| Publication | Date of Publication | Type |
|---|
| Efficient wrong-way risk modeling for funding valuation adjustments | 2024-11-06 | Paper |
| Editorial | 2024-10-28 | Paper |
| The Heston-Queue-Hawkes process: a new self-exciting jump-diffusion model for options pricing, and an extension of the COS method for discrete distributions | 2024-08-26 | Paper |
| Energy-consistent formulation of the pressure-free two-fluid model | 2024-05-14 | Paper |
| Monte Carlo simulation of SDEs using GANs | 2023-10-13 | Paper |
| Markov chain generative adversarial neural networks for solving Bayesian inverse problems in physics applications | 2023-09-21 | Paper |
| Convergence of a Robust Deep FBSDE Method for Stochastic Control | 2023-04-11 | Paper |
| GPU acceleration of the Seven-League Scheme for large time step simulations of stochastic differential equations | 2023-02-10 | Paper |
| Portfolio risk and the quantum majorization of correlation matrices | 2023-01-09 | Paper |
| A MULTIGRID MULTILEVEL MONTE CARLO METHOD USING HIGH-ORDER FINITE-VOLUME SCHEME FOR LOGNORMAL DIFFUSION PROBLEMS | 2022-11-24 | Paper |
| PRICING AND HEDGING PREPAYMENT RISK IN A MORTGAGE PORTFOLIO | 2022-09-22 | Paper |
| On a Neural Network to Extract Implied Information from American Options | 2022-09-09 | Paper |
| Rule-based strategies for dynamic life cycle investment | 2022-07-27 | Paper |
| Quantifying credit portfolio losses under multi-factor models | 2022-02-16 | Paper |
| Approximation of insurance liability contracts using radial basis functions | 2022-02-16 | Paper |
| Stochastic grid bundling method for backward stochastic differential equations | 2022-02-16 | Paper |
| BENCHOP – SLV: the BENCHmarking project in Option Pricing – Stochastic and Local Volatility problems | 2022-02-16 | Paper |
| Optimally weighted loss functions for solving PDEs with neural networks | 2022-01-20 | Paper |
| Convergence of a robust deep FBSDE method for stochastic control | 2022-01-18 | Paper |
| Valuation of electricity storage contracts using the COS method | 2021-11-12 | Paper |
| Corrigendum to ``Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model | 2021-11-11 | Paper |
| A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options | 2021-11-11 | Paper |
| Deep learning for CVA computations of large portfolios of financial derivatives | 2021-11-11 | Paper |
| The One Step Malliavin scheme: new discretization of BSDEs implemented with deep learning regressions | 2021-10-11 | Paper |
| An SGBM-XVA demonstrator: a scalable Python tool for pricing XVA | 2021-09-09 | Paper |
| A FULL MULTIGRID METHOD FOR LINEAR COMPLEMENTARITY PROBLEMS ARISING FROM ELASTIC NORMAL CONTACT PROBLEMS | 2021-08-27 | Paper |
| EXTENDING THE BEM FOR ELASTIC CONTACT PROBLEMS BEYOND THE HALF-SPACE APPROACH | 2021-08-27 | Paper |
| On high-order schemes for tempered fractional partial differential equations | 2021-06-03 | Paper |
| A neural network-based framework for financial model calibration | 2021-04-27 | Paper |
| Energy-conserving formulation of the two-fluid model for incompressible two-phase flow in channels and pipes | 2021-04-15 | Paper |
| Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model | 2021-04-01 | Paper |
| A computational approach to hedging credit valuation adjustment in a jump-diffusion setting | 2021-04-01 | Paper |
| COLLOCATING VOLATILITY: A COMPETITIVE ALTERNATIVE TO STOCHASTIC LOCAL VOLATILITY MODELS | 2021-01-29 | Paper |
| Lorenz-generated bivariate Archimedean copulas | 2021-01-14 | Paper |
| Reduced Order Modeling for Parameterized Time-Dependent PDEs using Spatially and Memory Aware Deep Learning | 2020-11-23 | Paper |
| The Seven-League Scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations | 2020-09-07 | Paper |
| A parametric acceleration of multilevel Monte Carlo convergence for nonlinear variably saturated flow | 2020-06-03 | Paper |
| Optimally weighted loss functions for solving PDEs with Neural Networks | 2020-02-14 | Paper |
