| Publication | Date of Publication | Type |
|---|
| Primal and dual optimal stopping with signatures | 2023-12-06 | Paper |
| An Adaptive Algorithm for Rough Differential Equations | 2023-07-24 | Paper |
| Rough PDEs for local stochastic volatility models | 2023-07-18 | Paper |
| Markovian approximations of stochastic Volterra equations with the fractional kernel | 2023-06-20 | Paper |
| Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing | 2023-06-20 | Paper |
| Optimal stopping with signatures | 2023-06-05 | Paper |
| Pricing High-Dimensional Bermudan Options with Hierarchical Tensor Formats | 2023-06-01 | Paper |
| Stability of Deep Neural Networks via Discrete Rough Paths | 2023-03-30 | Paper |
| WEAK ERROR RATES FOR OPTION PRICING UNDER LINEAR ROUGH VOLATILITY | 2023-02-22 | Paper |
| Reinforced optimal control | 2022-12-13 | Paper |
| A FULLY ADAPTIVE INTERPOLATED STOCHASTIC SAMPLING METHOD FOR LINEAR RANDOM PDES | 2022-11-24 | Paper |
| Short Communication: On the Weak Convergence Rate in the Discretization of Rough Volatility Models | 2022-07-22 | Paper |
| Pricing Options under Rough Volatility with Backward SPDEs | 2022-03-18 | Paper |
| Stability of Deep Neural Networks via discrete rough paths | 2022-01-19 | 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 |
| Log-Modulated Rough Stochastic Volatility Models | 2021-11-05 | Paper |
| Pricing American options by exercise rate optimization | 2021-09-03 | Paper |
| Pricing under rough volatility | 2021-07-16 | Paper |
| Solving discrete time heterogeneous agent models with aggregate risk and many idiosyncratic states by perturbation | 2021-06-03 | Paper |
| Low-Dimensional Approximations of High-Dimensional Asset Price Models | 2021-05-28 | Paper |
| A regularity structure for rough volatility | 2021-03-23 | Paper |
| Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model | 2020-12-07 | Paper |
| Weak error rates for option pricing under linear rough volatility | 2020-09-02 | Paper |
| Solving linear parabolic rough partial differential equations | 2020-06-17 | Paper |
| Forward-reverse expectation-maximization algorithm for Markov chains: convergence and numerical analysis | 2020-02-05 | Paper |
| The invariant distribution of wealth and employment status in a small open economy with precautionary savings | 2019-12-30 | Paper |
| Implied stopping rules for American basket options from Markovian projection | 2019-09-26 | Paper |
| Short-time near-the-money skew in rough fractional volatility models | 2019-09-26 | Paper |
| Precautionary Savings, Illiquid Assets, and the Aggregate Consequences of Shocks to Household Income Risk | 2019-07-19 | Paper |
| Small-Time Asymptotics for the At-the-Money Implied Volatility in a Multi-dimensional Local Volatility Model | 2018-12-11 | Paper |
| On the Probability Density Function of Baskets | 2018-12-11 | Paper |
| Smoothing the payoff for efficient computation of Basket option prices | 2018-11-14 | Paper |
| A functional limit theorem for limit order books with state dependent price dynamics | 2018-01-04 | Paper |
| Splitting Methods for SPDEs: From Robustness to Financial Engineering, Optimal Control, and Nonlinear Filtering | 2017-09-01 | Paper |
| Option Pricing in Affine Generalized Merton Models | 2017-07-31 | Paper |
| SDE Based Regression for Linear Random PDEs | 2017-07-07 | Paper |
| From Rough Path Estimates to Multilevel Monte Carlo | 2016-05-20 | Paper |
| An efficient forward–reverse expectation-maximization algorithm for statistical inference in stochastic reaction networks | 2016-04-29 | Paper |
| Computational Error Estimates for Born–Oppenheimer Molecular Dynamics with Nearly Crossing Potential Surfaces | 2015-11-16 | Paper |
| Asymptotics Beats Monte Carlo: The Case of Correlated Local Vol Baskets | 2014-10-09 | Paper |
| Simulation of forward-reverse stochastic representations for conditional diffusions | 2014-09-25 | Paper |
| On NonAsymptotic Optimal Stopping Criteria in Monte Carlo Simulations | 2014-08-13 | Paper |
| UTILITY MAXIMIZATION IN A BINOMIAL MODEL WITH TRANSACTION COSTS: A DUALITY APPROACH BASED ON THE SHADOW PRICE PROCESS | 2014-08-08 | Paper |
| Semi-closed form cubature and applications to financial diffusion models | 2014-02-20 | Paper |
| Fast Ninomiya–Victoir calibration of the double-mean-reverting model | 2014-01-23 | Paper |
| Combining non-cointegration tests | 2013-10-09 | Paper |
| Cubature on Wiener space: pathwise convergence | 2013-08-09 | Paper |
| How accurate is molecular dynamics? | 2011-04-05 | Paper |
| Adaptive weak approximation of reflected and stopped diffusions | 2010-05-26 | Paper |
| Cubature on Wiener space in infinite dimension | 2010-05-19 | Paper |
| On the interaction of financial frictions and fixed capital adjustment costs: evidence from a panel of German firms | 2010-01-19 | Paper |
| Investment timing and predatory behavior in a duopoly with endogenous exit | 2009-07-01 | Paper |
| Near-wall measurements of turbulence statistics in a fully developed channel flow with a novel laser Doppler velocity profile sensor | 2008-10-30 | Paper |
| The proof of Tchakaloff’s Theorem | 2006-06-21 | Paper |
