World's Best Scientists 2026 revealed!

D-Index & Metrics

Economics and Finance

D-Index
57
Citations
18553
World Ranking
936
National Ranking
589

Research.com Recognitions

  • 2008 - Fellow of the Institute for Operations Research and the Management Sciences (INFORMS)

Overview

Paul Glasserman is affiliated with Columbia University in the United States and has a significant body of research in the field of Economics, Econometrics, and Finance. Their academic work focuses largely on Finance, Economics and Econometrics, Management Science and Operations Research, Accounting, and Artificial Intelligence.

The scientist's main research topics include Financial Markets and Investment Strategies, Banking Stability, Regulation, and Efficiency, Stock Market Forecasting Methods, Financial Risk and Volatility Modeling, Economic Theories and Models, Stochastic Processes and Financial Applications, and Market Dynamics and Volatility.

Paul Glasserman has published extensively, with a particular presence in the following venues:

  • SSRN Electronic Journal
  • Management Science
  • arXiv (Cornell University)
  • The Journal of Financial Data Science
  • Journal of Financial and Quantitative Analysis

Significant recent papers authored by Paul Glasserman include:

  • Investor Information Choice with Macro and Micro Information, 2022, The Review of Asset Pricing Studies
  • Assessing Look-Ahead Bias in Stock Return Predictions Generated by GPT Sentiment Analysis, 2023, The Journal of Financial Data Science
  • Time Variation in the News-Returns Relationship, 2023, Journal of Financial and Quantitative Analysis

Other notable works in which they are involved, either as author or coauthor, include:

  • Swing Pricing for Mutual Funds: Breaking the Feedback Loop Between Fire Sales and Fund Redemptions, 2020, Management Science
  • Collateralized Networks, 2021, Management Science

Frequent coauthors collaborating with Paul Glasserman include Dan Pirjol, Harry Mamaysky, Mike Li, Agostino Capponi, and Marko Weber.

In recognition of their contributions to their field, Paul Glasserman was named Fellow of the Institute for Operations Research and the Management Sciences (INFORMS) in 2008.

Best Publications

  • Monte Carlo Methods in Financial Engineering

    Paul Glasserman

  • Monte Carlo methods for security pricing

    Phelim P. Boyle;Mark Broadie;Paul Glasserman

  • Pricing American-style securities using simulation

    Mark Broadie;Paul Glasserman

  • Estimating security price derivatives using simulation

    Mark Broadie;Paul Glasserman

  • How likely is contagion in financial networks

    Paul Glasserman;H. Peyton Young;H. Peyton Young

  • 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

  • Importance Sampling for Portfolio Credit Risk

    Paul Glasserman;Jingyi Li

  • Contagion in Financial Networks

    Paul Glasserman;H. Peyton Young

  • Sensitivity Analysis for Base-Stock Levels in Multiechelon Production-Inventory Systems

    Paul Glasserman;Sridhar Tayur

  • Portfolio Value-at-Risk with Heavy-Tailed Risk Factors

    Paul Glasserman;Philip Heidelberger;Perwez Shahabuddin

  • Multilevel Splitting for Estimating Rare Event Probabilities

    Paul Glasserman;Philip Heidelberger;Perwez Shahabuddin;Tim Zajic

  • Connecting discrete and continuous path-dependent options

    Mark Broadie;Paul Glasserman;Shing-Gang Kou

  • Asymptotically Optimal Importance Sampling and Stratification for Pricing Path‐Dependent Options

    Paul Glasserman;Philip Heidelberger;Perwez Shahabuddin

  • Variance Reduction Techniques for Estimating Value-at-Risk

    Paul Glasserman;Philip Heidelberger;Perwez Shahabuddin

  • The Term Structure of Simple Forward Rates with Jump Risk

    Paul Glasserman;S. G. Kou

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

    Peter A. Acworth;Mark Broadie;Paul Glasserman

  • Robust risk measurement and model risk

    Paul Glasserman;Xingbo Xu

  • Contingent Capital with a Capital-Ratio Trigger

    Paul Glasserman;Behzad Nouri

  • Number of paths versus number of basis functions in American option pricing

    Paul Glasserman;Bin Yu

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

    P. Boyle;M. Broadie;P. Glasserman

Frequent Co-Authors

David D. Yao
David D. Yao Columbia University
Philip Heidelberger
Philip Heidelberger IBM (United States)
Mark Broadie
Mark Broadie Columbia University
H. Peyton Young
H. Peyton Young University of Oxford
Sridhar Tayur
Sridhar Tayur Carnegie Mellon University
Yu-Chi Ho
Yu-Chi Ho Harvard University
Peter W. Glynn
Peter W. Glynn Stanford University
Weibo Gong
Weibo Gong University of Massachusetts Amherst
Phelim P. Boyle
Phelim P. Boyle Wilfrid Laurier University
Fernando Vega-Redondo
Fernando Vega-Redondo Bocconi University

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