| Publication | Date of Publication | Type |
|---|
| Estimation of extreme quantiles from heavy-tailed distributions with neural networks | 2023-11-17 | Paper |
| Weak approximations and VIX option price expansions in forward variance curve models | 2023-09-25 | Paper |
| Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes | 2023-09-25 | Paper |
| Transform MCMC schemes for sampling intractable factor copula models | 2023-07-04 | Paper |
| A Comparative Study of Polynomial-Type Chaos Expansions for Indicator Functions | 2022-11-25 | Paper |
| Newton Method for Stochastic Control Problems | 2022-10-12 | Paper |
| A generative model for fBm with deep ReLU neural networks | 2022-09-12 | Paper |
| Extended Mckean-Vlasov optimal stochastic control applied to smart grid management, | 2022-08-01 | Paper |
| Model-adaptive optimal discretization of stochastic integrals | 2022-07-05 | Paper |
| Study of new rare event simulation schemes and their application to extreme scenario generation | 2021-03-01 | Paper |
| Metamodel of a Large Credit Risk Portfolio in the Gaussian Copula Model | 2021-01-15 | Paper |
| Uncertainty Quantification for Stochastic Approximation Limits Using Chaos Expansion | 2020-08-31 | Paper |
| Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations | 2020-08-03 | Paper |
| Multilevel Monte Carlo methods and lower-upper bounds in initial margin computations | 2020-07-08 | Paper |
| Parametric inference for diffusions observed at stopping times | 2020-06-11 | Paper |
| Volatility uncertainty quantification in a stochastic control problem applied to energy | 2020-05-04 | Paper |
| Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements | 2019-07-11 | Paper |
| Stochastic approximation schemes for economic capital and risk margin computations | 2019-07-11 | Paper |
| Quantitative bounds for concentration-of-measure inequalities and empirical regression: the independent case | 2019-06-20 | Paper |
| Convergence rate of strong approximations of compound random maps, application to SPDEs | 2018-12-27 | Paper |
| New Approximations in Local Volatility Models | 2018-12-13 | Paper |
| Optimal discretization of stochastic integrals driven by general Brownian semimartingale | 2018-11-09 | Paper |
| Strong approximation of stochastic processes at random times and application to their exact simulation | 2018-09-04 | Paper |
| Analytical approximations of local‐Heston volatility model and error analysis | 2018-08-16 | Paper |
| Analytical approximations of non-linear SDEs of McKean-Vlasov type | 2018-06-28 | Paper |
| A Nonintrusive Stratified Resampler for Regression Monte Carlo: Application to Solving Nonlinear Equations | 2018-01-17 | Paper |
| Parameter estimation of Ornstein-Uhlenbeck process generating a stochastic graph | 2017-10-27 | Paper |
| Stochastic Expansion for the Pricing of Call Options with Discrete Dividends | 2017-10-05 | Paper |
| First time to exit of a continuous Itô process: general moment estimates and \({\mathbf{L}}_{1}\)-convergence rate for discrete time approximations | 2017-05-11 | Paper |
| Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations | 2017-03-20 | Paper |
| MCMC design-based non-parametric regression for rare event. application to nested risk computations | 2017-03-16 | Paper |
| Analytical Approximation of Variable Annuities for Small Volatility and Small Withdrawal | 2017-03-09 | Paper |
| Stratified Regression Monte-Carlo Scheme for Semilinear PDEs and BSDEs with Large Scale Parallelization on GPUs | 2016-11-18 | Paper |
| Empirical Regression Method for Backward Doubly Stochastic Differential Equations | 2016-07-22 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2803233 | 2016-05-04 | Paper |
| Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions | 2016-03-09 | Paper |
| Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression | 2016-02-22 | Paper |
| Rare Event Simulation Using Reversible Shaking Transformations | 2015-10-27 | Paper |
| Analytical Approximations of BSDEs with Nonsmooth Driver | 2015-10-21 | Paper |
| Stochastic Approximation Finite Element Method: Analytical Formulas for Multidimensional Diffusion Process | 2015-04-08 | Paper |
| Introduction to Stochastic Calculus and to the Resolution of PDEs Using Monte Carlo Simulations | 2015-02-03 | Paper |
| A correction note to ``Discrete time hedging errors for options with irregular payoffs | 2014-11-07 | Paper |
| Fractional smoothness of functionals of diffusion processes under a change of measure | 2014-09-29 | Paper |
| Optimization of joint \(p\)-variations of Brownian semimartingales | 2014-09-29 | Paper |
