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2020 – today
- 2022
[j16]Dongwook Shin
, Mark Broadie, Assaf Zeevi:
Practical Nonparametric Sampling Strategies for Quantile-Based Ordinal Optimization. INFORMS J. Comput. 34(2): 752-768 (2022)
2010 – 2019
- 2018
- [j15]Dongwook Shin, Mark Broadie, Assaf Zeevi:
Tractable Sampling Strategies for Ordinal Optimization. Oper. Res. 66(6): 1693-1712 (2018) - 2017
- [j14]Mark Broadie, Weiwei Shen:
Numerical solutions to dynamic portfolio problems with upper bounds. Comput. Manag. Sci. 14(2): 215-227 (2017) - 2016
- [c10]Dongwook Shin, Mark Broadie, Assaf Zeevi:
Tractable sampling strategies for quantile-based ordinal optimization. WSC 2016: 847-858 - 2015
- [j13]Mark Broadie, Yiping Du, Ciamac C. Moallemi:
Risk Estimation via Regression. Oper. Res. 63(5): 1077-1097 (2015) - 2014
- [j12]Mark Broadie, Deniz M. Cicek, Assaf Zeevi:
Multidimensional stochastic approximation: Adaptive algorithms and applications. ACM Trans. Model. Comput. Simul. 24(1): 6:1-6:28 (2014) - 2012
- [j11]Mark Broadie:
Assessing Golfer Performance on the PGA TOUR. Interfaces 42(2): 146-165 (2012) - 2011
- [j10]Mark Broadie, Deniz M. Cicek, Assaf Zeevi:
General Bounds and Finite-Time Improvement for the Kiefer-Wolfowitz Stochastic Approximation Algorithm. Oper. Res. 59(5): 1211-1224 (2011) - [j9]Mark Broadie, Yiping Du, Ciamac Cyrus Moallemi:
Efficient Risk Estimation via Nested Sequential Simulation. Manag. Sci. 57(6): 1172-1194 (2011) - [c9]Mark Broadie, Yiping Du, Ciamac Cyrus Moallemi:
Risk estimation via weighted regression. WSC 2011: 3859-3870
2000 – 2009
- 2009
- [c8]Mark Broadie, Deniz M. Cicek, Assaf Zeevi:
An Adaptive Multidimensional Version of the Kiefer-Wolfowitz Stochastic Approximation Algorithm. WSC 2009: 601-612 - [c7]Mark Broadie, Soonmin Ko:
A Simulation Model to Analyze the Impact of Distance and Direction on Golf Scores. WSC 2009: 3109-3120 - 2008
- [c6]Matulya Bansal, Mark Broadie:
A simulation model to analyze the impact of hole size on putting in golf. WSC 2008: 2826-2834 - 2007
- [c5]Phelim Boyle, Mark Broadie, Paul Glasserman:
Recent advances in simulation for security pricing (1995). WSC 2007: 9 - [c4]Mark Broadie, Minsup Han, Assaf Zeevi:
Implications of heavy tails on simulation-based ordinal optimization. WSC 2007: 439-447 - 2006
- [j8]Mark Broadie, Özgür Kaya:
Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes. Oper. Res. 54(2): 217-231 (2006) - 2004
- [j7]Mark Broadie, Jérôme Detemple:
ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications. Manag. Sci. 50(9): 1145-1177 (2004) - [j6]Leif Andersen, Mark Broadie:
Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options. Manag. Sci. 50(9): 1222-1234 (2004) - [c3]Mark Broadie, Özgür Kaya:
Exact Simulation of Option Greeks under Stochastic Volatility and Jump Diffusion Models. WSC 2004: 1607-1615 - 2003
- [j5]Mark Broadie, Yusaku Yamamoto:
Application of the Fast Gauss Transform to Option Pricing. Manag. Sci. 49(8): 1071-1088 (2003)
1990 – 1999
- 1999
- [j4]Mark Broadie, Paul Glasserman, Shing-Gang Kou:
Connecting discrete and continuous path-dependent options. Finance Stochastics 3(1): 55-82 (1999) - 1995
- [c2]Phelim Boyle, Mark Broadie, Paul Glasserman:
Recent Advances in Simulation for Security Pricing. WSC 1995: 212-219 - [c1]Mark Broadie, Paul Glasserman:
A Pruned and Bootstrapped American Option Simulator. WSC 1995: 229-235 - 1993
- [j3]Mark Broadie:
Computing efficient frontiers using estimated parameters. Ann. Oper. Res. 45(1): 21-58 (1993)
1980 – 1989
- 1987
- [j2]Mark Broadie, B. Curtis Eaves:
A variable rate refining triangulation. Math. Program. 38(2): 161-202 (1987) - 1984
- [j1]Mark Broadie, Richard W. Cottle:
A note on triangulating the 5-cube. Discret. Math. 52(1): 39-49 (1984)
Coauthor Index
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