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.