Research

Title Author Yearsort descending
Efficient Monte Carlo Barrier Option Pricing when the Underlying Security Price Follows a Jump-Diffusion Process Sheldon Ross; Samim Ghamami 2010
Improving the Normalized Importance Sampling Estimator Samim Ghamami; Sheldon Ross 2012
Will My Risk Parity Strategy Outperform? Robert Anderson; Stephen Bianchi; Lisa Goldberg 2012
Improving the Asmussen – Kroese Type Simulation Estimators Samim Ghamami; Sheldon Ross 2012
The Equity Risk Premium for Securitized Real Estate: The Case for U.S. Real Estate Investment Trusts Robert H. Edelstein; Konstantin Magin 2013
Dynamic Scheduling of a Two-Server Parallel Server System with Complete Resource Pooling and Reneging in Heavy Traffic: Asymptotic Optimality of a Two-Threshold Policy Samim Ghamami; Amy Ward 2013
The Dynamics of Rising Interest Rates Robert Anderson; Stephen Bianchi; Lisa Goldberg 2013
Restoring Value to Minimum Variance Lisa Goldberg 2013
Stochastic Intensity Models of Wrong Way Risk: Wrong Way CVA Need Not Exceed Independent CVA Lisa Goldberg 2014
Equity risk premium and insecure property rights Konstantin Magin 2014
Efficient Monte Carlo Counterparty Credit Risk Pricing and Measurement Samim Ghamami; Bo Zhang 2014
Determinants of Levered Portfolio Performance Lisa Goldberg; Robert Anderson 2014
Efficient Monte Carlo CVA Estimation Samim Ghamami; Bo Zhang 2014
Efficient Monte Carlo CVA Estimation Samim Ghamami; Bo Zhang 2014
Static Models of Central Counterparty Risk Samim Ghamami 2015
The Temporal Dimension of Risk Ola Mahmoud 2016
Identifying Broad and Narrow Financial Risk Factors with Convex Optimization Alex Shkolnik; Lisa Goldberg; Jeffrey Bohn 2016
Drawdown: From Practice to Theory and Back Again Lisa Goldberg; Ola Mahmoud 2016
Optimizing Value Ran Leshem; Lisa Goldberg; Alan Cummings 2016
Using the CCAPM with Stochastic Taxation and Money Supply to Examine U.S. REITs Pricing Bubbles Robert H. Edelstein; Konstantin Magin 2017
Controlling shareholders' value, long-run firm value and short-term performance Hyung Cheol Kang; Robert Anderson; Kyong Shik Eom; Sang Koo Kang 2017
The Impact of Estimation Error on Latent Factor Model Forecasts of Portfolio Risk Stephen Bianchi; Lisa Goldberg; Allan Rosenberg 2017
The Implied Futures Financing Rate Nick Gunther; Robert Anderson; Lisa Goldberg 2017
Do Steph Curry and Klay Thompson Have Hot Hands? Alon Daks; Nishant Desai; Lisa Goldberg 2017