Paul Glasserman

Columbia Business School

Jack R. Anderson Professor of Business

New York, NY

United States

SCHOLARLY PAPERS

55

DOWNLOADS
Rank 2,840

SSRN RANKINGS

Top 2,840

in Total Papers Downloads

22,884

SSRN CITATIONS
Rank 2,767

SSRN RANKINGS

Top 2,767

in Total Papers Citations

554

CROSSREF CITATIONS

117

Scholarly Papers (55)

1.

Buy Rough, Sell Smooth

Number of pages: 34 Posted: 03 Jan 2019 Last Revised: 09 Jan 2019
Paul Glasserman and Pu He
Columbia Business School and Columbia University - Columbia Business School
Downloads 2,762 (9,328)
Citation 3

Abstract:

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fractional Brownian motion, rough volatility, asset pricing, event risk, realized kernel, option pricing, implied and realized roughness

2.
Downloads 1,800 (18,428)
Citation 8

Forward and Future Implied Volatility

International Journal of Theoretical and Applied Finance, Vol. 14, No. 03, 2011
Number of pages: 28 Posted: 09 Jul 2010 Last Revised: 23 Jul 2011
Paul Glasserman and Qi Wu
Columbia Business School and City University of Hong Kong, School of Data Science
Downloads 1,628 (21,171)

Abstract:

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Forward Implied Volatility, Implied vol Surface, Time-dependent SABR model, FX options

Forward and Future Implied Volatility

International Journal of Theoretical and Applied Finance, Vol. 14, No. 3, pp. 407-432, 2010, Columbia Business School Research Paper No. 11-20
Number of pages: 28 Posted: 20 Oct 2011
Paul Glasserman and Qi Wu
Columbia Business School and City University of Hong Kong, School of Data Science
Downloads 172 (327,297)
Citation 3

Abstract:

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3.

Contingent Capital with a Capital-Ratio Trigger

Number of pages: 34 Posted: 01 Sep 2010
Paul Glasserman and Behzad Nouri
Columbia Business School and Columbia University
Downloads 1,268 (31,280)
Citation 33

Abstract:

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4.

Robust Risk Measurement and Model Risk

Number of pages: 49 Posted: 28 Oct 2012
Paul Glasserman and Xingbo Xu
Columbia Business School and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 976 (45,469)
Citation 11

Abstract:

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5.

Measuring Marginal Risk Contributions in Credit Portfolios

FDIC Center For Financial Research Working Paper No. 2005-01
Number of pages: 34 Posted: 01 Apr 2005
Paul Glasserman
Columbia Business School
Downloads 959 (46,563)
Citation 11

Abstract:

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Portfolio credit risk, value-at-risk, expected shortfall, Monte Carlo methods

6.

W-Shaped Implied Volatility Curves and the Gaussian Mixture Model

Number of pages: 35 Posted: 02 Nov 2021 Last Revised: 28 Jun 2022
Paul Glasserman and Dan Pirjol
Columbia Business School and Stevens Institute of Technology
Downloads 902 (50,706)
Citation 2

Abstract:

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Convexity, Risk-neutral density, Option pricing

7.

Does Unusual News Forecast Market Stress?

Columbia Business School Research Paper No. 15-70
Number of pages: 75 Posted: 19 Jul 2015 Last Revised: 20 Apr 2018
Paul Glasserman and Harry Mamaysky
Columbia Business School and Columbia University - Columbia Business School
Downloads 872 (53,096)
Citation 9

Abstract:

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asset pricing, financial news media, natural language processing, rational inattention

8.

Time Variation in the News-Returns Relationship

Columbia Business School Research Paper Forthcoming
Number of pages: 61 Posted: 17 Jul 2019 Last Revised: 02 Oct 2023
Paul Glasserman, Fulin Li and Harry Mamaysky
Columbia Business School, Texas A&M University - Mays Business School and Columbia University - Columbia Business School
Downloads 835 (56,329)
Citation 1

Abstract:

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information choice; asset pricing; price efficiency; attention

9.

