Mark N. Broadie
Carson Family Professor of Business
Decision, Risk, and Operations
Academic Advisory Board Member
Program for Financial Studies
BS, Cornell, 1979; PhD, Stanford, 1983
Joined CBS in 1983
Office:
415
Uris
Phone:
212-854-4103
E-mail:
mnb2@gsb.columbia.edu
Fax:
212-316-9180
Curriculum Vitae
Biography
Professor Broadie currently teaches the elective courses Security Pricing: Models and Computation, Computational Finance, and Programming for Business Research. He is an Academic Advisory Board Member for the Program for Financial Studies. His research interests include the pricing of derivative securities, risk management and, more generally, quantitative methods for decision-making under uncertainty. Broadie is the financial engineering area editor of Operations Research and serves on the editorial boards of Finance and Stochastics, SIAM Journal of Financial Mathematics and Computational Management Science and was previously editor-in-chief of the Journal of Computational Finance. Professor Broadie received two Dean's awards for teaching and has given seminars and courses for financial professionals throughout the world. He is the vice chairman of Enterprise Risk Management Institute International (ERM-II), a non-profit organization dedicated to promoting education, research and training of enterprise risk managers. He has served as a consultant for a number of financial firms.
Teaching
Summer 2018
Spring 2018
Fall 2017
Fall 2016
Summer 2016
Spring 2016
Spring 2015
Sports Analytics: Half-Course Edition
(MBA)
Fall 2013
Spring 2013
Columbia Caseworks cases
H&K
(2014)
Coauthor(s): Omar Besbes, Mark Broadie, Garrett J. van Ryzin
Tahoe Healthcare Systems
(2014)
Coauthor(s): Omar Besbes, Mark Broadie, Garrett J. van Ryzin
DSS
(2014)
Coauthor(s): Omar Besbes, Mark Broadie, Garrett J. van Ryzin
Pandora Internet Radio
(2013)
Coauthor(s): Omar Besbes, Mark Broadie, Garrett J. van Ryzin
Retailer: A Retail Pricing Simulation Exercise
(2011)
Coauthor(s): Garrett J. van Ryzin, Mark Broadie
An Introduction to Spreadsheet Optimization Using Excel
(2012)
Coauthor(s): Mark Broadie
Research
Journal articles
Risk estimation via regression
In Operations Research
(2015)
Coauthor(s): Mark Broadie, Yiping Du, Ciamac Moallemi
Assessing Golfer Performance on the PGA TOUR
In Interfaces
(2012)
Coauthor(s): Mark Broadie
Managing Corporate Liquidity: Strategies and Pricing Implications
In International Journal of Theoretical and Applied Finance
(2011)
Coauthor(s): Attakrit Asvanunt, Mark Broadie, M. Suresh Sundaresan
Efficient Risk Estimation via Nested Sequential Simulation
In Management Science
(2011)
Coauthor(s): Mark Broadie, Yiping Du, Ciamac Moallemi
General Bounds and Finite-Time Improvement for the Kiefer-Wolfowitz Stochastic Approximation Algorithm
In Operations Research
(2011)
Coauthor(s): Mark Broadie, Deniz Cicek, Assaf Zeevi
Understanding index option returns
In Review of Financial Studies
(2009)
Coauthor(s): Mark Broadie, Mikhail Chernov, Michael Johannes
Improved lower and upper bound algorithms for pricing American options by simulation
In Quantitative Finance
(2008)
Coauthor(s): Mark Broadie, Menghui Cao
The effect of jumps and discrete sampling on volatility and variance swaps
In International Journal of Theoretical and Applied Finance
(2008)
Coauthor(s): Mark Broadie, Ashish Jain
Pricing and hedging volatility derivatives
In The Journal of Derivatives
(2008)
Coauthor(s): Mark Broadie, Ashish Jain
A binomial lattice method for pricing corporate debt and modeling Chapter 11 proceedings
In Journal of Financial and Quantitative Analysis
(2007)
Coauthor(s): Mark Broadie, O. Kaya
Model specification and risk premia: Evidence from futures options
In Journal of Finance
(2007)
Coauthor(s): Mark Broadie, Mikhail Chernov, Michael Johannes
Optimal Debt and Equity Values in the Presence of Chapter 7 and Chapter 11
In Journal of Finance
(2007)
Coauthor(s): Mark Broadie, Mikhail Chernov, M. Suresh Sundaresan
Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
In Operations Research
(2006)
Coauthor(s): Mark Broadie, O. Kaya
A Double-Exponential Fast Gauss Transform for Pricing Discrete Path-Dependent Options
In Operations Research
(2005)
Coauthor(s): Mark Broadie, Y. Yamamoto
Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options
In Management Science
(2004)
Coauthor(s): Leif Andersen, Mark Broadie
A Stochastic Mesh Method for Pricing High-Dimensional American Options
In Journal of Computational Finance
(2004)
Coauthor(s): Mark Broadie, Paul Glasserman
Option Pricing: Valuation Models and Applications
In Management Science
(2004)
Coauthor(s): Mark Broadie, Jerome Detemple
Application of the Fast Gauss Transform to Option Pricing
In Management Science
(2003)
Coauthor(s): Mark Broadie, Y. Yamamoto
American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation
