Mark Broadie - researchr alias

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Viewing Publication 1 - 26 from 26

2022

Practical Nonparametric Sampling Strategies for Quantile-Based Ordinal OptimizationDongwook Shin, Mark Broadie, Assaf Zeevi. informs, 34(2):752-768, 2022. [doi]

2018

Tractable Sampling Strategies for Ordinal OptimizationDongwook Shin, Mark Broadie, Assaf Zeevi. ior, 66(6):1693-1712, 2018. [doi]

2017

Numerical solutions to dynamic portfolio problems with upper boundsMark Broadie, Weiwei Shen. cms, 14(2):215-227, 2017. [doi]

2016

Tractable sampling strategies for quantile-based ordinal optimizationDongwook Shin, Mark Broadie, Assaf J. Zeevi. wsc 2016: 847-858 [doi]

2015

Risk Estimation via RegressionMark Broadie, Yiping Du, Ciamac C. Moallemi. ior, 63(5):1077-1097, 2015. [doi]

2014

Multidimensional stochastic approximation: Adaptive algorithms and applicationsMark Broadie, Deniz M. Cicek, Assaf Zeevi. tomacs, 24(1), 2014. [doi]

2012

Assessing Golfer Performance on the PGA TOURMark Broadie. interfaces, 42(2):146-165, 2012. [doi]

2011

Efficient Risk Estimation via Nested Sequential SimulationMark Broadie, Yiping Du, Ciamac Cyrus Moallemi. mansci, 57(6):1172-1194, 2011. [doi]

Risk estimation via weighted regressionMark Broadie, Yiping Du, Ciamac Cyrus Moallemi. wsc 2011: 3859-3870 [doi]

General Bounds and Finite-Time Improvement for the Kiefer-Wolfowitz Stochastic Approximation AlgorithmMark Broadie, Deniz M. Cicek, Assaf Zeevi. ior, 59(5):1211-1224, 2011. [doi]

2009

A Simulation Model to Analyze the Impact of Distance and Direction on Golf ScoresMark Broadie, Soonmin Ko. wsc 2009: 3109-3120 [doi]

An Adaptive Multidimensional Version of the Kiefer-Wolfowitz Stochastic Approximation AlgorithmMark Broadie, Deniz M. Cicek, Assaf Zeevi. wsc 2009: 601-612 [doi]

2008

A simulation model to analyze the impact of hole size on putting in golfMatulya Bansal, Mark Broadie. wsc 2008: 2826-2834 [doi]

2007

Recent advances in simulation for security pricing (1995)Phelim Boyle, Mark Broadie, Paul Glasserman. wsc 2007: 9 [doi]

Implications of heavy tails on simulation-based ordinal optimizationMark Broadie, Minsup Han, Assaf Zeevi. wsc 2007: 439-447 [doi]

2006

Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion ProcessesMark Broadie, Ã–zgÃ¼r Kaya. ior, 54(2):217-231, 2006. [doi]

2004

Primal-Dual Simulation Algorithm for Pricing Multidimensional American OptionsLeif Andersen, Mark Broadie. mansci, 50(9):1222-1234, 2004. [doi]

Exact Simulation of Option Greeks under Stochastic Volatility and Jump Diffusion ModelsMark Broadie, Özgür Kaya. wsc 2004: 1607 [doi]

ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and ApplicationsMark Broadie, JÃ©rÃ´me Detemple. mansci, 50(9):1145-1177, 2004. [doi]

2003

Application of the Fast Gauss Transform to Option PricingMark Broadie, Yusaku Yamamoto. mansci, 49(8):1071-1088, 2003. [doi]

1999

Connecting discrete and continuous path-dependent optionsMark Broadie, Paul Glasserman, Shing-Gang Kou. fs, 3(1):55-82, 1999. [doi]

1995

Recent Advances in Simulation for Security PricingPhelim Boyle, Mark Broadie, Paul Glasserman. wsc 1995: 212-219 [doi]

A Pruned and Bootstrapped American Option SimulatorMark Broadie, Paul Glasserman. wsc 1995: 229-235 [doi]

1993

Computing efficient frontiers using estimated parametersMark Broadie. anor, 45(1):21-58, 1993. [doi]

1987

A variable rate refining triangulationMark Broadie, B. Curtis Eaves. mp, 38(2):161-202, 1987. [doi]

1984

A note on triangulating the 5-cubeMark Broadie, Richard W. Cottle. DM, 52(1):39-49, 1984. [doi]

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