Detail

Professor Broadie currently teaches the elective courses Security Pricing: Models and Computation, Computational Finance, and Programming for Business Research. He is the Research Director for the Program for Financial Studies. His research interests include the pricing of derivative securities, risk management and, more generally, quantitative methods for decision-making under uncertainty. Broadie is the financial engineering area editor of Operations Research and serves on the editorial boards of Finance and Stochastics, SIAM Journal of Financial Mathematics and Computational Management Science and was previously editor-in-chief of the Journal of Computational Finance. Professor Broadie received two Dean's awards for teaching and has given seminars and courses for financial professionals throughout the world. He is the vice chairman of Enterprise Risk Management Institute International (ERM-II), a non-profit organization dedicated to promoting education, research and training of enterprise risk managers. He has served as a consultant for a number of financial firms.

• Spring 2013
  (PHD) Computing For Business Research (PHD)
  
• Spring 2012
  (PhD) Computing For Business Research (PHD)
  Security Pricing: Models & Computation (EMBA)
  
• Spring 2011
  (PhD) Computational Finance (PHD)
  Security Pricing: Models & Computation (EMBA)
  
• Fall 2011
  Derivatives (EMBA)
  
• Spring 2010
  Security Pricing: Models & Computation (EMBA)
  
• Fall 2010
  Options Markets (EMBA)
  
• Spring 2009
  Security Pricing: Models & Computation (EMBA)
  
• Fall 2009
  (PhD) Computing For Business Research (PHD)
  Options Markets (EMBA)
  

Early Exercise Options: Upper Bounds In Encyclopedia of Quantitative Finance (2010)
Author(s): Leif Andersen, Mark Broadie

A Simulation Model to Analyze the Impact of Distance and Direction on Golf Scores In Proceedings of the 2009 Winter Simulation Conference (2009)
Author(s): Mark Broadie, Soonmin Ko

Assessing Golfer Performance Using Golfmetrics In Science and Golf V: Proceedings of the 2008 World Scientific Congress of Golf (2008)
Author(s): Mark Broadie

Exact Simulation of Option Greeks Under Stochastic Volatility and Jump Diffusion Models In Proceedings of the 2004 Winter Simulation Conference (2004)
Author(s): Mark Broadie, O. Kaya

Monte Carlo methods for security pricing In Option Pricing, Interest Rates and Risk Management (2001)
Author(s): Phelim Boyle, Mark Broadie, Paul Glasserman

Pricing American options by simulation using a stochastic mesh with optimized weights In Probabilistic constrained optimization: Methodology and applications (2000)
Author(s): Mark Broadie, Paul Glasserman, Zachary Ha

American options on dividend-paying assets In Topology and Markets (1999)
Author(s): Mark Broadie, Jerome Detemple

A comparison of some Monte Carlo and quasi Monte Carlo techniques for option pricing In Monte Carlo and quasi-Monte Carlo methods 1996 (1998)
Author(s): Peter Acworth, Mark Broadie, Paul Glasserman

Simulation for option pricing and risk management In Risk Management and Analysis, Volume 1: Measuring and Modelling Financial Risk (1998)
Author(s): Mark Broadie, Paul Glasserman

Recent advances in numerical methods for pricing derivative securities In Numerical Methods in Finance (1997)
Author(s): Mark Broadie, Jerome Detemple

Assessing Golfer Performance on the PGA TOUR In Interfaces (2012)
Author(s): Mark Broadie

Managing Corporate Liquidity: Strategies and Pricing Implications In International Journal of Theoretical and Applied Finance (2011)
Author(s): Attakrit Asvanunt, Mark Broadie, M. Suresh Sundaresan

Efficient Risk Estimation via Nested Sequential Simulation In Management Science (2011)
Author(s): Mark Broadie, Yiping Du, Ciamac Moallemi

General Bounds and Finite-Time Improvement for the Kiefer-Wolfowitz Stochastic Approximation Algorithm In Operations Research (2011)
Author(s): Mark Broadie, Deniz Cicek, Assaf Zeevi

Understanding index option returns In Review of Financial Studies (2009)
Author(s): Mark Broadie, Mikhail Chernov, Michael Johannes

Improved lower and upper bound algorithms for pricing American options by simulation In Quantitative Finance (2008)
Author(s): Mark Broadie, Menghui Cao

