… that is both flexible and tractable (Glasserman and Young 2015). In particular, … p) is monotone
increasing in p (Elsinger 2009). To close the model, we need to find a vector of payments p …

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

… But we are in fact free to generate ST consistent with any other drift p, provided we weight
the result with a likelihood ratio. For emphasis, we subscript the expectation operator with the …

Simulation has proved to be a valuable tool for estimating security prices for which simple
closed form solutions do not exist. In this paper we present two direct methods, a pathwise …

… The existence of the required matrix C is the same here as in the normal case (Glasserman
et … In the specific case that the distribution of X under P is multivariate tm (ie, the P-distribution …

… We assumed that Zt(0,-) is a function on a space (N, F, P); one might well ask which function
on which space. Ordinarily it does not matter. So long as the functions {Zt(0), t≥ 0,0 € } …

… The technique described in this paper builds on the methods of Glasserman et al. (1999a,
c)… optimize estimation of P{L¿x}, it is simultaneously asymptotically optimal for estimating P{L¿y…

… We claim that p ′ is in fact the only solution to (3). Suppose by way of contradiction that
there is another clearing vector, say p ″ ≠ p ′ . As shown by Eisenberg and Noe, the equity …

… Broadie and Glasserman (1995) investigate other … lX]] for the p-norm (ElXlp)l’p of X, the
value of p depending on the context. The notation ]]Xl]s, indicates the conditional norm (E[]X]P]S,]) …

… the same spirit as the interval estimates in Broadie and Glasserman (1997) and in this paper.
Glasserman (2004, pp. 477–8), … Suppose that we have an easily computed lower bound P …