Conditioning Journal
  • INFORMS Journal on Computing
  • SSRN Electronic Journal

Recent papers authored or co-authored by Mark Broadie include:

  • "Monitoring Performance in Golf: More Than Just Clubhead Speed" (2023), Strength and Conditioning Journal
  • "Validity and Reliability of the FlightScope Mevo+ Launch Monitor for Assessing Golf Performance" (2023), The Journal of Strength and Conditioning Research
  • "Practical Nonparametric Sampling Strategies for Quantile-Based Ordinal Optimization" (2021), INFORMS Journal on Computing
  • "Impact of Distance Changes in Professional Golf, With a Focus on the ShotLink Era" (2023), SSRN Electronic Journal

Frequent collaborators in Broadie's research include Alex Brennan, Daniel Coughlan, Jack Wells, Alex Ehlert, and Anthony N. Turner.

Best Publications

  • Monte Carlo methods for security pricing

    Phelim P. Boyle;Mark Broadie;Paul Glasserman

  • Pricing American-style securities using simulation

    Mark Broadie;Paul Glasserman

  • American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods

    Mark Broadie;Jerome Detemple

  • Model specification and risk premia: evidence from futures options

    Mark Broadie;Mikhail Chernov;Michael Johannes

  • Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes

    Mark Broadie;zgr Kaya

  • Estimating security price derivatives using simulation

    Mark Broadie;Paul Glasserman

  • Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options

    Leif Andersen;Mark Broadie

  • A Continuity Correction for Discrete Barrier Options

    Mark Broadie;Paul Glasserman;Steven Kou

  • A stochastic mesh method for pricing high- dimensional American options

    Mark Broadie;Paul Glasserman

  • Computing efficient frontiers using estimated parameters

    Mark Broadie

  • Understanding Index Option Returns

    Mark Broadie;Mikhail Chernov;Michael Johannes

  • Connecting discrete and continuous path-dependent options

    Mark Broadie;Paul Glasserman;Shing-Gang Kou

  • 50th ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications

    Mark Broadie;Jerome B. Detemple

  • The Valuation of American Options on Multiple Assets

    Mark Broadie;Jérôme Detemple

  • Option Pricing: Valuation Models and Applications

    Mark Broadie;Jerome B. Detemple

  • A Comparison of Some Monte Carlo and Quasi Monte Carlo Techniques for Option Pricing

    Peter A. Acworth;Mark Broadie;Paul Glasserman

  • Optimal Debt and Equity Values in the Presence of Chapter 7 and Chapter 11

    Mark Broadie;Mikhail Chernov;Suresh Sundaresan

  • THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS

    Mark Broadie;Ashish Jain

  • Optimal Replication of Contingent Claims under Portfolio Constraints

    Mark Broadie;Jakša Cvitanić;H. Mete Soner

  • Efficient Risk Estimation via Nested Sequential Simulation

    Mark Broadie;Yiping Du;Ciamac C. Moallemi

  • Understanding Index Option Returns

    Mark Broadie;Michael S. Johannes;Mikhail Chernov

  • Option Pricing, Interest Rates and Risk Management: Monte Carlo Methods for Security Pricing

    P. Boyle;M. Broadie;P. Glasserman

Frequent Co-Authors

Paul Glasserman
Paul Glasserman Columbia University
Jerome Detemple
Jerome Detemple Boston University
Mikhail Chernov
Mikhail Chernov University of California, Los Angeles
Assaf Zeevi
Assaf Zeevi Columbia University
Suresh M. Sundaresan
Suresh M. Sundaresan Columbia University
Eric Ghysels
Eric Ghysels University of North Carolina at Chapel Hill
Phelim P. Boyle
Phelim P. Boyle Wilfrid Laurier University
William N. Goetzmann
William N. Goetzmann Yale University
Jin-Chuan Duan
Jin-Chuan Duan National University of Singapore
Jakša Cvitanić
Jakša Cvitanić California Institute of Technology

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