Paul Glasserman

Paul Glasserman

Past Awards

Saul Gass Expository Writing Award: Winner(s)
Winning material:
2016 - Winner(s)

The Saul Gass Expository Writing Award recognizes an author whose publications set an exemplary standard of exposition. The writing should possess an influence and accessibility enhanced by expository excellence. Criteria include lucidity, conciseness and interest of the writing. The author must have affected how something is done, studied, taught or thought about.

From a number of very strong nominations, I am pleased to announce that the award for 2016 goes to Professor Paul Glasserman of Columbia University.

Professor Glasserman has heavily influenced the Operations Research and Operations Management Community with his research contributions in simulation and applied probability and their applications in a variety of fields.  His work has spanned simulation and gradient estimation, applied probability, production-inventory systems and operations management, and financial engineering and risk management. He has authored over 110 journal articles and 11 book chapters. He has written 3 books and edited 2 more.

Professor Glasserman’s first book, “Gradient Estimation via Perturbation Analysis” is a standard reference in simulation with over 700 citations. His book “Monte Carlo Methods in Financial Engineering” is a standard reference not just within financial engineering circles, but also in simulation. The book is widely known among practitioners, was recently translated into Chinese, and has over 3700 citations.

Professor Glasserman has striven to reach not just the research community, but also practitioners, as evidenced by his “research briefs” written for the Office of Financial Research in the Treasury Department, and by his article, co-authored with Professor Mike Giles for Risk Magazine, “Smoking Adjoints: Fast Monte Carlo Greeks.”

Professor Glasserman’s written work is invariably lucid, precise, illuminating and persuasive. It is no wonder that his work is heavily cited and extremely influential, not just within academic circles but also in practice.

INFORMS Elected Fellows: Awardee(s)

Frederick W. Lanchester Prize: Winner(s)

The Lanchester Prize for 2006 is awarded to Paul Glasserman for his book, Monte Carlo Methods in Financial Engineering, Springer, New York, 2004.

Monte Carlo simulation has been a fundamental tool and focus of operations research and the management sciences for several decades. In recent years, Monte Carlo methods have been particularly critical in the expanding field of financial engineering, becoming even the subject of legislation and risk-control regulations. Monte Carlo implementations in this domain now determine, among other things, capital requirements across the globe, and, with that, the prices and interest rates that affect all aspects of the world economy. Paul Glasserman’s work has been the source for many of those implementations. In just over two years since publication, his book, Monte Carlo Methods in Financial Engineering, has become the standard reference for the field and required reading for anyone entering the practice of derivative pricing and risk management.

Glasserman’s book serves as both an introduction to Monte Carlo methods and financial engineering in general and as a source for experts to find the most efficient approaches to model complex financial issues. His lucid explanations lead readers through the process of conceptualizing an issue, constructing a model, implementing a solution, and searching for improvements. He builds insight into the nature of models for prices, rates, and values, the fundamental difficulty of mixing discretization schemes with continuous-time models, and the key factors to consider in beginning any new implementation.

In addition to illuminating the variety of evaluative, descriptive, and prescriptive financial tasks that Monte Carlo methods can address, Glasserman’s book highlights innovative new methods, many developed by the author, to increase simulation efficiency, to estimate the effects of parameter changes, and to simulate exceedingly rare events. In making such state-of-the-art OR/MS methodology accessible to key decision makers in a broad and important sector of the economy, this book serves the entire profession. Paul Glasserman’s Monte Carlo Methods in Financial Engineering showcases the best of operations research and the management sciences as an interweaving combination of deep theoretical analysis and practical real-world application.

Award presented by John Birge, Chair, and Mark S. Daskin, President, November 6, 2006.

Outstanding Simulation Publication Award: Awardee(s)
Winning material: Monte Carlo Methods in Financial Engineering, Springer, 2003

Erlang Prize: Winner(s)

Outstanding Simulation Publication Award: Awardee(s)
Winning material: Gradient estimation via perturbation analysis. Boston: Kluwer Academic. 1991.

George Nicholson Student Paper Competition: Second Place
Winning material: "Derivative Estimates from Sample Paths of Queueing Systems"