| Publication | Date of Publication | Type |
|---|
Numerical methods for SDEs with drift discontinuous on a set of positive reach
Internationale Mathematische Nachrichten | 2024-08-14 | Paper |
Book Reviews
SIAM Review | 2023-11-29 | Paper |
Continuous functions with impermeable graphs
Mathematische Nachrichten | 2023-10-17 | Paper |
Tractability of \(L_2\)-approximation and integration in weighted Hermite spaces of finite smoothness
Journal of Complexity | 2023-07-11 | Paper |
Well-posedness and numerical schemes for one-dimensional McKean-Vlasov equations and interacting particle systems with discontinuous drift
BIT | 2022-11-22 | Paper |
Exception sets of intrinsic and piecewise Lipschitz functions
The Journal of Geometric Analysis | 2022-03-21 | Paper |
Existence, uniqueness and regularity of the projection onto differentiable manifolds
Annals of Global Analysis and Geometry | 2021-09-02 | Paper |
Change of drift in one-dimensional diffusions
Finance and Stochastics | 2021-04-29 | Paper |
Statistical independence in mathematics -- the key to a Gaussian law
Mathematische Semesterberichte | 2021-04-19 | Paper |
Construction algorithms for plane nets in base $b$
(available as arXiv preprint) | 2019-06-12 | Paper |
Approximation methods for piecewise deterministic Markov processes and their costs
Scandinavian Actuarial Journal | 2019-05-10 | Paper |
On the Optimal Order of Integration in Hermite Spaces with Finite Smoothness
SIAM Journal on Numerical Analysis | 2018-04-23 | Paper |
Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient
Numerische Mathematik | 2018-01-26 | Paper |
Utility indifference pricing of insurance catastrophe derivatives
European Actuarial Journal | 2018-01-12 | Paper |
A strong order \(1/2\) method for multidimensional SDEs with discontinuous drift
The Annals of Applied Probability | 2017-11-07 | Paper |
A strong order \(1/2\) method for multidimensional SDEs with discontinuous drift
The Annals of Applied Probability | 2017-11-07 | Paper |
| Numerical methods for SDEs with drift discontinuous on a set of positive reach | 2017-08-21 | Paper |
On the optimal order of integration in Hermite spaces with finite smoothness
(available as arXiv preprint) | 2016-08-22 | Paper |
A numerical method for SDEs with discontinuous drift
BIT | 2016-05-19 | Paper |
The FWF-special research area ``Quasi-Monte Carlo methods: theory and applications
Internationale Mathematische Nachrichten | 2016-05-03 | Paper |
Utility indifference pricing of derivatives written on industrial loss indices
Journal of Computational and Applied Mathematics | 2016-02-29 | Paper |
Numerical integration in log-Korobov and log-cosine spaces
Numerical Algorithms | 2016-01-25 | Paper |
| Fast Orthogonal transforms for pricing derivatives with quasi-Monte Carlo | 2015-08-10 | Paper |
| Fast orthogonal transforms for multi-level quasi-Monte Carlo integration | 2015-08-10 | Paper |
Integration in Hermite spaces of analytic functions
Journal of Complexity | 2015-06-10 | Paper |
High-dimensional integration on \(\mathbb{R}^d\), weighted Hermite spaces, and orthogonal transforms
Journal of Complexity | 2015-02-06 | Paper |
On the existence of solutions of a class of SDEs with discontinuous drift and singular diffusion
Electronic Communications in Probability | 2015-02-03 | Paper |
Component-by-Component Construction of Hybrid Point Sets Based on Hammersley and Lattice Point Sets
Springer Proceedings in Mathematics & Statistics | 2014-10-31 | Paper |
A reduced fast component-by-component construction of lattice points for integration in weighted spaces with fast decreasing weights
Journal of Computational and Applied Mathematics | 2014-10-07 | Paper |
Bayesian dividend optimization and finite time ruin probabilities
Stochastic Models | 2014-06-25 | Paper |
Introduction to quasi-Monte Carlo integration and applications
Compact Textbooks in Mathematics | 2014-05-07 | Paper |
A method for approximate inversion of the hyperbolic CDF
Computing | 2012-06-04 | Paper |
Fast orthogonal transforms and generation of Brownian paths
Journal of Complexity | 2012-05-07 | Paper |
Efficient calculation of the worst-case error and (fast) component-by-component construction of higher order polynomial lattice rules
Numerical Algorithms | 2012-03-02 | Paper |
Efficient calculation of the worst-case error and (fast) component-by-component construction of higher order polynomial lattice rules
Numerical Algorithms | 2012-03-02 | Paper |
On the tractability of the Brownian bridge algorithm
Journal of Complexity | 2011-12-14 | Paper |
Bounds for the weighted \(L^p\) discrepancy and tractability of integration
Journal of Complexity | 2011-12-14 | Paper |
Calibration of financial models using quasi-Monte Carlo
Monte Carlo Methods and Applications | 2011-08-02 | Paper |
On modelling and pricing rainfall derivatives with seasonality
Applied Mathematical Finance | 2011-06-03 | Paper |
Notes on exact and semi-exact Lévy models for the valuation of CDOs
International Journal of Theoretical and Applied Finance | 2010-09-21 | Paper |
On a class of optimization problems emerging when hedging with short term futures contracts
Mathematical Methods of Operations Research | 2008-04-23 | Paper |
Constructions of general polynomial lattice rules based on the weighted star discrepancy
Finite Fields and their Applications | 2008-01-21 | Paper |
Randomized Smolyak algorithms based on digital sequences for multivariate integration
IMA Journal of Numerical Analysis | 2008-01-16 | Paper |
Stratified sampling and quasi-Monte Carlo simulation of Lévy processes
Monte Carlo Methods and Applications | 2007-04-10 | Paper |
Quasi-Monte Carlo and Monte Carlo methods and their application in finance
Surveys on Mathematics for Industry | 2006-01-17 | Paper |
Construction Algorithms for Digital Nets with Low Weighted Star Discrepancy
SIAM Journal on Numerical Analysis | 2005-10-28 | Paper |
An optimal Strategy for Hedging with Short‐Term Futures Contracts
Mathematical Finance | 2003-01-01 | Paper |