In Journal of Econometrics
(2000)
Coauthor(s): Mark Broadie, Jerome Detemple, Eric Ghysels, O. Torres
Nonparametric Estimation of American Option Exercise Boundaries and Call Prices
In Journal of Economic Dynamics and Control
(2000)
Coauthor(s): Mark Broadie, Jerome Detemple, Eric Ghysels, O. Torres
Connecting Discrete and Continuous Path-Dependent Options
In Finance and Stochastics
(1999)
Coauthor(s): Mark Broadie, Paul Glasserman, Shing-Gang Kou
Optimal Replication of Contingent Claims Under Portfolio Constraints
In Review of Financial Studies
(1998)
Coauthor(s): Mark Broadie, J. Cvitanic, M. Soner
A Continuity Correction for Discrete Barrier Options
In Mathematical Finance
(1997)
Coauthor(s): Mark Broadie, Paul Glasserman, Shing-Gang Kou
Enhanced Monte Carlo estimates for American option prices
In The Journal of Derivatives
(1997)
Coauthor(s): Mark Broadie, Paul Glasserman, Gautam Jain
Monte Carlo Methods for Security Pricing
In Journal of Economic Dynamics and Control
(1997)
Coauthor(s): Phelim Boyle, Mark Broadie, Paul Glasserman
Pricing American-Style Securities Using Simulation
In Journal of Economic Dynamics and Control
(1997)
Coauthor(s): Mark Broadie, Paul Glasserman
The Valuation of American Options on Multiple Assets
In Mathematical Finance
(1997)
Coauthor(s): Mark Broadie, Jerome Detemple
American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods
In Review of Financial Studies
(1996)
Coauthor(s): Mark Broadie
Estimating Security Price Derivatives Using Simulation
In Management Science
(1996)
Coauthor(s): Mark Broadie, Paul Glasserman
American Capped Call Options on Dividend-Paying Assets
In Review of Financial Studies
(1995)
Coauthor(s): Mark Broadie, Jerome Detemple
Computing efficient frontiers using estimated parameters
In Annals of Operations Research
(1993)
Coauthor(s): Mark Broadie
An application of Markov chain analysis to the game of squash
In Decision Sciences
(1993)
Coauthor(s): Mark Broadie, Dev Joneja
A variable rate refining triangulation
In Mathematical programming
(1987)
Coauthor(s): Mark Broadie, B. Curtis Eaves
A theorem about antiprisms
In Linear Algebra and Its Applications
(1985)
Coauthor(s): Mark Broadie
An introduction to the octahedral algorithm for the computation of economic equilibria
In Mathematical Programming Studies
(1985)
Coauthor(s): Mark Broadie
A note on triangulating the 5-cube
In Discrete Mathematics
(1984)
Coauthor(s): Mark Broadie, Richard Cottle
Books
Every Shot Counts: Using the Revolutionary Strokes Gained Approach to Improve Your Golf Performance and Strategy
(2014)
Coauthor(s): Mark Broadie
Hedging with trees: Advances in pricing and risk managing derivatives
(1998)
Coauthor(s): Mark Broadie, Paul Glasserman
Chapters
Early Exercise Options: Upper Bounds
In Encyclopedia of Quantitative Finance
(2010)
Coauthor(s): Leif Andersen, Mark Broadie
A Simulation Model to Analyze the Impact of Distance and Direction on Golf Scores
In Proceedings of the 2009 Winter Simulation Conference
(2009)
Coauthor(s): Mark Broadie, S. Ko
Assessing Golfer Performance Using Golfmetrics
In Science and Golf V: Proceedings of the 2008 World Scientific Congress of Golf
(2008)
Coauthor(s): Mark Broadie
Exact Simulation of Option Greeks Under Stochastic Volatility and Jump Diffusion Models
In Proceedings of the 2004 Winter Simulation Conference
(2004)
Coauthor(s): Mark Broadie, O. Kaya
Monte Carlo methods for security pricing
In Option Pricing, Interest Rates and Risk Management
(2001)
Coauthor(s): Phelim Boyle, Mark Broadie, Paul Glasserman
Pricing American options by simulation using a stochastic mesh with optimized weights
In Probabilistic constrained optimization: Methodology and applications
(2000)
Coauthor(s): Mark Broadie, Paul Glasserman, Zachary Ha
American options on dividend-paying assets
In Topology and Markets
(1999)
Coauthor(s): Mark Broadie, Jerome Detemple
A comparison of some Monte Carlo and quasi Monte Carlo techniques for option pricing
In Monte Carlo and quasi-Monte Carlo methods 1996
(1998)
Coauthor(s): Peter Acworth, Mark Broadie, Paul Glasserman
Simulation for option pricing and risk management
In Risk Management and Analysis, Volume 1: Measuring and Modelling Financial Risk
(1998)
Coauthor(s): Mark Broadie, Paul Glasserman
Recent advances in numerical methods for pricing derivative securities
In Numerical Methods in Finance
(1997)
Coauthor(s): Mark Broadie, Jerome Detemple
Working papers
Growth Options and Optimal Default under Liquidity Constraints: The Role of Corporate Cash Balances
(2009)
Coauthor(s): Attakrit Asvanunt, Mark Broadie, M. Suresh Sundaresan
Case studies
ZigZag Zippers: Funding a Long-term Capital Project
(2010)
Coauthor(s): Mark Broadie
Ideas and Insights
In The Media
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