| Publication | Date of Publication | Type |
|---|
Neural network expression rates and applications of the deep parametric PDE method in counterparty credit risk
Annals of Operations Research | 2024-06-04 | Paper |
The deep parametric PDE method and applications to option pricing
Applied Mathematics and Computation | 2022-08-05 | Paper |
Improved error bound for multivariate Chebyshev polynomial interpolation
International Journal of Computer Mathematics | 2022-02-16 | Paper |
Speed-up credit exposure calculations for pricing and risk management
Quantitative Finance | 2021-06-02 | Paper |
| Stability and convergence of Galerkin schemes for parabolic equations with application to Kolmogorov pricing equations in time-inhomogeneous L\'evy models | 2021-02-21 | Paper |
Low-rank tensor approximation for Chebyshev interpolation in parametric option pricing
SIAM Journal on Financial Mathematics | 2020-11-07 | Paper |
Parametric integration by magic point empirical interpolation
IMA Journal of Numerical Analysis | 2020-06-04 | Paper |
A New Approach for American Option Pricing: The Dynamic Chebyshev Method
SIAM Journal on Scientific Computing | 2019-03-13 | Paper |
Absolute continuity of semimartingales
Electronic Journal of Probability | 2019-02-14 | Paper |
Absolute continuity of semimartingales
Electronic Journal of Probability | 2019-02-14 | Paper |
Calibration to American options: numerical investigation of the de-americanization method
Quantitative Finance | 2018-11-14 | Paper |
Calibration to American options: numerical investigation of the de-americanization method
Quantitative Finance | 2018-11-14 | Paper |
A Flexible Galerkin Scheme for Option Pricing in Lévy Models
SIAM Journal on Financial Mathematics | 2018-10-31 | Paper |
Variational solutions of the pricing PIDEs for European options in Lévy models
Applied Mathematical Finance | 2018-09-12 | Paper |
Chebyshev interpolation for parametric option pricing
Finance and Stochastics | 2018-07-16 | Paper |
Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models
Applied Mathematical Finance | 2018-04-06 | Paper |
Magic Points in Finance: Empirical Integration for Parametric Option Pricing
SIAM Journal on Financial Mathematics | 2018-03-12 | Paper |
Magic Points in Finance: Empirical Integration for Parametric Option Pricing
SIAM Journal on Financial Mathematics | 2018-03-12 | Paper |
A Unified View of LIBOR Models
Springer Proceedings in Mathematics & Statistics | 2017-07-31 | Paper |
| Model reduction for calibration of American options | 2016-11-19 | Paper |
A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates
Finance and Stochastics | 2016-10-27 | Paper |
Classification of Lévy processes with parabolic Kolmogorov backward equations
Theory of Probability and its Applications | 2016-09-23 | Paper |
| Martingale Property in Terms of Semimartingale Problems | 2016-05-27 | Paper |
Analyticity of the Wiener-Hopf factors and valuation of exotic options in Lévy models
Advanced Mathematical Methods for Finance | 2011-08-08 | Paper |
| Feynman-Kac-formulas for option price valuation in Lévy models. | 2010-10-18 | Paper |
Feynman-Kac-formulas for option price valuation in Lévy models.
(available as arXiv preprint) | 2010-10-18 | Paper |
Analysis of Fourier transform valuation formulas and applications
Applied Mathematical Finance | 2010-09-21 | Paper |
