| Publication | Date of Publication | Type |
|---|
| Solving Optimal Stopping Problems via Randomization and Empirical Dual Optimization | 2024-02-27 | Paper |
| Primal-Dual Regression Approach for Markov Decision Processes with General State and Action Spaces | 2024-02-20 | Paper |
| Primal and dual optimal stopping with signatures | 2023-12-06 | Paper |
| Optimal Stopping with Randomly Arriving Opportunities to Stop | 2023-11-18 | Paper |
| From optimal martingales to randomized dual optimal stopping | 2023-09-25 | Paper |
| Optimal stopping with signatures | 2023-06-05 | Paper |
| Reinforced optimal control | 2022-12-13 | Paper |
| A FULLY ADAPTIVE INTERPOLATED STOCHASTIC SAMPLING METHOD FOR LINEAR RANDOM PDES | 2022-11-24 | Paper |
| Dynamic programming for optimal stopping via pseudo-regression | 2021-12-01 | Paper |
| Randomized Optimal Stopping Algorithms and Their Convergence Analysis | 2021-11-05 | Paper |
| Semitractability of optimal stopping problems via a weighted stochastic mesh algorithm | 2021-03-23 | Paper |
| Solving linear parabolic rough partial differential equations | 2020-06-17 | Paper |
| Robust Multiple Stopping -- A Pathwise Duality Approach | 2020-06-02 | Paper |
| Optimal stopping via reinforced regression | 2020-04-07 | Paper |
| Optimal Stopping Under Uncertainty in Drift and Jump Intensity | 2020-03-12 | Paper |
| Optimal Stopping of McKean--Vlasov Diffusions via Regression on Particle Systems | 2020-02-26 | Paper |
| Forward-reverse expectation-maximization algorithm for Markov chains: convergence and numerical analysis | 2020-02-05 | Paper |
| Semi-tractability of optimal stopping problems via a weighted stochastic mesh algorithm | 2019-06-22 | Paper |
| Optimal stopping via pathwise dual empirical maximisation | 2019-06-19 | Paper |
| Projected Particle Methods for Solving McKean--Vlasov Stochastic Differential Equations | 2018-11-07 | Paper |
| Advanced Simulation-Based Methods for Optimal Stopping and Control | 2018-06-11 | Paper |
| Generalized Post-Widder inversion formula with application to statistics | 2017-08-03 | Paper |
| Option Pricing in Affine Generalized Merton Models | 2017-07-31 | Paper |
| SDE Based Regression for Linear Random PDEs | 2017-07-07 | Paper |
| Uniform approximation of the Cox–Ingersoll–Ross process via exact simulation at random times | 2017-02-21 | Paper |
| From Rough Path Estimates to Multilevel Monte Carlo | 2016-05-20 | Paper |
| Statistical inference for time-changed Lévy processes via Mellin transform approach | 2016-04-20 | Paper |
| Uniform approximation of the Cox-Ingersoll-Ross process | 2016-02-12 | Paper |
| Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration | 2015-10-21 | Paper |
| Multilevel Simulation Based Policy Iteration for Optimal Stopping--Convergence and Complexity | 2015-09-09 | Paper |
| Statistical Skorohod embedding problem: optimality and asymptotic normality | 2015-08-19 | Paper |
| Addendum to: ``Multilevel dual approach for pricing American style derivatives | 2015-08-04 | Paper |
| DUAL REPRESENTATIONS FOR GENERAL MULTIPLE STOPPING PROBLEMS | 2015-04-24 | Paper |
| Simulation of forward-reverse stochastic representations for conditional diffusions | 2014-09-25 | Paper |
| Primal–dual linear Monte Carlo algorithm for multiple stopping—an application to flexible caps | 2014-02-20 | Paper |
| Optimal Dual Martingales, Their Analysis, and Application to New Algorithms for Bermudan Products | 2014-01-23 | Paper |
| Multilevel dual approach for pricing American style derivatives | 2013-11-06 | Paper |
| Coupling local currency Libor models to FX Libor models | 2013-09-24 | Paper |
| A pure martingale dual for multiple stopping | 2012-11-15 | Paper |
| Minimum return guarantees with fund switching rights -- an optimal stopping problem | 2012-01-13 | Paper |
| A jump-diffusion Libor model and its robust calibration | 2011-06-09 | Paper |
| Efficient and accurate log-L\'evy approximations to L\'evy driven LIBOR models | 2011-06-04 | Paper |
| Sensitivities for Bermudan options by regression methods | 2010-11-12 | Paper |
| Representations for Optimal Stopping under Dynamic Monetary Utility Functionals | 2010-11-10 | Paper |
| Regression Methods for Stochastic Control Problems and Their Convergence Analysis | 2010-10-20 | Paper |
| PRICING CMS SPREAD OPTIONS IN A LIBOR MARKET MODEL | 2010-05-19 | Paper |
| Monte Carlo Greeks for Financial Products via Approximative Transition Densities | 2010-03-10 | Paper |
| Multiple stochastic volatility extension of the Libor market model and its implementation | 2010-02-10 | Paper |
| Holomorphic transforms with application to affine processes | 2009-07-24 | Paper |
| TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO | 2009-03-06 | Paper |
| Two-particle models for the estimation of the mean and standard deviation of concentrations in coastal waters | 2009-02-18 | Paper |
| From structural assumptions to a link between assets and interest rates | 2008-12-12 | Paper |
| Enhanced policy iteration for American options via scenario selection | 2008-05-15 | Paper |
| Policy iteration for american options: overview | 2007-08-24 | Paper |
| Forward and reverse representations for Markov chains | 2007-07-27 | Paper |
| An iterative method for multiple stopping: convergence and stability | 2006-11-02 | Paper |
| Iterative construction of the optimal Bermudan stopping time | 2006-05-24 | Paper |
| Systematic Generation of Parametric Correlation Structures for the LIBOR Market Model | 2005-10-19 | Paper |
| Robust Libor Modelling and Pricing of Derivative Products | 2005-04-06 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4660853 | 2005-04-04 | Paper |
| Transition density estimation for stochastic differential equations via forward-reverse represen\-ta\-tions | 2005-03-30 | Paper |
| Upper Bounds for Bermudan Style Derivatives | 2005-03-10 | Paper |
| A NEW MONTE CARLO METHOD FOR AMERICAN OPTIONS | 2005-02-28 | Paper |
| Variance reduction for Monte Carlo simulation of stochastic environmental models | 2003-03-10 | Paper |
| Monte Carlo construction of hedging strategies against multi-asset European claims | 2002-11-24 | Paper |
| Robust option replication for a Black-Scholes model extended with nondeterministic trends | 2000-11-19 | Paper |
| A Reproducing Kernel Hilbert Space approach to singular local stochastic volatility McKean-Vlasov models | 0001-01-03 | Paper |
