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Paul Glasserman

Affiliations: 
Applied Mathematics Columbia University, New York, NY 
Area:
Finance
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"Paul Glasserman"
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Parents

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Yu-Chi Ho grad student 1988 Harvard
 (Equivalence Methods in the Perturbation Analysis of Queueing Networks)

Children

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Yashan Wang grad student 1998 Columbia (E-Tree)
Jeremy C. Staum grad student 2001 Columbia
Nicolas Merener grad student 2002 Columbia
Sira Suchintabandid grad student 2007 Columbia
Kyoung-Kuk Kim grad student 2008 Columbia
Zongjian Liu grad student 2008 Columbia
Behzad Nouri grad student 2012 Columbia
Xingbo Xu grad student 2013 Columbia

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Publications

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Capponi A, Glasserman P, Weber MH. (2020) Swing Pricing for Mutual Funds: Breaking the Feedback Loop between Fire Sales and Fund Redemptions Management Science. 66: 3581-3602
Glasserman P, He P. (2020) Buy rough, sell smooth Quantitative Finance. 20: 363-378
Glasserman P, Mamaysky H. (2019) Does Unusual News Forecast Market Stress Journal of Financial and Quantitative Analysis. 54: 1937-1974
Neuberg R, Glasserman P. (2019) Estimating a Covariance Matrix for Market Risk Management and the Case of Credit Default Swaps Quantitative Finance. 19: 77-92
Glasserman P, Yang L. (2018) Bounding Wrong-Way Risk in CVA Calculation Mathematical Finance. 28: 268-305
Glasserman P, Wu Q. (2018) Persistence and Procyclicality in Margin Requirements Management Science. 64: 5705-5724
Chen N, Glasserman P, Nouri B, et al. (2017) Contingent Capital, Tail Risk, and Debt-Induced Collapse Review of Financial Studies. 30: 3921-3969
Ghamami S, Glasserman P. (2017) Does OTC Derivatives Reform Incentivize Central Clearing Journal of Financial Intermediation. 32: 76-87
Glasserman P, Nouri B. (2016) Market‐Triggered Changes in Capital Structure: Equilibrium Price Dynamics Econometrica. 84: 2113-2153
Glasserman P, Moallemi CC, Yuan K. (2016) Hidden Illiquidity with Multiple Central Counterparties Operations Research. 64: 1143-1158
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