P. Glasserman

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Aliases
P Glasserman, P. Glasserman, Paula Glasserman, Paul Glasserman
Publication record
234 papers · 16,027 citations · H-index 55

PAPERS

When Are Option Prices TP2$\text{TP}_2$?
20260 citationsauthor #1
Does Overnight News Explain Overnight Returns?
20250 citationsauthor #1
Importance Sampling for Latent Dirichlet Allocation
20250 citationsauthor #1
Do Large Language Models (LLMs) Understand Chronology?
20250 citationsauthor #2
Trading TP2 option violations
20251 citationsauthor #1
A Comparison of Topic Models for Financial News Headlines
20250 citationsauthor #1
Differential ML with a Difference
20250 citationsauthor #1
Stress Testing Spillover Risk in Mutual Funds
20243 citationsauthor #2
Time Variation in the News–Returns Relationship—ERRATUM
20240 citationsauthor #1
Tail Risk Monotonicity in GARCH(1,1) Models
20240 citationsauthor #1
Swing Pricing: Theory and Evidence
20236 citationsauthor #2
Assessing Look-Ahead Bias in Stock Return Predictions Generated by GPT Sentiment Analysis
202324 citationsauthor #1
W-shaped implied volatility curves and the Gaussian mixture model
202310 citationsauthor #1
New News is Bad News
20233 citationsauthor #1
Maximum Entropy Distributions with Applications to Graph Simulation
20230 citationsauthor #1
Maximum Entropy Distributions with Applications to Graph Simulation
20223 citationsauthor #1
Total Positivity and Relative Convexity of Option Prices
20224 citationsauthor #1
Collateralized Networks
202221 citationsauthor #2
Should Bank Stress Tests Be Fair?
20222 citationsauthor #1
Linear Classifiers Under Infinite Imbalance
20210 citationsauthor #1
Dynamic Information Regimes in Financial Markets
20204 citationsauthor #1
Choosing news topics to explain stock market returns
202016 citationsauthor #1
Swing Pricing for Mutual Funds: Breaking the Feedback Loop Between Fire Sales and Fund Redemptions
202038 citationsauthor #2
Submodular Risk Allocation
20195 citationsauthor #2
Tail Risk Monotonicity Under Temporal Aggregation in GARCH(1,1) Models
20190 citationsauthor #1
Time Variation in the News–Returns Relationship
20197 citationsauthor #1
Estimating a covariance matrix for market risk management and the case of credit default swaps
20184 citationsauthor #2
SIMULATION OF BIPARTITE OR DIRECTED GRAPHS WITH PRESCRIBED DEGREE SEQUENCES USING MAXIMUM ENTROPY PROBABILITIES
20182 citationsauthor #1
Does Unusual News Forecast Market Stress?
201858 citationsauthor #1
Internet Appendix for : Investor Information Choice with Macro and Micro Information
201814 citationsauthor #1
BOUNDING WRONG‐WAY RISK IN CVA CALCULATION
201837 citationsauthor #1
Buy rough, sell smooth
201815 citationsauthor #1
Persistence and Procyclicality in Margin Requirements
201835 citationsauthor #1
Can Swing Pricing Prevent Mutual Fund Runs and Fire Sales ?
20180 citationsauthor #2
Market Efficiency with Micro and Macro Information
20172 citationsauthor #1
The Effect of 'Regular and Predictable' Issuance on Treasury Bill Financing
20171 citationsauthor #1
Does OTC Derivatives Reform Incentivize Central Clearing
201765 citationsauthor #2
The Unconvertible CoCo Bonds
201716 citationsauthor #1
Preface to the Special Issue on Systemic Risk: Models and Mechanisms
20162 citationsauthor #3
What Can We Learn from Publicly Available Data in Banks' Living Wills?
20166 citationsauthor #2
Contagion in Financial Networks
201641 citationsauthor #1
The Correlation Structure of Credit Default Swaps
20161 citationsauthor #2
Are the Federal Reserve’s Stress Test Results Predictable?
201629 citationsauthor #1
The Market-Implied Probability of European Government Intervention in Distressed Banks
201621 citationsauthor #2
Market‐Triggered Changes in Capital Structure: Equilibrium Price Dynamics
201643 citationsauthor #1
Hidden Illiquidity with Multiple Central Counterparties
201647 citationsauthor #1
Bounding Wrong-Way Risk in Measuring Counterparty Risk
20157 citationsauthor #1
Are the Fed's Stress Test Results Predictable?
201511 citationsauthor #1
Systemic Importance Indicators for 33 U.S. Bank Holding Companies: An Overview of Recent Data
201523 citationsauthor #2
A Comparison of U.S. and International Global Systemically Important Banks
20159 citationsauthor #1
Importance sampling techniques for the multidimensional ruin problem for general Markov additive sequences of random vectors
20150 citationsauthor #4
Contingent Capital, Tail Risk, and Debt-Induced Collapse
201565 citationsauthor #2
Stress scenario selection by empirical likelihood
201565 citationsauthor #1
Process Systems Engineering as a Modeling Paradigm for Analyzing Systemic Risk in Financial Networks
201513 citationsauthor #2
Contagion in Financial Markets
20151 citationsauthor #1
Robust risk measurement and model risk