Gamma Expansion of the Heston Stochastic Volatility Model

Number of pages: 31 Posted: 07 Oct 2008
Paul Glasserman and Kyoung-Kuk Kim
Columbia Business School and Korea Advanced Institute of Science and Technology
Downloads 805 (59,209)
Citation 16

Abstract:

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stochastic volatility, Bessel bridge, Monte Carlo simulation

10.

Investor Information Choice with Macro and Micro Information

Columbia Business School Research Paper No. 16-45
Number of pages: 59 Posted: 29 Jun 2016 Last Revised: 06 Apr 2022
Paul Glasserman and Harry Mamaysky
Columbia Business School and Columbia University - Columbia Business School
Downloads 757 (64,316)
Citation 8

Abstract:

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Asset Management; Investment; Information; Asset Pricing; Attention; Mutual Funds

11.

Dynamic Information Regimes in Financial Markets

Management Science
Number of pages: 48 Posted: 09 Feb 2019 Last Revised: 18 Feb 2024
Paul Glasserman, Harry Mamaysky and Yiwen Shen
Columbia Business School, Columbia University - Columbia Business School and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 650 (78,212)
Citation 2

Abstract:

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asset pricing, information choice

12.

CoCos, Bail-In, and Tail Risk

Office of Financial Research Working Paper No. 0004
Number of pages: 57 Posted: 22 Jul 2013
Nan Chen, Paul Glasserman, Behzad Nouri and Markus Pelger
The Chinese University of Hong Kong (CUHK), Columbia Business School, Columbia University and Stanford University - Department of Management Science & Engineering
Downloads 631 (81,117)
Citation 20

Abstract:

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contingent convertibles, bail-in, tail risks, rollover risk

13.

The Term Structure of Simple Forward Rates with Jump Risk

Number of pages: 37 Posted: 07 Jun 2000
Paul Glasserman and Steven Kou
Columbia Business School and Boston University
Downloads 619 (83,091)
Citation 18

Abstract:

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14.

Robust Portfolio Control with Stochastic Factor Dynamics

Number of pages: 45 Posted: 17 Nov 2011 Last Revised: 29 Oct 2012
Paul Glasserman and Xingbo Xu
Columbia Business School and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 459 (120,106)
Citation 11

Abstract:

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15.

New News is Bad News

Number of pages: 51 Posted: 04 Oct 2023
Paul Glasserman, Harry Mamaysky and Jimmy Qin
Columbia Business School, Columbia University - Columbia Business School and Columbia University - Columbia Business School
Downloads 454 (121,706)

Abstract:

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entropy; natural language processing; news articles; empirical asset pricing

16.

Design of Risk Weights

Columbia Business School Research Paper No. 13-39
Number of pages: 32 Posted: 25 May 2013
Paul Glasserman and Wanmo Kang
Columbia Business School and Korea Advanced Institute of Science and Technology (KAIST) - Department of Mathematical Science
Downloads 438 (126,957)
Citation 6

Abstract:

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Capital requirements, risk-weighted assets

17.

Choosing News Topics to Explain Stock Market Returns

ACM International Conference on AI in Finance 2020
Number of pages: 8 Posted: 19 Nov 2020 Last Revised: 14 Jun 2021
Columbia Business School, Columbia University, Citigroup, Inc. and Columbia University - Columbia Business School
Downloads 424 (131,873)

Abstract:

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text analysis, finance, supervised topic models

18.

Hidden Illiquidity with Multiple Central Counterparties

Number of pages: 32 Posted: 07 Nov 2014
Paul Glasserman, Ciamac C. Moallemi and Kai Yuan
Columbia Business School, Columbia University - Columbia Business School, Decision Risk and Operations and Columbia University - Columbia Business School, Decision Risk and Operations
Downloads 404 (139,415)
Citation 16

Abstract:

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Central clearing, swaps, systemic risk

19.