| Model-free stochastic collocation for an arbitrage-free implied volatility. I. | 2020-01-31 | Paper |
| Mathematical Modeling and Computation in Finance | 2019-12-19 | Paper |
| The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions | 2019-09-26 | Paper |
| Uncertainty quantification and Heston model | 2019-07-10 | Paper |
| Exploration of a Cosine Expansion Lattice Scheme | 2019-07-05 | Paper |
| A multigrid multilevel Monte Carlo method for transport in the Darcy-Stokes system | 2019-06-26 | Paper |
| On the data-driven COS method | 2019-06-21 | Paper |
| On Local Fourier Analysis of Multigrid Methods for PDEs with Jumping and Random Coefficients | 2019-05-13 | Paper |
| On a one time-step Monte Carlo simulation approach of the SABR model: application to European options | 2019-03-27 | Paper |
| The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks | 2019-03-19 | Paper |
| A Highly Efficient Numerical Method for the SABR Model | 2019-02-28 | Paper |
| Modern Monte Carlo Methods and GPU Computing | 2019-02-28 | Paper |
| On the wavelet-based SWIFT method for backward stochastic differential equations | 2018-11-23 | Paper |
| A novel Monte Carlo approach to hybrid local volatility models | 2018-11-19 | Paper |
| On an efficient multiple time step Monte Carlo simulation of the SABR model | 2018-11-19 | Paper |
| Bermudan option valuation under state-dependent models | 2018-11-19 | Paper |
| Counterparty Credit Exposures for Interest Rate Derivatives using the Stochastic Grid Bundling Method | 2018-09-06 | Paper |
| Reduction of computing time for least-squares migration based on the Helmholtz equation by graphics processing units | 2018-06-14 | Paper |
| The COS method for option valuation under the SABR dynamics | 2018-05-17 | Paper |
| Efficient Computation of Various Valuation Adjustments Under Local Lévy Models | 2018-04-16 | Paper |
| Calculation of Exposure Profiles and Sensitivities of Options under the Heston and the Heston Hull-White Models | 2018-03-06 | Paper |
| Monolithic multigrid method for the coupled Stokes flow and deformable porous medium system | 2018-02-22 | Paper |
| From concentration profiles to concentration maps. New tools for the study of loss distributions | 2018-02-15 | Paper |
| COMPUTING CREDIT VALUATION ADJUSTMENT FOR BERMUDAN OPTIONS WITH WRONG WAY RISK | 2018-01-11 | Paper |
| Multigrid method for nonlinear poroelasticity equations | 2017-12-13 | Paper |
| Uzawa Smoother in Multigrid for the Coupled Porous Medium and Stokes Flow System | 2017-10-27 | Paper |
| Pricing Bermudan options under local Lévy models with default | 2017-10-13 | Paper |
| On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates | 2017-10-05 | Paper |
| Pricing early-exercise and discrete barrier options by Shannon wavelet expansions | 2017-09-29 | Paper |
| On an Uzawa smoother in multigrid for poroelasticity equations | 2017-07-03 | Paper |
| Two-dimensional Shannon wavelet inverse Fourier technique for pricing European options | 2017-05-29 | Paper |
| A fast nonlinear conjugate gradient based method for 3D concentrated frictional contact problems | 2016-12-20 | Paper |
| On the robustness of ILU smoothers on triangular grids | 2016-05-18 | Paper |
| Efficient VaR and expected shortfall computations for nonlinear portfolios within the delta-gamma approach | 2016-05-02 | Paper |
| BENCHOP – The BENCHmarking project in option pricing | 2016-04-29 | Paper |
| GPU acceleration of the stochastic grid bundling method for early-exercise options | 2016-04-29 | Paper |
| Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance | 2016-03-09 | Paper |
| A Highly Efficient Shannon Wavelet Inverse Fourier Technique for Pricing European Options | 2016-01-27 | Paper |
| Efficient numerical Fourier methods for coupled forward-backward SDEs | 2015-12-21 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3195637 | 2015-10-20 | Paper |
| Multigrid with FFT smoother for a simplified 2D frictional contact problem | 2015-08-26 | Paper |
| A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs | 2015-06-09 | Paper |
| THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION | 2015-01-21 | Paper |
| On the Fourier cosine series expansion method for stochastic control problems | 2014-11-25 | Paper |
| Analysis of an affine version of the Heston-Hull-White option pricing partial differential equation | 2014-10-31 | Paper |
| The COS Method for Pricing Options Under Uncertain Volatility | 2014-09-29 | Paper |
| A Simple and Efficient Segregated Smoother for the Discrete Stokes Equations | 2014-09-05 | Paper |
| EFFICIENT COMPUTATION OF EXPOSURE PROFILES FOR COUNTERPARTY CREDIT RISK | 2014-08-08 | Paper |
| Pricing inflation products with stochastic volatility and stochastic interest rates | 2014-04-03 | Paper |
| Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions | 2014-03-03 | Paper |
| Efficient portfolio valuation incorporating liquidity risk | 2014-01-23 | Paper |
| Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions | 2014-01-23 | Paper |
| Robust Pricing of European Options with Wavelets and the Characteristic Function | 2014-01-21 | Paper |
| The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives | 2013-12-13 | Paper |
| 3D Helmholtz Krylov Solver Preconditioned by a Shifted Laplace Multigrid Method on Multi-GPUs | 2013-07-10 | Paper |
| A Projected Algebraic Multigrid Method for Linear Complementarity Problems | 2013-01-24 | Paper |
| Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options | 2013-01-24 | Paper |
| Pricing high-dimensional Bermudan options using the stochastic grid method | 2013-01-22 | Paper |
| Local Fourier analysis for multigrid with overlapping smoothers applied to systems of PDEs | 2012-10-08 | Paper |
| Fourier Cosine Expansions and Put–Call Relations for Bermudan Options | 2012-09-28 | Paper |
| Extension of stochastic volatility equity models with the Hull–White interest rate process | 2012-06-25 | Paper |
| An ENO-based method for second-order equations and application to the control of dike levels | 2012-05-23 | Paper |
| A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL | 2012-05-07 | Paper |
| A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model | 2012-04-19 | Paper |
| Saddlepoint Approximations for Expectations and an Application to CDO Pricing | 2012-04-19 | Paper |
| Efficient pricing of commodity options with early-exercise under the Ornstein-Uhlenbeck process | 2012-01-04 | Paper |
| GPU implementation of a Helmholtz Krylov solver preconditioned by a shifted Laplace multigrid method | 2011-11-10 | Paper |
| A geometric multigrid method based on L-shaped coarsening for PDEs on stretched grids | 2011-09-02 | Paper |
| A multigrid-based shifted Laplacian preconditioner for a fourth-order Helmholtz discretization | 2011-06-29 | Paper |
| Pricing Options Under Stochastic Volatility with Fourier-Cosine Series Expansions | 2011-06-21 | Paper |
| Accuracy Measures and Fourier Analysis for the Full Multigrid Algorithm | 2011-06-10 | Paper |
| On the Heston Model with Stochastic Interest Rates | 2011-05-02 | Paper |
| ANALYTICAL APPROXIMATION TO CONSTANT MATURITY SWAP CONVEXITY CORRECTIONS IN A MULTI-FACTOR SABR MODEL | 2011-01-13 | Paper |
| Distributive smoothers in multigrid for problems with dominating grad-div operators | 2010-09-10 | Paper |
| A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions | 2010-05-06 | Paper |
| Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions | 2010-02-24 | Paper |
| Shifted-Laplacian Preconditioners for Heterogeneous Helmholtz Problems | 2010-02-09 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3656503 | 2010-01-13 | Paper |
| An efficient multigrid solver for a reformulated version of the poroelasticity system | 2009-11-06 | Paper |
| Adaptive integration for multi-factor portfolio credit loss models | 2009-08-05 | Paper |
| Nonnegative matrix factorization of a correlation matrix | 2009-06-23 | Paper |
| Algebraic Multigrid Solvers for Complex-Valued Matrices | 2009-05-28 | Paper |
