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1

A Continuity Correction for Discrete Barrier Options

Mark Broadie, Paul Glasserman, Steven Kou

Journal:

Mathematical Finance

Year:

1997

Language:

english

File:

PDF, 210 KB

english, 1997

2

Option Pricing: Valuation Models and Applications

Mark Broadie and Jerome B. Detemple

Journal:

Management Science

Year:

2004

Language:

english

File:

PDF, 1.77 MB

english, 2004

3

American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods

Mark Broadie and Jerome Detemple

Journal:

Review of Financial Studies

Year:

1996

Language:

english

File:

PDF, 901 KB

english, 1996

4

Monte Carlo methods for security pricing

Phelim Boyle, Mark Broadie, Paul Glasserman

Journal:

Journal of Economic Dynamics and Control

Year:

1997

Language:

english

File:

PDF, 3.38 MB

english, 1997

5

Financial engineering at Columbia University

Broadie, Mark, Derman, Emanuel, Glasserman, Paul, Kou, Steven

Journal:

Quantitative Finance

Year:

2012

Language:

english

File:

PDF, 2.34 MB

english, 2012

6

Enhanced Monte Carlo Estimates for American Option Prices

Broadie, Mark, Glasserman, Paul, Jain, Gautam

Journal:

The Journal of Derivatives

Year:

1997

Language:

english

File:

PDF, 1.09 MB

english, 1997

7

Connecting discrete and continuous path-dependent options

Mark Broadie, Paul Glasserman, S.G. Kou

Journal:

Finance and Stochastics

Year:

1999

Language:

english

File:

PDF, 236 KB

english, 1999

8

Pricing and Hedging Volatility Derivatives

Broadie, Mark, Jain, Ashish

Journal:

The Journal of Derivatives

Year:

2008

Language:

english

File:

PDF, 1.23 MB

english, 2008

9

Estimating Security Price Derivatives Using Simulation

Broadie, Mark, Glasserman, Paul

Journal:

Management Science

Year:

1996

Language:

english

File:

PDF, 1.93 MB

english, 1996

10

ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications

Broadie, Mark, Detemple, Jerome B.

Journal:

Management Science

Year:

2004

Language:

english

File:

PDF, 488 KB

english, 2004

11

Pricing American-style securities using simulation

Mark Broadie, Paul Glasserman

Journal:

Journal of Economic Dynamics and Control

Year:

1997

Language:

english

File:

PDF, 1.71 MB

english, 1997

12

Computing efficient frontiers using estimated parameters

Journal:

Annals of Operations Research

Year:

1993

Language:

english

File:

PDF, 2.19 MB

english, 1993

13

HIGH-DIMENSIONAL PORTFOLIO OPTIMIZATION WITH TRANSACTION COSTS

BROADIE, MARK, SHEN, WEIWEI

Journal:

International Journal of Theoretical and Applied Finance

Year:

2016

Language:

english

File:

PDF, 1.10 MB

english, 2016

14

Model Specification and Risk Premia: Evidence from Futures Options

MARK BROADIE, MIKHAIL CHERNOV, MICHAEL JOHANNES

Journal:

The Journal of Finance

Year:

2007

Language:

english

File:

PDF, 346 KB

english, 2007

15

An Application of Markov Chain Analysis to the Game of Squash

Mark Broadie, Dev Joneja

Journal:

Decision Sciences

Year:

1993

Language:

english

File:

PDF, 630 KB

english, 1993

16

MANAGING CORPORATE LIQUIDITY: STRATEGIES AND PRICING IMPLICATIONS

ASVANUNT, ATTAKRIT, BROADIE, MARK, SUNDARESAN, SURESH

Journal:

International Journal of Theoretical and Applied Finance

Year:

2011

Language:

english

File:

PDF, 1.06 MB

english, 2011

17

Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options

Leif Andersen and Mark Broadie

Journal:

Management Science

Year:

2004

Language:

english

File:

PDF, 1.98 MB

english, 2004

18

Assessing Golfer Performance on the PGA TOUR

Journal:

Year:

2012

Language:

english

File:

PDF, 1.87 MB

english, 2012

19

Efficient Risk Estimation via Nested Sequential Simulation

Broadie, Mark, Du, Yiping, Moallemi, Ciamac C.