The effect of jumps and discrete sampling on volatility and variance swaps In International Journal of Theoretical and Applied Finance (2008)
Author(s): Mark Broadie, Ashish Jain

Pricing and hedging volatility derivatives In The Journal of Derivatives (2008)
Author(s): Mark Broadie, Ashish Jain

A binomial lattice method for pricing corporate debt and modeling Chapter 11 proceedings In Journal of Financial and Quantitative Analysis (2007)
Author(s): Mark Broadie, O. Kaya

Model specification and risk premia: Evidence from futures options In Journal of Finance (2007)
Author(s): Mark Broadie, Mikhail Chernov, Michael Johannes

Optimal Debt and Equity Values in the Presence of Chapter 7 and Chapter 11 In Journal of Finance (2007)
Author(s): Mark Broadie, Mikhail Chernov, M. Suresh Sundaresan

Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes In Operations Research (2006)
Author(s): Mark Broadie, O. Kaya

A Double-Exponential Fast Gauss Transform for Pricing Discrete Path-Dependent Options In Operations Research (2005)
Author(s): Mark Broadie, Y. Yamamoto

Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options In Management Science (2004)
Author(s): Leif Andersen, Mark Broadie

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

Option Pricing: Valuation Models and Applications In Management Science (2004)
Author(s): Mark Broadie, Jerome Detemple

Application of the Fast Gauss Transform to Option Pricing In Management Science (2003)
Author(s): Mark Broadie, Y. Yamamoto

American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation In Journal of Econometrics (2000)
Author(s): Mark Broadie, Jerome Detemple, Eric Ghysels, O. Torres

Nonparametric Estimation of American Option Exercise Boundaries and Call Prices In Journal of Economic Dynamics and Control (2000)
Author(s): Mark Broadie, Jerome Detemple, Eric Ghysels, O. Torres

Connecting Discrete and Continuous Path-Dependent Options In Finance and Stochastics (1999)
Author(s): Mark Broadie, Paul Glasserman, Shing-Gang Kou

Optimal Replication of Contingent Claims Under Portfolio Constraints In Review of Financial Studies (1998)
Author(s): Mark Broadie, J. Cvitanic, M. Soner

A Continuity Correction for Discrete Barrier Options In Mathematical Finance (1997)
Author(s): Mark Broadie, Paul Glasserman, Shing-Gang Kou

Enhanced Monte Carlo estimates for American option prices In The Journal of Derivatives (1997)
Author(s): Mark Broadie, Paul Glasserman, Gautam Jain

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

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

The Valuation of American Options on Multiple Assets In Mathematical Finance (1997)
Author(s): Mark Broadie, Jerome Detemple

American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods In Review of Financial Studies (1996)
Author(s): Mark Broadie

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

American Capped Call Options on Dividend-Paying Assets In Review of Financial Studies (1995)
Author(s): Mark Broadie, Jerome Detemple

Computing efficient frontiers using estimated parameters In Annals of Operations Research (1993)
Author(s): Mark Broadie

An application of Markov chain analysis to the game of squash In Decision Sciences (1993)
Author(s): Mark Broadie, Dev Joneja

A variable rate refining triangulation In Mathematical programming (1987)
Author(s): Mark Broadie, B. Curtis Eaves

A theorem about antiprisms In Linear Algebra and Its Applications (1985)
Author(s): Mark Broadie

An introduction to the octahedral algorithm for the computation of economic equilibria In Mathematical Programming Studies (1985)
Author(s): Mark Broadie

A note on triangulating the 5-cube In Discrete Mathematics (1984)
Author(s): Mark Broadie, Richard Cottle

Retailer: A Retail Pricing Simulation Exercise: Spring 2011
Author(s): Garrett J. van Ryzin, Mark Broadie

Portfolio Optimization Using Linear Programming: Spring 2012
Author(s): Mark Broadie

An Introduction to Spreadsheet Optimization Using Excel: Spring 2012
Author(s): Mark Broadie

ZigZag Zippers: Funding a Long-term Capital Project: Winter 2010
Author(s): Mark Broadie

Hedging with trees: Advances in pricing and risk managing derivatives (1998)
Author(s): Mark Broadie, Paul Glasserman

Growth Options and Optimal Default under Liquidity Constraints: The Role of Corporate Cash Balances Working paper (2009)
Author(s): Attakrit Asvanunt, Mark Broadie, M. Suresh Sundaresan