Peter W. Glynn Thomas W. Ford Professor in the School of Engineering Office: Terman 313 | Phone: 650-725-0554 | Fax: 650-723-1614 Email: glynn @ stanford.edu

Stochastic Modeling: Finance

" Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals " [ with J. D. Duffie ]. Submitted for publication PDF

" Efficient Monte Carlo Simulation of Security Prices " [ with J.D. Duffie ] Annals of Applied Probability, Vol. 5, No. 4, 897-905 ( 1995 )

" Trading Securities Using Trailing Stops " [with D. Iglehart]. Management Science Vol. 41, No. 6, 1096-1106 ( 1995 )