Mark N. Broadie

Available identifiers

zbMath Open broadie.mark-nMaRDI QIDQ802143

List of research outcomes

Publication	Date of Publication	Type
Practical Nonparametric Sampling Strategies for Quantile-Based Ordinal Optimization	2022-06-30	Paper
Tractable Sampling Strategies for Ordinal Optimization	2020-11-08	Paper
Numerical solutions to dynamic portfolio problems with upper bounds	2018-10-10	Paper
HIGH-DIMENSIONAL PORTFOLIO OPTIMIZATION WITH TRANSACTION COSTS	2016-06-22	Paper
Risk Estimation via Regression	2016-03-22	Paper
Multidimensional stochastic approximation	2015-03-05	Paper
General Bounds and Finite-Time Improvement for the Kiefer-Wolfowitz Stochastic Approximation Algorithm	2012-03-26	Paper
Application of the Fast Gauss Transform to Option Pricing	2012-02-19	Paper
Efficient Risk Estimation via Nested Sequential Simulation	2011-08-09	Paper
MANAGING CORPORATE LIQUIDITY: STRATEGIES AND PRICING IMPLICATIONS	2011-06-20	Paper
Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes	2009-08-13	Paper
A Double-Exponential Fast Gauss Transform Algorithm for Pricing Discrete Path-Dependent Options	2009-07-18	Paper
THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS	2009-04-21	Paper
Improved lower and upper bound algorithms for pricing American options by simulation	2009-02-23	Paper
https://portal.mardi4nfdi.de/entity/Q2724691	2003-07-13	Paper
https://portal.mardi4nfdi.de/entity/Q2771104	2002-08-25	Paper
A Continuity Correction for Discrete Barrier Options	2001-03-29	Paper
Nonparametric estimation of American options' exercise boundaries and call prices	2000-10-26	Paper
American options with stochastic dividends and volatility: a nonparametric investigation	2000-03-19	Paper
Connecting discrete and continuous path-dependent options	1999-09-14	Paper
https://portal.mardi4nfdi.de/entity/Q4241870	1999-07-19	Paper
https://portal.mardi4nfdi.de/entity/Q4356580	1998-11-01	Paper
Monte Carlo methods for security pricing	1998-07-22	Paper
Pricing American-style securities using simulation	1998-07-22	Paper
https://portal.mardi4nfdi.de/entity/Q4369767	1998-01-12	Paper
Estimating Security Price Derivatives Using Simulation	1997-11-12	Paper
The Valuation of American Options on Multiple Assets	1997-09-18	Paper
Computing efficient frontiers using estimated parameters	1994-01-26	Paper
A variable rate refining triangulation	1987-01-01	Paper
A theorem about antiprisms	1985-01-01	Paper
An introduction to the octahedral algorithm for the computation of economic equilibria	1985-01-01	Paper
A note on triangulating the 5-cube	1984-01-01	Paper

Research outcomes over time

Doctoral students

No records found.

Known relations from the MaRDI Knowledge Graph

Property	Value
MaRDI profile type	MaRDI person profile
instance of	human

This page was built for person: Mark N. Broadie