The Market-Implied Probability of Government Support for Distressed European Banks

OFR WP 16-10, Columbia Business School Research Paper No. 16-73
Number of pages: 23 Posted: 12 Oct 2016 Last Revised: 23 Dec 2019
Columbia University - Department of Statistics, Columbia Business School, Board of Governors of the Federal Reserve System and Government of the United States of America - Office of Financial Research
Downloads 372 (152,935)
Citation 9

Abstract:

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Bailout, bail-in, European Bank Resolution and Recovery Directive, credit default swaps

Does OTC Derivatives Reform Incentivize Central Clearing?

OFR WP 16-07, Columbia Business School Research Paper No. 16-59
Number of pages: 48 Posted: 25 Aug 2016
Samim Ghamami and Paul Glasserman
and Columbia Business School
Downloads 209 (274,056)
Citation 13

Abstract:

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Central Clearing, OTC Derivatives, Margin, Collateral, Capital

Does OTC Derivatives Reform Incentivize Central Clearing?

Columbia Business School Research Paper No. 16-53
Number of pages: 47 Posted: 11 Aug 2016
Samim Ghamami and Paul Glasserman
and Columbia Business School
Downloads 163 (343,093)
Citation 1

Abstract:

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Central Clearing, OTC Derivatives, Margin, Collateral, Capital

21.

Valuing the Treasury’s Capital Assistance Program

FRB of New York Staff Report No. 413
Number of pages: 43 Posted: 22 Dec 2009
Paul Glasserman and Zhenyu Wang
Columbia Business School and Indiana University, Kelley School of Business
Downloads 370 (153,844)
Citation 8

Abstract:

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financial crisis, Troubled Asset Relief Program

22.

Contagion in Financial Networks

Office of Financial Research Working Paper No. 15-21
Number of pages: 76 Posted: 29 Oct 2015
Paul Glasserman and Peyton Young
Columbia Business School and Government of the United States of America - Office of Financial Research
Downloads 363 (157,147)
Citation 132

Abstract:

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23.

Estimating a Covariance Matrix for Market Risk Management and the Case of Credit Default Swaps

Columbia Business School Research Paper No. 16-39
Number of pages: 29 Posted: 21 May 2016 Last Revised: 13 Mar 2018
Richard Neuberg and Paul Glasserman
Columbia University - Department of Statistics and Columbia Business School
Downloads 355 (161,031)
Citation 1

Abstract:

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Portfolio risk, correlation matrices, matrix loss functions, margin requirements

24.

Contingent Capital, Tail Risk, and Debt-Induced Collapse

Columbia Business School Research Paper No. 13-90
Number of pages: 49 Posted: 29 Nov 2013 Last Revised: 18 Jun 2015
Nan Chen, Paul Glasserman, Behzad Nouri and Markus Pelger
The Chinese University of Hong Kong (CUHK), Columbia Business School, Columbia University and Stanford University - Department of Management Science & Engineering
Downloads 353 (162,022)
Citation 8

Abstract:

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Contingent convertible debt, bail-in debt, capital structure, too big to fail

25.

Bounding Wrong-Way Risk in CVA Calculation

Columbia Business School Research Paper No. 15-59
Number of pages: 44 Posted: 19 May 2015
Paul Glasserman and Linan Yang
Columbia Business School and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 350 (163,497)
Citation 3

Abstract:

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credit valuation adjustment, counterparty credit risk, robustness

26.

Risk Horizon and Rebalancing Horizon in Portfolio Risk Measurement

Number of pages: 36 Posted: 30 Apr 2009 Last Revised: 17 Jul 2011
Paul Glasserman
Columbia Business School
Downloads 325 (177,064)
Citation 3

Abstract:

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risk management, portfolio risk, liquidity

27.

