Paul Glasserman

Jack R. Anderson Professor of Business

Decision, Risk and Operations

Senior Vice Dean

Dean’s Office

AB, Princeton, 1984; PhD, Harvard, 1988

Joined CBS in 1991

Paul Glasserman

Office
403 Uris

Phone
212-854-4102

E-mail
pg20@columbia.edu

Fax
212-316-9180

Teaching and research interest

Professor Glasserman’s research and teaching address risk management, the pricing of derivative securities, Monte Carlo simulation, statistics and operations. Prior to joining Columbia, Glasserman was with Bell Laboratories; he has also been a visiting professor at Princeton University. His research has been funded by grants from the National Science Foundation, IBM, Goldman Sachs, Moody’s Corp. and the Electric Power Research Institute.

Glasserman was named a Fellow of the FDIC Center for Financial Research in 2004, and he received the 2004 Wilmott Award for Cutting-Edge Research in Quantitative Finance. He is a past recipient of the National Young Investigator Award from the NSF (1994–99), University Partnership Awards from IBM (1998–2001), the TIMS Outstanding Simulation Publication Award (1992), the Erlang Prize in applied probability (1996) and U.S. Patent 6,381,586. He is also a two-time recipient of the Dean’s Award for Teaching Excellence (1994, 2000).

Glasserman is author of the book Monte Carlo Methods in Financial Engineering (Springer, 2004), which received the 2005 Outstanding Simulation Publication Award from INFORMS. He serves as departmental editor of Management Science and associate editor of Finance & Stochastics, Mathematical Finance, the Annals of Applied Probability and the Journal of Computational Finance.

Glasserman is a member of the Education and Standards Committee of PRMIA, the Professional Risk Managers International Association. He has also served as a consultant to industrial corporations, management consulting firms and financial firms.

Chapters

Convergence of a Discretization Scheme for Jump-Diffusion Processes with State-Dependent Intensities In Stochastic Analysis with Applications to Mathematical Finance (2004) Coauthor(s): Paul Glasserman, N. Merener

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Importance Sampling for a Mixed Poisson Model of Portfolio Credit Risk In Proceedings of the Winter Simulation Conference 2003 (2003) Coauthor(s): Paul Glasserman, Jingyi Li

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Simulation for American Options: Regression Now or Regression Later? In Monte Carlo and Quasi-Monte Carlo Methods 2002 (2002) Coauthor(s): Paul Glasserman, Bin Yu

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Efficient Monte Carlo Methods for Value-at-Risk In Mastering Risk (2001) Coauthor(s): Paul Glasserman, Peter Heidelberger, Perwez Shahabuddin

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Importance Sampling and Stratification for Value-at-Risk In Computational Finance (2000) Coauthor(s): Paul Glasserman, Peter Heidelberger, Perwez Shahabuddin

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Stratification Issues in Estimating Value-at-Risk In Proceedings of the 1999 Winter Simulation Conference (1999) Coauthor(s): Paul Glasserman, Peter Heidelberger, Perwez Shahabuddin

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Journal articles

A Stochastic Mesh Method for Pricing High-Dimensional American Options In Journal of Computational Finance (2004) Coauthor(s): Mark Broadie, Paul Glasserman

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Number of Paths Versus Number of Basis Functions in American Option Pricing In Annals of Applied Probability (2004) Coauthor(s): Paul Glasserman, Bin Yu

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The Term Structure of Simple Forward Rates with Jump Risk In Mathematical Finance (2003) Coauthor(s): Paul Glasserman, S.G. Kou

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Cap and Swaption Approximations in LIBOR Market Models with Jumps In Journal of Computational Finance (2003) Coauthor(s): Paul Glasserman

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Numerical Solution of Jump-Diffusion LIBOR Market Models In Finance and Stochastics (2003) Coauthor(s): Paul Glasserman, N. Merener

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Portfolio Value-at-Risk with Heavy-Tailed Risk Factors In Mathematical Finance (2002) Coauthor(s): Paul Glasserman, Peter Heidelberger, Perwez Shahabuddin

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Variance Reduction Techniques for Estimating Value-at-Risk In Management Science (2000) Coauthor(s): Paul Glasserman, Peter Heidelberger, Perwez Shahabuddin

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Connecting Discrete and Continuous Path-Dependent Options In Finance and Stochastics (1999) Coauthor(s): Mark Broadie, Paul Glasserman, S.G. Kou

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A Continuity Correction for Discrete Barrier Options In Mathematical Finance (1997) Coauthor(s): Mark Broadie, Paul Glasserman, S.G. Kou

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Monte Carlo Methods for Security Pricing In Journal of Economic Dynamics and Control (1997) Coauthor(s): Phelim Boyle, Mark Broadie, Paul Glasserman

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Pricing American-Style Securities Using Simulation In Journal of Economic Dynamics and Control (1997) Coauthor(s): Mark Broadie, Paul Glasserman

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Estimating Security Price Derivatives Using Simulation In Management Science (1996) Coauthor(s): Mark Broadie, Paul Glasserman

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Books

Monte Carlo Methods in Financial Engineering In (2005) Coauthor(s): Paul Glasserman

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Working Papers

Tail Approximations for Portfolio Credit Risk In (2004) Coauthor(s): Paul Glasserman

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Measuring Marginal Risk Contributions in Credit Portfolios In Working paper no. 2005-01 (2004) Coauthor(s): Paul Glasserman

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Importance Sampling for Portfolio Credit Risk In (2003) Coauthor(s): Paul Glasserman, Jingyi Li

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Large Sample Properties of Weighted Monte Carlo Estimators In (2003) Coauthor(s): Paul Glasserman, Bin Yu

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