2014206 citationsauthor #1
OR Forum - Design of Risk Weights
201417 citationsauthor #1
CoCos, Bail-In, and Tail Risk
201344 citationsauthor #2
Robust Portfolio Control with Stochastic Factor Dynamics
201376 citationsauthor #1
Stress tests to promote financial stability: Assessing progress and looking to the future
201345 citationsauthor #5
Adjoints and Averaging
20131 citationsauthor #1
Working Paper # 0009 June 21 , 2013 How Likely is Contagion in Financial Networks ?
2013219 citationsauthor #1
Department of Economics Discussion Paper Series How Likely Is Contagion in Financial Networks? How Likely Is Contagion in Financial Networks?
2013393 citationsauthor #1
Design of Risk Weights
201317 citationsauthor #1
Quadratic Transform Approximation for CDO Pricing in Multifactor Models
20127 citationsauthor #1
Contingent Capital with a Capital-Ratio Trigger
2012176 citationsauthor #1
Financial engineering at Columbia University
20121 citationsauthor #3
Forging Best Practices in Risk Management
20126 citationsauthor #2
Portfolio Rebalancing Error with Jumps and Mean Reversion in Asset Prices
20112 citationsauthor #1
Gamma expansion of the Heston stochastic volatility model
2011103 citationsauthor #1
Forward and Future Implied Volatility
201126 citationsauthor #1
Estimating Greeks in simulating Lévy-driven models
201019 citationsauthor #1
Exact Simulation of Point Processes With Stochastic Intensities
201036 citationsauthor #4
Importance sampling for tail risk in discretely rebalanced portfolios
20102 citationsauthor #1
Contingent capital with discrete conversion from debt to equity
20101 citationsauthor #1
MOMENT EXPLOSIONS AND STATIONARY DISTRIBUTIONS IN AFFINE DIFFUSION MODELS
201057 citationsauthor #1
Federal Reserve Bank of New York Staff Reports Pricing the Term Structure with Linear Regressions Pricing the Term Structure with Linear Regressions
20100 citationsauthor #7
Sensitivity Estimates for Compound Sums
20091 citationsauthor #1
Saddlepoint approximations for affine jump-diffusion models
200932 citationsauthor #1
Federal Reserve Bank of New York Staff Reports Valuing the Treasury's Capital Assistance Program Valuing the Treasury's Capital Assistance Program
200941 citationsauthor #1
RISK HORIZON AND REBALANCING HORIZON IN PORTFOLIO RISK MEASUREMENT
200912 citationsauthor #1
Federal Reserve Bank of New York
20090 citationsauthor #6
Sensitivity estimates for portfolio credit derivatives using Monte Carlo
200816 citationsauthor #2
Beta approximations for bridge sampling
20083 citationsauthor #1
Uniformly Efficient Importance Sampling for the Tail Distribution of Sums of Random Variables
200824 citationsauthor #1
Fast Simulation of Multifactor Portfolio Credit Risk
200889 citationsauthor #1
Fast Pricing of Basket Default Swaps
200847 citationsauthor #2
Saddlepoint Approximations for A-ne Jump-Difiusion Models
20081 citationsauthor #1
Correlation expansions for CDO pricing
20074 citationsauthor #1
Approximations and control variates for pricing portfolio credit derivatives
20071 citationsauthor #2
Recent advances in simulation for security pricing (1995)
20070 citationsauthor #3
Sensitivity estimates from characteristic functions
200756 citationsauthor #1
LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK
200777 citationsauthor #1
Malliavin Greeks without Malliavin calculus
200780 citationsauthor #2
Additive and multiplicative duals for American option pricing
200724 citationsauthor #2
Perwez Shahabuddin, 1962--2005: A professional appreciation
20071 citationsauthor #2
Chapter 10 Calculating Portfolio Credit Risk
20073 citationsauthor #1
Importance Sampling and Stratiication for Value-at-risk Importance Sampling and Stratiication for Value-at-risk
20070 citationsauthor #1
A Conversation with Chris Heyde
20067 citationsauthor #1
Computing the credit loss distribution in the Gaussian copula model: a comparison of methods
200627 citationsauthor #1

TIMELINE

1987 1 citations

1988 71 citations

1989 13 citations

1990 761 citations

1991 181 citations

1992 372 citations

1993 81 citations

1994 333 citations

1995 612 citations

1996 748 citations

1997 2,356 citations

1998 425 citations

1999 935 citations

2000 602 citations

2001 238 citations

2002 302 citations

2003 3,874 citations

2004 753 citations

2005 556 citations

2006 34 citations

2007 246 citations

2008 180 citations

2009 86 citations

2010 115 citations

2011 131 citations

2012 190 citations

2013 795 citations

2014 223 citations

2015 194 citations

2016 190 citations

2017 84 citations

2018 165 citations

2019 12 citations

2020 58 citations

2021 0 citations

2022 30 citations

2023 43 citations

2024 3 citations

2025 1 citations

2026 0 citations

Unknown 2 citations

P. Glasserman

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