Stress Testing Spillover Risk in Mutual Funds

Number of pages: 54 Posted: 21 Nov 2022 Last Revised: 24 Mar 2024
Agostino Capponi, Paul Glasserman and Marko Weber
Columbia University - Department of Industrial Engineering and Operations Research, Columbia Business School and National University of Singapore (NUS) - Department of Mathematics
Downloads 324 (177,677)
Citation 1

Abstract:

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mutual funds, liquidity mismatch, fire-sale externalities, first-mover incentive, systemic risk

28.
Downloads 311 (185,364)
Citation 10

Collateralized Networks

Number of pages: 48 Posted: 01 May 2020
Samim Ghamami, Paul Glasserman and Peyton Young
, Columbia Business School and Government of the United States of America - Office of Financial Research
Downloads 195 (292,081)
Citation 2

Abstract:

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Contagion, OTC Markets, Financial Regulation, Network, Fire Sales, Collateral, Automatic Stays for Qualified Financial Contracts

Collateralized Networks

Number of pages: 44 Posted: 20 Jun 2019
Samim Ghamami, Paul Glasserman and Peyton Young
, Columbia Business School and Government of the United States of America - Office of Financial Research
Downloads 116 (450,871)

Abstract:

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contagion, OTC markets, financial regulation, network, fire sales, collateral, automatic stays for qualified financial contracts

29.

Stress Scenario Selection by Empirical Likelihood

Number of pages: 38 Posted: 06 Jul 2012 Last Revised: 31 Jul 2015
Paul Glasserman, Chulmin Kang and Wanmo Kang
Columbia Business School, Korea Advanced Institute of Science and Technology (KAIST) and Korea Advanced Institute of Science and Technology (KAIST)
Downloads 281 (206,134)
Citation 22

Abstract:

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30.

Stress Tests to Promote Financial Stability: Assessing Progress and Looking to the Future

Journal of Risk Management in Financial Institutions, 7(1), 16-25 (2014 Forthcoming). , Office of Financial Research Working Paper #0010
Number of pages: 14 Posted: 19 May 2014
Fabric RQ, Texas A&M University, Yale University - Yale Program on Financial Stability, R. H. Smith School of Business, U. of Maryland and Columbia Business School
Downloads 279 (207,617)
Citation 3

Abstract:

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stress testing, banking supervision, risk management

31.

Swing Pricing for Mutual Funds: Breaking the Feedback Loop between Fire Sales and Fund Redemptions

Office of Financial Research Research Paper No. 18-04, Columbia Business School Research Paper No. 18-72, Management Science, Forthcoming
Number of pages: 47 Posted: 10 Sep 2018 Last Revised: 20 Nov 2019
Agostino Capponi, Paul Glasserman and Marko Weber
Columbia University - Department of Industrial Engineering and Operations Research, Columbia Business School and National University of Singapore (NUS) - Department of Mathematics
Downloads 266 (217,898)
Citation 4

Abstract:

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mutual funds, first-mover advantage, swing price, fire sales, financial stability

32.
Downloads 258 (224,637)

Swing Pricing: Theory and Evidence

Annual Review of Financial Economics, Vol. 15, pp. 617-640, 2023
Posted: 07 Nov 2023
Agostino Capponi, Paul Glasserman and Marko Weber
Columbia University - Department of Industrial Engineering and Operations Research, Columbia Business School and National University of Singapore (NUS) - Department of Mathematics

Abstract:

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Swing Pricing: Theory and Evidence

Forthcoming in the Annual Review of Financial Economics
Number of pages: 29 Posted: 27 Dec 2022 Last Revised: 28 Mar 2023
Agostino Capponi, Paul Glasserman and Marko Weber
Columbia University - Department of Industrial Engineering and Operations Research, Columbia Business School and National University of Singapore (NUS) - Department of Mathematics
Downloads 258 (223,429)

Abstract:

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mutual funds, liquidity transformation, fire sales, liquidity management

33.

Are the Fed's Stress Test Results Predictable?

Columbia Business School Research Paper No. 15-23
Number of pages: 20 Posted: 18 Feb 2015
Paul Glasserman and Gowtham Tangirala
Columbia Business School and Columbia Business School
Downloads 258 (224,637)
Citation 3

Abstract:

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Bank capital, regulation, stress testing

34.