| Almost sure optimal hedging strategy | 2014-08-06 | Paper |
| EXPANSION FORMULAS FOR BIVARIATE PAYOFFS WITH APPLICATION TO BEST-OF OPTIONS ON EQUITY AND INFLATION | 2014-06-19 | Paper |
| Preliminary control variates to improve empirical regression methods | 2014-02-11 | Paper |
| Weak approximation of averaged diffusion processes | 2014-02-06 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2855397 | 2013-10-25 | Paper |
| Asymptotic and non asymptotic approximations for option valuation | 2013-09-24 | Paper |
| Asymptotic Equivalence Between Boundary Perturbations and Discrete Exit Times: Application to Simulation Schemes | 2013-07-31 | Paper |
| THE TRACKING ERROR RATE OF THE DELTA‐GAMMA HEDGING STRATEGY | 2013-02-28 | Paper |
| Analytical formulas for a local volatility model with stochastic rates | 2012-06-26 | Paper |
| Generalized fractional smoothness and \(L_p\)-variation of BSDEs with non-Lipschitz terminal condition | 2012-06-01 | Paper |
| Fractional Smoothness and Applications in Finance | 2011-08-08 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3083925 | 2011-03-24 | Paper |
| Solving BSDE with Adaptive Control Variate | 2011-02-28 | Paper |
| EXPANSION FORMULAS FOR EUROPEAN OPTIONS IN A LOCAL VOLATILITY MODEL | 2010-08-11 | Paper |
| \(\mathbf L_2\)-time regularity of BSDEs with irregular terminal functions | 2010-07-08 | Paper |
| Time Dependent Heston Model | 2010-06-01 | Paper |
| Smart expansion and fast calibration for jump diffusions | 2010-04-22 | Paper |
| Stopped diffusion processes: boundary corrections and overshoot | 2010-03-01 | Paper |
| Sharp estimates for the convergence of the density of the Euler scheme in small time | 2009-11-20 | Paper |
| LAMN property for hidden processes: the case of integrated diffusions | 2009-10-07 | Paper |
| Advanced Monte Carlo Methods for Barrier and Related Exotic Options | 2009-06-05 | Paper |
| Mathematics and Finance | 2008-09-29 | Paper |
| Numerical simulation of BSDEs using empirical regression methods: theory and practice | 2008-06-27 | Paper |
| Discretization and Simulation of the Zakai Equation | 2008-01-07 | Paper |
| Arbitrage free cointegrated models in gas and oil future markets | 2007-12-20 | Paper |
| Discrete Sampling of Functionals of Ito Processes | 2007-10-31 | Paper |
| Error expansion for the discretization of backward stochastic differential equations | 2007-06-26 | Paper |
| Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations | 2007-05-24 | Paper |
| Numerical methods for the pricing of swing options: a stochastic control approach | 2007-01-29 | Paper |
| Boundary sensitivities for diffusion processes in time dependent domains | 2006-11-17 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5486563 | 2006-09-11 | Paper |
| A regression-based Monte Carlo method to solve backward stochastic differential equations | 2005-11-08 | Paper |
| Sequential Control Variates for Functionals of Markov Processes | 2005-10-28 | Paper |
| Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control | 2005-09-15 | Paper |
| Exact approximation rate of killed hypoelliptic diffusions using the discrete Euler scheme | 2005-08-05 | Paper |
| A symmetrized Euler scheme for an efficient approximation of reflected diffusions | 2005-04-18 | Paper |
| Computation of Greeks for barrier and look-back options using Malliavin calculus | 2005-03-14 | Paper |
| A spectral Monte Carlo method for the Poisson equation | 2005-03-10 | Paper |
| Nonparametric estimation of scalar diffusions based on low frequency data | 2005-02-28 | Paper |
| Weak approximation of killed diffusion using Euler schemes. | 2004-09-07 | Paper |
| Feynman-Kac's representation in time-space domains and sensitivity with respect to the domain | 2003-10-22 | Paper |
| LAN property for ergodic diffusions with discrete observations | 2003-03-11 | Paper |
| Local asymptotic mixed normality property for elliptic diffusion: A Malliavin calculus approach | 2003-01-09 | Paper |
| Monte Carlo Evaluation of Greeks for Multidimensional Barrier and Lookback Options | 2003-01-01 | Paper |
| Euler schemes and half-space approximation for the simulation of diffusion in a domain | 2002-06-11 | Paper |
| Efficient schemes for the weak approximation of reflected diffusions | 2002-05-28 | Paper |
| Discrete time hedging errors for options with irregular payoffs | 2001-12-12 | Paper |
| Schéma d'Euler discret pour diffusion multidimensionnelle tuée | 1999-09-12 | Paper |
| Schéma d'Euler continu pour des diffusions tuées et options barrière | 1999-07-12 | Paper |