Journal:

Management Science

Year:

2011

Language:

english

File:

PDF, 485 KB

english, 2011

20

Estimating Security Price Derivatives Using Simulation

Mark Broadie and Paul Glasserman

Journal:

Management Science

Year:

1996

Language:

english

File:

PDF, 2.48 MB

english, 1996

21

Multidimensional stochastic approximation

Broadie, Mark, Cicek, Deniz M., Zeevi, Assaf

Journal:

ACM Transactions on Modeling and Computer Simulation

Year:

2014

Language:

english

File:

PDF, 1.27 MB

english, 2014

22

Improved lower and upper bound algorithms for pricing American options by simulation

Broadie, Mark, Cao, Menghui

Journal:

Quantitative Finance

Year:

2008

Language:

english

File:

PDF, 259 KB

english, 2008

23

Numerical solutions to dynamic portfolio problems with upper bounds

Broadie, Mark, Shen, Weiwei

Journal:

Computational Management Science

Year:

2017

Language:

english

File:

PDF, 446 KB

english, 2017

24

Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes

Broadie, Mark, Kaya, Özgür

Journal:

Operations Research

Year:

2006

Language:

english

File:

PDF, 253 KB

english, 2006

25

General Bounds and Finite-Time Improvement for the Kiefer-Wolfowitz Stochastic Approximation Algorithm

Broadie, Mark, Cicek, Deniz, Zeevi, Assaf

Journal:

Operations Research

Year:

2011

Language:

english

File:

PDF, 421 KB

english, 2011

26

American options with stochastic dividends and volatility: A nonparametric investigation

Mark Broadie, Jérôme Detemple, Eric Ghysels, Olivier Torrés

Journal:

Journal of Econometrics

Year:

2000

Language:

english

File:

PDF, 408 KB

english, 2000

27

Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes

Mark Broadie and Özgür Kaya

Journal:

Operations Research

Year:

2006

Language:

english

File:

PDF, 2.60 MB

english, 2006

28

Risk Estimation via Regression

Broadie, Mark, Du, Yiping, Moallemi, Ciamac C.

Journal:

Operations Research

Year:

2015

Language:

english

File:

PDF, 584 KB

english, 2015

29

Understanding Index Option Returns

Mark Broadie, Mikhail Chernov and Michael Johannes

Journal:

Review of Financial Studies

Year:

2009

Language:

english

File:

PDF, 2.85 MB

english, 2009

30

The Valuation of American Options on Multiple Assets

Mark Broadie, Jérôme Detemple

Journal:

Mathematical Finance

Year:

1997

Language:

english

File:

PDF, 645 KB

english, 1997

31

A Binomial Lattice Method for Pricing Corporate Debt and Modeling Chapter 11 Proceedings

Mark Broadie and Özgür Kaya

Journal:

Journal of Financial and Quantitative Analysis

Year:

2007

Language:

english

File:

PDF, 2.37 MB

english, 2007

32

A Binomial Lattice Method for Pricing Corporate Debt and Modeling Chapter 11 Proceedings

Broadie, Mark, Kaya, Özgür

Journal:

Journal of Financial and Quantitative Analysis

Year:

2007

Language:

english

File:

PDF, 405 KB

english, 2007

33

Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options

Andersen, Leif, Broadie, Mark

Journal:

Management Science

Year:

2004

Language:

english

File:

PDF, 231 KB

english, 2004

34

[IEEE 2009 Winter Simulation Conference - (WSC 2009) - Austin, TX, USA (2009.12.13-2009.12.16)] Proceedings of the 2009 Winter Simulation Conference (WSC) - A simulation model to analyze the impact of distance and direction on golf scores

Broadie, Mark, Ko, Soonmin

Year:

2009

Language:

english

File:

PDF, 582 KB

english, 2009

35

Characterisation of an immunodominant, high molecular weight glycoprotein on the surface of infectious Neoparamoeba spp., causative agent of amoebic gill disease (AGD) in Atlantic salmon

Margarita Villavedra, Joyce To, Susan Lemke, Debra Birch, Phil Crosbie, Mark Adams, Kevin Broady, Barbara Nowak, Robert L. Raison, Michael Wallach

Journal:

Fish & Shellfish Immunology

Year:

2010

Language:

english

File:

PDF, 1.21 MB

english, 2010

36

[ACM Press the 27th conference - Arlington, Virginia, United States (1995.12.03-1995.12.06)] Proceedings of the 27th conference on Winter simulation - WSC '95 - A pruned and bootstrapped American option simulator

Broadie, Mark, Glasserman, Paul

Year:

1995

Language:

english

File:

PDF, 652 KB

english, 1995

37

Application of the Fast Gauss Transform to Option Pricing

Mark Broadie and Yusaku Yamamoto

Journal:

Management Science

Year:

2003

Language:

english

File:

PDF, 1.00 MB

english, 2003

38

Model Specification and Risk Premia: Evidence from Futures Options

Mark Broadie, Mikhail Chernov and Michael Johannes

Journal:

The Journal of Finance

Year:

2007

Language:

english

File:

PDF, 5.09 MB

english, 2007

39

LAPAROSCOPIC-ASSISTED INSERTION OF A VENTRICULOPERITONEAL SHUNT IN A RESCUED ASIATIC BLACK BEAR ( URSUS THIBETANUS ) IN LAOS

Pizzi, Romain, Cracknell, Jonathan Mark, Kitchener, Andrew C., Broadis, Nev, Laughlin, Denise, Officer, Kirsty, Pereira, Yolanda Martinez, Hunt, Matt

Journal:

Journal of Zoo and Wildlife Medicine

Year:

2017

Language:

english

File:

PDF, 154 KB

english, 2017

40

A variable rate refining triangulation

Mark N. Broadie, B. Curtis Eaves

Journal:

Mathematical Programming

Year:

1987

Language:

english

File:

PDF, 1.41 MB

english, 1987

41

THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS

BROADIE, MARK, JAIN, ASHISH

Journal:

International Journal of Theoretical and Applied Finance

Year:

2008

Language:

english

File:

PDF, 422 KB

english, 2008

42

Portfolio Management: New Models for Successful Investment Decisionsby C. Kenneth Jones

Review by: Mark Broadie

Journal:

The Journal of Finance

Year:

1994

Language:

english

File:

PDF, 214 KB

english, 1994

43

Optimal Debt and Equity Values in the Presence of Chapter 7 and Chapter 11

Mark Broadie, Mikhail Chernov and Suresh Sundaresan

Journal:

The Journal of Finance

Year:

2007

Language:

english

File:

PDF, 4.40 MB

english, 2007

44

Optimal Debt and Equity Values in the Presence of Chapter 7 and Chapter 11

MARK BROADIE, MIKHAIL CHERNOV, SURESH SUNDARESAN

Journal:

The Journal of Finance

Year:

2007

Language:

english

File:

PDF, 555 KB

english, 2007

45

Application of the Fast Gauss Transform to Option Pricing

Broadie, Mark, Yamamoto, Yusaku

Journal:

Management Science

Year:

2003

Language:

english

File:

PDF, 415 KB

english, 2003

46

Growth Options and Optimal Default Under Liquidity Constraints: The Role of Corporate Cash Balances

Asvanunt, Attakrit, Broadie, Mark, Sundaresan, Suresh M.

Journal:

SSRN Electronic Journal

Year:

2009

File:

PDF, 1.49 MB

2009

47

Nonparametric estimation of American options’ exercise boundaries and call prices

Mark Broadie, Jérôme Detemple, Eric Ghysels, Olivier Torrès

Journal:

Journal of Economic Dynamics and Control

Year:

2000

Language:

english

File:

PDF, 579 KB

english, 2000

48

[IEEE 2011 Winter Simulation Conference - (WSC 2011) - Phoenix, AZ, USA (2011.12.11-2011.12.14)] Proceedings of the 2011 Winter Simulation Conference (WSC) - Risk estimation via weighted regression

Broadie, Mark, Du, Yiping, Moallemi, Ciamac C.

Year:

2011

Language:

english

File:

PDF, 296 KB

english, 2011

49

Optimal Replication of Contingent Claims under Portfolio Constraints

Broadie, Mark, Cvitanic, Jaksa, Soner, Halil Mete

Journal:

SSRN Electronic Journal

Year:

1996

Language:

english

File:

PDF, 256 KB

english, 1996

50

Understanding Index Option Returns

Broadie, Mark, Johannes, Michael S., Chernov, Mikhail

Journal:

SSRN Electronic Journal

Year:

2007

Language:

english

File:

PDF, 357 KB

english, 2007

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