Persistence and Procyclicality in Margin Requirements

OFR WP 17-01, Columbia Business School Research Paper No. 17-34
Number of pages: 41 Posted: 21 Mar 2017
Paul Glasserman and Qi Wu
Columbia Business School and City University of Hong Kong, School of Data Science
Downloads 235 (246,250)
Citation 20

Abstract:

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central counterparties, risk-sensitive margin requirements, procyclicality

35.

Submodular Risk Allocation

Columbia Business School Research Paper No. 17-79
Number of pages: 39 Posted: 03 Aug 2017
Samim Ghamami and Paul Glasserman
and Columbia Business School
Downloads 233 (248,231)
Citation 3

Abstract:

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OTC Derivatives Market, Central Clearing, Collateral, Capital, Submodularity, Optimization

36.

How Likely Is Contagion in Financial Networks?

Office of Financial Research Working Paper No. 0009, Columbia Business School Research Paper No. 15-74
Number of pages: 37 Posted: 22 Aug 2015
Paul Glasserman and H. Peyton Young
Columbia Business School and Brookings Institution
Downloads 220 (262,233)
Citation 92

Abstract:

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systemic risk, contagion, financial network

37.

Linear Classifiers Under Infinite Imbalance

Columbia Business School Research Paper
Number of pages: 53 Posted: 11 Jun 2021 Last Revised: 12 May 2023
Paul Glasserman and Mike Li
Columbia Business School and Columbia University - Columbia Business School
Downloads 206 (278,682)

Abstract:

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classification, statistics, data imbalance, credit risk

38.

Forging Best Practices in Risk Management

OFR 12-02
Number of pages: 73 Posted: 07 Aug 2015
University of Florida - Department of Finance, Insurance and Real Estate, Columbia Business School, New York University (NYU) - Courant Institute of Mathematical Sciences and University of Maryland
Downloads 203 (282,416)
Citation 4

Abstract:

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39.

Total Positivity and Relative Convexity of Option Prices

to appear in Frontiers in Mathematical Finance, special issue dedicated to the Peter Carr Gedenkschrift Conference, Nov. 12-13, 2022.
Number of pages: 38 Posted: 13 Dec 2022
Paul Glasserman and Dan Pirjol
Columbia Business School and Stevens Institute of Technology
Downloads 178 (317,825)

Abstract:

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Option pricing, convexity, risk-neutral pricing

40.

Bounding Wrong-Way Risk in Measuring Counterparty Risk

Office of Financial Research Working Paper No. 15-16, Columbia Business School Research Paper No. 15-76
Number of pages: 16 Posted: 22 Aug 2015
Paul Glasserman and Linan Yang
Columbia Business School and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 176 (321,046)
Citation 3

Abstract:

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credit valuation adjustment, counterparty credit risk, wrong-way risk, iterative

41.

Should Bank Stress Tests Be Fair?

Number of pages: 63 Posted: 20 Jul 2022 Last Revised: 13 Feb 2024
Paul Glasserman and Mike Li
Columbia Business School and Columbia University - Columbia Business School
Downloads 172 (327,592)

Abstract:

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Finance, Bank Stress Tests, Econometrics, Fairness, Risk Management

42.

Tail Risk Monotonicity Under Temporal Aggregation in GARCH(1,1) Models

Number of pages: 26 Posted: 03 Jan 2020 Last Revised: 29 May 2024
Paul Glasserman, Dan Pirjol and Qi Wu
Columbia Business School, Stevens Institute of Technology and City University of Hong Kong, School of Data Science
Downloads 152 (363,811)

Abstract:

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GARCH, Tail Risk

43.

Portfolio Rebalancing Error with Jumps and Mean Reversion in Asset Prices

Stochastic Systems, Vol. 1, pp. 1-37, 2011 , Columbia Business School Research Paper No. 11-21
Number of pages: 37 Posted: 20 Oct 2011
Paul Glasserman and Xingbo Xu
Columbia Business School and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 133 (404,633)

Abstract:

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44.

