| Publication | Date of Publication | Type |
|---|
Efficient option pricing in the rough Heston model using weak simulation schemes
Quantitative Finance | 2025-01-06 | Paper |
A reproducing kernel Hilbert space approach to singular local stochastic volatility McKean-Vlasov models
Finance and Stochastics | 2024-10-16 | Paper |
Code for "Primal and dual optimal stopping with signatures"
| 2024-08-30 | Software |
Multilevel Monte Carlo with numerical smoothing for robust and efficient computation of probabilities and densities
SIAM Journal on Scientific Computing | 2024-05-07 | Paper |
ntapiam/resnets
| 2024-03-06 | Software |
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 |
Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing
Quantitative Finance | 2023-06-20 | Paper |
Markovian approximations of stochastic Volterra equations with the fractional kernel
Quantitative Finance | 2023-06-20 | Paper |
Optimal stopping with signatures
The Annals of Applied Probability | 2023-06-05 | Paper |
Pricing High-Dimensional Bermudan Options with Hierarchical Tensor Formats
SIAM Journal on Financial Mathematics | 2023-06-01 | Paper |
Stability of Deep Neural Networks via Discrete Rough Paths
SIAM Journal on Mathematics of Data Science | 2023-03-30 | Paper |
WEAK ERROR RATES FOR OPTION PRICING UNDER LINEAR ROUGH VOLATILITY
International Journal of Theoretical and Applied Finance | 2023-02-22 | Paper |
Reinforced optimal control
Communications in Mathematical Sciences | 2022-12-13 | Paper |
A FULLY ADAPTIVE INTERPOLATED STOCHASTIC SAMPLING METHOD FOR LINEAR RANDOM PDES
International Journal for Uncertainty Quantification | 2022-11-24 | Paper |
Short communication: on the weak convergence rate in the discretization of rough volatility models
SIAM Journal on Financial Mathematics | 2022-07-22 | Paper |
Pricing options under rough volatility with backward SPDEs
SIAM Journal on Financial Mathematics | 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
Quantitative Finance | 2021-12-01 | Paper |
Randomized Optimal Stopping Algorithms and Their Convergence Analysis
SIAM Journal on Financial Mathematics | 2021-11-05 | Paper |
Log-Modulated Rough Stochastic Volatility Models
SIAM Journal on Financial Mathematics | 2021-11-05 | Paper |
Pricing American options by exercise rate optimization
Quantitative Finance | 2021-09-03 | Paper |
Pricing under rough volatility
Quantitative Finance | 2021-07-16 | Paper |
Solving discrete time heterogeneous agent models with aggregate risk and many idiosyncratic states by perturbation
Quantitative Economics | 2021-06-03 | Paper |
Low-dimensional approximations of high-dimensional asset price models
SIAM Journal on Financial Mathematics | 2021-05-28 | Paper |
A regularity structure for rough volatility
Mathematical Finance | 2021-03-23 | Paper |
Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model
Quantitative Finance | 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
Journal of Mathematical Analysis and Applications | 2020-06-17 | Paper |
Forward-reverse expectation-maximization algorithm for Markov chains: convergence and numerical analysis
Advances in Applied Probability | 2020-02-05 | Paper |
The invariant distribution of wealth and employment status in a small open economy with precautionary savings
Journal of Mathematical Economics | 2019-12-30 | Paper |
Short-time near-the-money skew in rough fractional volatility models
Quantitative Finance | 2019-09-26 | Paper |
Implied stopping rules for American basket options from Markovian projection
Quantitative Finance | 2019-09-26 | Paper |
Precautionary savings, illiquid assets, and the aggregate consequences of shocks to household income risk
Econometrica | 2019-07-19 | Paper |
On the probability density function of baskets
Springer Proceedings in Mathematics & Statistics | 2018-12-11 | Paper |
Small-time asymptotics for the at-the-money implied volatility in a multi-dimensional local volatility model
Springer Proceedings in Mathematics & Statistics | 2018-12-11 | Paper |
Smoothing the payoff for efficient computation of Basket option prices
Quantitative Finance | 2018-11-14 | Paper |
A functional limit theorem for limit order books with state dependent price dynamics
The Annals of Applied Probability | 2018-01-04 | Paper |
Splitting Methods for SPDEs: From Robustness to Financial Engineering, Optimal Control, and Nonlinear Filtering
Splitting Methods in Communication, Imaging, Science, and Engineering | 2017-09-01 | Paper |
Option pricing in affine generalized Merton models
Springer Proceedings in Mathematics & Statistics | 2017-07-31 | Paper |
SDE based regression for linear random PDEs
SIAM Journal on Scientific Computing | 2017-07-07 | Paper |
From rough path estimates to multilevel Monte Carlo
SIAM Journal on Numerical Analysis | 2016-05-20 | Paper |
An efficient forward-reverse expectation-maximization algorithm for statistical inference in stochastic reaction networks
Stochastic Analysis and Applications | 2016-04-29 | Paper |
Computational error estimates for Born-Oppenheimer molecular dynamics with nearly crossing potential surfaces
Applied Mathematics Research eXpress | 2015-11-16 | Paper |
Asymptotics beats Monte Carlo: the case of correlated local vol baskets
Communications on Pure and Applied Mathematics | 2014-10-09 | Paper |
Simulation of forward-reverse stochastic representations for conditional diffusions
The Annals of Applied Probability | 2014-09-25 | Paper |
On nonasymptotic optimal stopping criteria in Monte Carlo simulations
SIAM Journal on Scientific Computing | 2014-08-13 | Paper |
Utility maximization in a binomial model with transaction costs: a duality approach based on the shadow price process
International Journal of Theoretical and Applied Finance | 2014-08-08 | Paper |
Semi-closed form cubature and applications to financial diffusion models
Quantitative Finance | 2014-02-20 | Paper |
Fast Ninomiya-Victoir calibration of the double-mean-reverting model
Quantitative Finance | 2014-01-23 | Paper |
Combining non-cointegration tests
Journal of Time Series Analysis | 2013-10-09 | Paper |
Cubature on Wiener space: pathwise convergence
Applied Mathematics and Optimization | 2013-08-09 | Paper |
How accurate is molecular dynamics?
| 2011-04-05 | Paper |
Adaptive weak approximation of reflected and stopped diffusions
Monte Carlo Methods and Applications | 2010-05-26 | Paper |
Cubature on Wiener space in infinite dimension
Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences | 2010-05-19 | Paper |
On the interaction of financial frictions and fixed capital adjustment costs: evidence from a panel of German firms
Journal of Economic Dynamics and Control | 2010-01-19 | Paper |
Investment timing and predatory behavior in a duopoly with endogenous exit
Journal of Economic Dynamics and Control | 2009-07-01 | Paper |
Near-wall measurements of turbulence statistics in a fully developed channel flow with a novel laser Doppler velocity profile sensor
European Journal of Mechanics. B. Fluids | 2008-10-30 | Paper |
The proof of Tchakaloff’s Theorem
Proceedings of the American Mathematical Society | 2006-06-21 | Paper |
A Reproducing Kernel Hilbert Space approach to singular local stochastic volatility McKean-Vlasov models
| N/A | Paper |
