Fast and Robust Monte Carlo CDO Sensitivities and their Efficient Object Oriented Implementation

On Default Correlation

David X. Li · The Journal of Fixed Income · 2000 · 1.3K citations

Monte Carlo methods for security pricing

Phelim Boyle, Mark Broadie, Paul Glasserman · Journal of Economic Dynamics and Control · 1997 · 870 citations

Engineering, Monte Carlo, Monte Carlo Method +5

Applications of Malliavin calculus to Monte Carlo methods in finance

Éric Fournié, Jean‐Michel Lasry, Jérôme Lebuchoux et al. · Finance and Stochastics · 1999 · 557 citations

Stochastic Simulation, Engineering, Monte Carlo +8

Estimating Security Price Derivatives Using Simulation

Mark Broadie, Paul Glasserman · Management Science · 1996 · 470 citations

Engineering, Foreign Exchange Option, Direct Methods +17

Importance Sampling for Portfolio Credit Risk

Paul Glasserman, Jingyi Li · Management Science · 2005 · 339 citations

Portfolio Optimization, Financial Risk Management, Portfolio Selection +15