Philip Heidelberger

IBM Research Division

Route 134

Kitchawan Road

Yorktown Heights, NY 10598

United States

SCHOLARLY PAPERS

2

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42

CITATIONS
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30

Scholarly Papers (2)

1.

Portfolio Value-at-Risk with Heavy-Tailed Risk Factors

Mathematical Finance, Vol. 12, pp. 239-269, 2002
Number of pages: 31 Posted: 16 Jan 2003
Paul Glasserman, Philip Heidelberger and Perwez Shahabuddin
Columbia Business School, IBM Research Division and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
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Abstract:

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2.

Variance Reduction Techniques for Simulating Value-at-Risk

Posted: 23 Nov 1999
Paul Glasserman, Philip Heidelberger and Perwez Shahabuddin
Columbia Business School, IBM Research Division and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)

Abstract:

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