The Effect of 'Regular and Predictable' Issuance on Treasury Bill Financing

Economic Policy Review, Issue 23-1, pp. 43-56, 2017
Number of pages: 14 Posted: 02 Mar 2017
Paul Glasserman, Amit Sirohi, Amit Sirohi and Allen Zhang
Columbia Business School, IndependentBank of America - New York and Government of the United States of America - Department of the Treasury
Downloads 102 (492,769)
Citation 2

Abstract:

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debt management, Treasury auctions, quadratic programming

45.

When Are Option Prices TP2 ?

Number of pages: 44 Posted: 11 Jul 2024
Paul Glasserman and Dan Pirjol
Columbia Business School and Stevens Institute of Technology
Downloads 22 (951,755)

Abstract:

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46.

Assessing Look-Ahead Bias in Stock Return Predictions Generated By GPT Sentiment Analysis

Posted: 19 Oct 2023 Last Revised: 01 Feb 2024
Paul Glasserman and Caden Lin
Columbia Business School and Columbia University - Department of Mathematics

Abstract:

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Textual analysis, sentiment, artificial intelligence

47.

Process Systems Engineering as a Modeling Paradigm for Analyzing Systemic Risk in Financial Networks

Office of Financial Research Working Paper No. 15-01, https://doi.org/10.3905/joi.2015.24.2.147
Posted: 21 May 2019
Fabric RQ, Columbia Business School, Columbia University - Department of Industrial Engineering and Operations Research (IEOR), Columbia University - Department of Chemical Engineering, Purdue University and Columbia University, Department of Chemical Engineering, Students
Downloads 0 (1,171,494)

Abstract:

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48.

Saddlepoint Approximations for Affine Jump-Diffusion Models

Journal of Economic Dynamics and Control, Forthcoming
Posted: 08 Oct 2008
Paul Glasserman and Kyoung-Kuk Kim
Columbia Business School and Korea Advanced Institute of Science and Technology

Abstract:

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Transform inversion, Characteristic function, Option prices, Numerical approximations

49.

Cap and Swaption Approximations in Libor Market Models with Jumps

Posted: 08 Dec 2001
Paul Glasserman and Nicolas Merener
Columbia Business School and Columbia University - Department of Applied Physics and Applied Mathematics

Abstract:

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50.

Equilibrium Positive Interest Rates: A Unified View

Posted: 09 Mar 2001
Paul Glasserman and Yan Jin
Columbia Business School and Goldman Sachs Asset Management

Abstract:

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51.

Variance Reduction Techniques for Simulating Value-at-Risk

Posted: 23 Nov 1999
Columbia Business School, IBM Research Division and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)

Abstract:

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52.

Arbitrage-Free Discretization of Lognormal Forward Libor and Swap Rate Models

Posted: 17 Nov 1999
Paul Glasserman and Xiaoliang Zhao
Columbia Business School and Columbia University - Department of Statistics

Abstract:

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53.

Estimating Security Price Derivatives Using Simulation

Posted: 20 Dec 1998
Mark Broadie and Paul Glasserman
Columbia University - Columbia Business School - Decision Risk and Operations and Columbia Business School

Abstract:

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54.

Connecting Discrete and Continuous Path-Dependent Options

Posted: 25 Nov 1998
Mark Broadie, Paul Glasserman and Steven Kou
Columbia University - Columbia Business School - Decision Risk and Operations, Columbia Business School and Boston University

Abstract:

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55.

Enhanced Monte Carlo Estimates for American Option Prices

J. OF DERIVATIVES, Fall 1997
Posted: 06 Nov 1997
Mark Broadie, Paul Glasserman and Gautam Jain
Columbia University - Columbia Business School - Decision Risk and Operations, Columbia Business School and L.O.G. International Corp.

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