Paul Glasserman

Paul Glasserman (* 1962 ) is an American mathematician specializing in statistics , stochastics and financial mathematics and specializing in Monte Carlo methods , price valuation of derivatives .

Glasserman earned a Bachelor of Arts degree from Princeton University in 1984 . He received his Ph.D. from Harvard in 1988 . He then worked first at Bell Laboratories . Since 1991 he has held a chair at Columbia University's Columbia Business School .

Glasserman's publication includes the famous book Monte Carlo Methods in Financial Engineering , which won the Lanchester Prize in 2006 and the I-Sim Outstanding Publication Award in 2005 .

Glasserman received the National Young Investigator Award from the National Science Foundation from 1994 to 1999 , the IBM University Partnership Award from 1998 to 2001 , the TIMS Outstanding Simulation Publication Award in 1992 and the Erlang Prize in 1996 and the IMS Medallion from the Institute in 2006 of Mathematical Statistics . He has also been a member of the FDIC Center for Financial Research since 2004 . He has 2004 Wilmott Award for Cutting-Edge Research in Quantitative Finance and the 2007 Quant of the Year Award of the Risk Magazine . He was appointed an INFORMS Fellow in 2008. In 1994 and 2000 he received the Dean's Award for Teaching Excellence .

Glasserman is co-editor of Finance & Stochastics , Mathematical Finance , Journal of Computational Finance, and 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 .

Works

• Monte Carlo Methods in Financial Engineering (Stochastic Modeling and Applied Probability), Hardcover, 602 pages, English, Springer 2003, ISBN 978-0387004518
• Hedging With Trees Advances in Pricing and Risk Managing Derivatives, Mark Broadie and Paul Glasserman, Paperback, 1998, 262 pages, ISBN 978-1899332021
• Gradient Estimation Via Perturbation Analysis, The Springer International Series in Engineering and Computer Science, Paul Glasserman, Hardcover, 1990, 244 pages, ISBN 978-0792390954