Fall 2007
B9801-001: (PhD) Monte Carlo Methods in Financial Engineering
MW Full Term, 10:45AM to 12:15PM
Instructor: paul glasserman
Course Catalog
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Jack R. Anderson Professor of Business
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 and NYU.
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 Outsanding 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. 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 Computational Finance, and the SIAM Journal on Financial Mathematics. He is a member of the Education and Standards Committee of PRMIA, the Professional Risk Managers International Association, and also serves on its Academic Advisory Council.
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.