Mark Broadie

According to our database, Mark Broadie authored at least 26 papers between 1984 and 2022.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of three.

2022

Practical Nonparametric Sampling Strategies for Quantile-Based Ordinal Optimization.

Dongwook Shin, Mark Broadie, Assaf Zeevi

INFORMS J. Comput., 2022

2018

Tractable Sampling Strategies for Ordinal Optimization.

Dongwook Shin, Mark Broadie, Assaf Zeevi

Oper. Res., 2018

2017

Numerical solutions to dynamic portfolio problems with upper bounds.

Mark Broadie, Weiwei Shen

Comput. Manag. Sci., 2017

2016

Tractable sampling strategies for quantile-based ordinal optimization.

Dongwook Shin, Mark Broadie, Assaf Zeevi

Proceedings of the Winter Simulation Conference, 2016

2015

Risk Estimation via Regression.

Mark Broadie, Yiping Du, Ciamac C. Moallemi

Oper. Res., 2015

2014

Multidimensional stochastic approximation: Adaptive algorithms and applications.

Mark Broadie, Deniz M. Cicek, Assaf Zeevi

ACM Trans. Model. Comput. Simul., 2014

2012

Assessing Golfer Performance on the PGA TOUR.

Mark Broadie

Interfaces, 2012

2011

Efficient Risk Estimation via Nested Sequential Simulation.

Mark Broadie, Yiping Du, Ciamac Cyrus Moallemi

Manag. Sci., 2011

General Bounds and Finite-Time Improvement for the Kiefer-Wolfowitz Stochastic Approximation Algorithm.

Mark Broadie, Deniz M. Cicek, Assaf Zeevi

Oper. Res., 2011

Risk estimation via weighted regression.

Mark Broadie, Yiping Du, Ciamac Cyrus Moallemi

Proceedings of the Winter Simulation Conference 2011, 2011

2009

A Simulation Model to Analyze the Impact of Distance and Direction on Golf Scores.

Mark Broadie, Soonmin Ko

Proceedings of the 2009 Winter Simulation Conference, 2009

An Adaptive Multidimensional Version of the Kiefer-Wolfowitz Stochastic Approximation Algorithm.

Mark Broadie, Deniz M. Cicek, Assaf Zeevi

Proceedings of the 2009 Winter Simulation Conference, 2009

2008

A simulation model to analyze the impact of hole size on putting in golf.

Matulya Bansal, Mark Broadie

Proceedings of the 2008 Winter Simulation Conference, Global Gateway to Discovery, 2008

2007

Implications of heavy tails on simulation-based ordinal optimization.

Mark Broadie, Minsup Han, Assaf Zeevi

Proceedings of the Winter Simulation Conference, 2007

Recent advances in simulation for security pricing (1995).

Phelim Boyle, Mark Broadie, Paul Glasserman

Proceedings of the Winter Simulation Conference, 2007

2006

Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes.

Mark Broadie, Özgür Kaya

Oper. Res., 2006

2004

ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications.

Mark Broadie, Jérôme Detemple

Manag. Sci., 2004

Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options.

Leif Andersen, Mark Broadie

Manag. Sci., 2004

Exact Simulation of Option Greeks under Stochastic Volatility and Jump Diffusion Models.

Mark Broadie, Özgür Kaya

Proceedings of the 36th conference on Winter simulation, 2004

2003

Application of the Fast Gauss Transform to Option Pricing.

Mark Broadie, Yusaku Yamamoto

Manag. Sci., 2003

1999

Connecting discrete and continuous path-dependent options.

Mark Broadie, Paul Glasserman, Shing-Gang Kou

Finance Stochastics, 1999

1995

A Pruned and Bootstrapped American Option Simulator.

Mark Broadie, Paul Glasserman

Proceedings of the 27th conference on Winter simulation, 1995

Recent Advances in Simulation for Security Pricing.

Phelim Boyle, Mark Broadie, Paul Glasserman

Proceedings of the 27th conference on Winter simulation, 1995

1993

Computing efficient frontiers using estimated parameters.

Mark Broadie

Ann. Oper. Res., 1993

1987

A variable rate refining triangulation.

Mark Broadie, B. Curtis Eaves

Math. Program., 1987

1984

A note on triangulating the 5-cube.

Mark Broadie, Richard W. Cottle

Discret. Math., 1984