Paul Glasserman

Jack R. Anderson Professor of Business

Decision, Risk, and Operations

Research Director

Program for Financial Studies

AB, Princeton, 1984; PhD, Harvard, 1988

Joined CBS in 1991

Download Curriculum Vitae (PDF)

Paul Glasserman

Office
403 Uris

Phone
212-854-4102

E-mail
pg20@columbia.edu

Fax
212-662-8474

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 held visiting positions at Princeton University, NYU, and the Federal Reserve Bank of New York. In 2011-2012, he was on leave from Columbia and working at the Office of Financial Research in the U.S. Treasury Department.


Glasserman's publications include the book Monte Carlo Methods in Financial Engineering (Springer, 2004), which received the 2006 Lanchester Prize and the 2005 I-Sim Outstanding Publication Award. Glasserman is a past recipient of the National Young Investigator Award from the National Science Foundation (1994 - 99), IBM University Partnership Awards (1998 - 2001), the TIMS Outstanding Simulation Publication Award (1992), the Erlang Prize (1996), the IMS Medallion from the Institute of Mathematical Statistics (2006), and a fellowship from the FDIC Center for Financial Research (2004). He received the 2004 Wilmott Award for Cutting-Edge Research in Quantitative Finance and Risk Magazine's 2007 Quant of the Year Award, and he received a U.S. patent for an option pricing method. He was named an INFORMS Fellow in 2008. He is also a two-time recipient of the Dean's Award for Teaching Excellence (1994, 2000).


Glasserman serves on the editorial boards of Finance & Stochastics, Mathematical Finance, the Journal of Derivatives, Stochastic Systems, and the SIAM Journal on Financial Mathematics. He chairs the Education Committee of PRMIA, the Professional Risk Managers International Association.


Glasserman was senior vice dean of Columbia Business School in 2004-2008 and served as interim director of the Sanford C. Bernstein & Co. Center for Leadership and Ethics in 2005-2007. He currently serves as research director of the Program for Financial Studies.

Chapters

Contingent Capital With Discrete Conversion From Debt to Equity In Proceedings of the 2010 Winter Simulation Conference (2010)
Author(s): Paul Glasserman, Behzad Nouri

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Importance Sampling for Tail Risk in Discretely Rebalanced Portfolios In Proceedings of the 2010 Winter Simulation Conference (2010)
Author(s): Paul Glasserman, Xingbo Xu

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Journal articles

Risk Horizon and Rebalancing Horizon in Portfolio Risk Measurement In Mathematical Finance (2012)
Author(s): Paul Glasserman

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Forward and Future Implied Volatility In International Journal of Theoretical and Applied Finance (2011)
Author(s): Paul Glasserman, Qi Wu

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Portfolio Rebalancing Error with Jumps and Mean Reversion in Asset Prices In Stochastic Systems (2011)
Author(s): Paul Glasserman, Xingbo Xu

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CaseWorks

NYC’s Gifted & Talented Qualifying Exam: Querying the Stats Behind the Scoring : Fall 2013
Author(s): Paul Glasserman

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Does Detailing Pay?: Fall 2009
Author(s): Natalie Mizik, Paul Glasserman

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Introduction to Expected Value Options on the S&P 500 Index: Fall 2010
Author(s): Paul Glasserman

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The Law360 Survey: Spring 2009
Author(s): Paul Glasserman

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Statistical Assessment of a Conflict of Interest: Spring 2009
Author(s): Paul Glasserman

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Analyzing the Analysts: Fall 2008
Author(s): Paul Glasserman, Costis Maglaras

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Working Papers

Contingent Capital with a Capital-Ratio Trigger Working Paper (2010)
Author(s): Paul Glasserman, Behzad Nouri

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