… "Paul Glasserman has written an astonishingly good book that bridges financial …
Glasserman's is a must-have book for financial engineers." -Glyn Holton, Contingency …

The Monte Carlo approach has proved to be a valuable and flexible computational tool in
modern finance. This paper discusses some of the recent applications of the Monte Carlo …

Interconnections among financial institutions create potential channels for contagion and
amplification of shocks to the financial system. We estimate the extent to which …

The recent financial crisis has prompted much new research on the interconnectedness of the
modern financial system and the extent to which it contributes to systemic fragility. Network …

Monte Carlo simulation is widely used to measure the credit risk in portfolios of loans, corporate
bonds, and other instruments subject to possible default. The accurate measurement of …

This paper describes, analyzes and evaluates an algorithm for estimating portfolio loss
probabilities using Monte Carlo simulation.Obtaining accurate estimates of such loss …

This paper develops efficient methods for computing portfolio value‐at‐risk (VAR) when the
underlying risk factors have a heavy‐tailed distribution. In modeling heavy tails, we focus on …

We develop a simulation algorithm for estimating the prices of American-style securities, ie,
securities with opportunities for early exercise. Our algorithm provides both point estimates …

… Glasserman that the foundation of infinitesimal perturbation analysis (IPA) was established.
This particular book by Paul Glasserman … in collaboration with Glasserman is also included. …

The payoff of a barrier option depends on whether or not a specified asset price, index, or
rate reaches a specified level during the life of the option. Most models for pricing barrier …