Christian Bender

Available identifiers

zbMath Open bender.christianWikidataQ102409616 ScholiaQ102409616MaRDI QIDQ430977

List of research outcomes

Publication	Date of Publication	Type
General transfer formula for stochastic integral with respect to multifractional Brownian motion	2024-04-02	Paper
Solving Optimal Stopping Problems via Randomization and Empirical Dual Optimization	2024-02-27	Paper
Superhedging Supermartingales	2023-12-22	Paper
Entropy-Regularized Mean-Variance Portfolio Optimization with Jumps	2023-12-20	Paper
A segment-wise dynamic programming algorithm for BSDEs	2023-07-13	Paper
Stochastic solutions of generalized time-fractional evolution equations	2022-12-23	Paper
Subordination principle and Feynman-Kac formulae for generalized time-fractional evolution equations	2022-12-21	Paper
Subordination principle and Feynman-Kac formulae for generalized time-fractional evolution equations	2022-02-03	Paper
``Regression anytime with brute-force SVD truncation	2021-11-04	Paper
Conditional Non-Lattice Integration, Pricing and Superhedging	2021-05-25	Paper
Model-Free Finance and Non-Lattice Integration	2021-05-21	Paper
Itô's formula for Gaussian processes with stochastic discontinuities	2020-05-29	Paper
Arbitrage-free interpolation of call option prices	2020-04-22	Paper
Pathwise Dynamic Programming	2020-03-12	Paper
`Regression Anytime' with Brute-Force SVD Truncation	2019-08-22	Paper
Discretizing Malliavin calculus	2018-06-13	Paper
A PRIMAL–DUAL ALGORITHM FOR BSDES	2017-07-21	Paper
A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING: CLASSICAL SOLUTIONS	2017-07-21	Paper
Iterative Improvement of Lower and Upper Bounds for Backward SDEs	2017-05-31	Paper
A general non-existence result for linear BSDEs driven by Gaussian processes	2017-03-20	Paper
A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING	2016-07-15	Paper
Pathwise Iteration for Backward SDEs	2016-05-24	Paper
Maximal Inequalities for Fractional Lévy and Related Processes	2015-10-23	Paper
Sticky Continuous Processes have Consistent Price Systems	2015-10-02	Paper
Solving Stochastic Dynamic Programs by Convex Optimization and Simulation	2015-06-18	Paper
A generalised Itō formula for Lévy-driven Volterra processes	2015-05-27	Paper
DUAL REPRESENTATIONS FOR GENERAL MULTIPLE STOPPING PROBLEMS	2015-04-24	Paper
Dual pricing of multi-exercise options under volume constraints	2014-12-17	Paper
Backward SDEs driven by Gaussian processes	2014-09-02	Paper
A Posteriori Estimates for Backward SDEs	2014-02-25	Paper
Discretization of backward stochastic Volterra integral equations	2013-09-24	Paper
https://portal.mardi4nfdi.de/entity/Q4925737	2013-06-12	Paper
Simple arbitrage	2012-11-29	Paper
Least-Squares Monte Carlo for Backward SDEs	2012-09-28	Paper
Approximating a geometric fractional Brownian motion and related processes via discrete Wick calculus	2012-09-19	Paper
Finite variation of fractional Lévy processes	2012-06-26	Paper
Primal and Dual Pricing of Multiple Exercise Options in Continuous Time	2012-04-19	Paper
Fractional Processes as Models in Stochastic Finance	2011-08-08	Paper
Importance Sampling for Backward SDEs	2010-03-19	Paper
Integrating Volatility Clustering Into Exponential Lévy Models	2009-10-08	Paper
Pricing by hedging and no-arbitrage beyond semimartingales	2009-08-08	Paper
TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO	2009-03-06	Paper
Stochastic calculus for convoluted Lévy processes	2009-03-02	Paper
On \(q\)-optimal martingale measures in exponential Lévy models	2009-02-28	Paper
OPTIMAL SUPERHEDGING UNDER NON-CONVEX CONSTRAINTS — A BSDE APPROACH	2008-08-26	Paper
Enhanced policy iteration for American options via scenario selection	2008-05-15	Paper
Time discretization and Markovian iteration for coupled FBSDEs	2008-03-19	Paper
A forward scheme for backward SDEs	2007-12-17	Paper
https://portal.mardi4nfdi.de/entity/Q5430704	2007-12-16	Paper
Policy iteration for american options: overview	2007-08-24	Paper
An iterative method for multiple stopping: convergence and stability	2006-11-02	Paper
Explicit solutions of a class of linear fractional BSDEs	2006-09-25	Paper
An Itô formula for generalized functionals of a fractional Brownian motion with arbitrary Hurst parameter.	2005-11-29	Paper
Arbitrage in a Discrete Version of the Wick-Fractional Black-Scholes Market	2005-11-11	Paper
THE RESTRICTION OF THE FRACTIONAL ITÔ INTEGRAL TO ADAPTED INTEGRANDS IS INJECTIVE	2005-03-30	Paper
An \(S\)-transform approach to integration with respect to a fractional Brownian motion	2004-06-10	Paper
On the Clark-Ocone Theorem for Fractional Brownian Motions with Hurst Parameter bigger than a Half	2004-05-27	Paper

Research outcomes over time

Doctoral students

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