| American Options With Discrete Dividends Solved by Highly Accurate Discretizations | 2009-03-31 | Paper |
| A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions | 2009-01-01 | Paper |
| Multigrid relaxation methods for systems of saddle point type | 2008-11-14 | Paper |
| On coordinate transformation and grid stretching for sparse grid pricing of basket options | 2008-11-06 | Paper |
| Multigrid for High-Dimensional Elliptic Partial Differential Equations on Non-equidistant Grids | 2008-08-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5449137 | 2008-03-11 | Paper |
| Accurate Evaluation of European and American Options Under the CGMY Process | 2008-02-25 | Paper |
| Efficientd-multigrid preconditioners for sparse-grid solution of high-dimensional partial differential equations | 2007-10-08 | Paper |
| On American Options Under the Variance Gamma Process | 2007-07-16 | Paper |
| Pricing Multi-Asset Options with Sparse Grids and Fourth Order Finite Differences | 2007-06-19 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3445135 | 2007-06-08 | Paper |
| A systematic comparison of coupled and distributive smoothing in multigrid for the poroelasticity system | 2006-12-06 | Paper |
| A Novel Multigrid Based Preconditioner For Heterogeneous Helmholtz Problems | 2006-05-30 | Paper |
| Comparison of multigrid and incomplete LU shifted-Laplace preconditioners for the inhomogeneous Helmholtz equation | 2006-05-18 | Paper |
| Numerical valuation of options with jumps in the underlying | 2005-05-04 | Paper |
| TVD, WENO and blended BDF discretizations for Asian options | 2005-02-08 | Paper |
| An efficient multigrid solver based on distributive smoothing for poroelasticity equations | 2004-11-05 | Paper |
| On a class of preconditioners for solving the Helmholtz equation | 2004-08-19 | Paper |
| WENO and blended BDF discretizations for option pricing problems | 2004-05-18 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4450321 | 2004-02-15 | Paper |
| On multigrid for linear complementarity problems with application to American-style options | 2003-09-17 | Paper |
| A Genetic Search for Optimal Multigrid Components Within a Fourier Analysis Setting | 2003-01-05 | Paper |
| On Three-Grid Fourier Analysis for Multigrid | 2002-04-15 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2729538 | 2001-11-25 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2729589 | 2001-11-19 | Paper |
| Error analysis for a potential problem on locally refined grids | 2001-06-19 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4527708 | 2001-02-07 | Paper |
| Fourier Analysis of GMRES(m) Preconditioned by Multigrid | 2000-10-19 | Paper |
| Krylov Subspace Acceleration of Nonlinear Multigrid with Application to Recirculating Flows | 2000-10-19 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4246992 | 1999-11-30 | Paper |
| Multigrid line smoothers for higher order upwind discretizations of convection- dominated problems | 1999-03-18 | Paper |
| An Evaluation of Parallel Multigrid as a Solver and a Preconditioner for Singularly Perturbed Problems | 1998-05-12 | Paper |
| Flexible Multiple Semicoarsening for Three-Dimensional Singularly Perturbed Problems | 1998-05-12 | Paper |
| Krylov subspace acceleration for nonlinear multigrid schemes | 1998-03-15 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4349270 | 1997-11-09 | Paper |
| ADAPTIVE PARALLEL MULTIGRID SOLUTION OF 2D INCOMPRESSIBLE NAVIER-STOKES EQUATIONS | 1997-10-26 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5689496 | 1997-06-15 | Paper |
| A GMRES-based plane smoother in multigrid to solve 3D anisotropic fluid flow problems | 1997-03-06 | Paper |
| The convergence of parallel multiblock multigrid methods | 1997-01-05 | Paper |
| A parallel preconditioner for the all-at-once linear system from evolutionary PDEs with Crank-Nicolson discretization | N/A | Paper |
| Generalized convergence of the deep BSDE method: a step towards fully-coupled FBSDEs and applications in stochastic control | N/A | Paper |
