| Publication | Date of Publication | Type |
|---|
A reproducing kernel Hilbert space approach to singular local stochastic volatility McKean-Vlasov models
Finance and Stochastics | 2024-10-16 | Paper |
Solving Optimal Stopping Problems via Randomization and Empirical Dual Optimization
Mathematics of Operations Research | 2024-02-27 | Paper |
Primal-Dual Regression Approach for Markov Decision Processes with General State and Action Spaces
SIAM Journal on Control and Optimization | 2024-02-20 | Paper |
| Primal and dual optimal stopping with signatures | 2023-12-06 | Paper |
| Optimal Stopping with Randomly Arriving Opportunities to Stop | 2023-11-18 | Paper |
From optimal martingales to randomized dual optimal stopping
Quantitative Finance | 2023-09-25 | Paper |
Optimal stopping with signatures
The Annals of Applied Probability | 2023-06-05 | 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 |
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 |
Semitractability of optimal stopping problems via a weighted stochastic mesh algorithm
Mathematical Finance | 2021-03-23 | Paper |
Solving linear parabolic rough partial differential equations
Journal of Mathematical Analysis and Applications | 2020-06-17 | Paper |
| Robust Multiple Stopping -- A Pathwise Duality Approach | 2020-06-02 | Paper |
Optimal stopping via reinforced regression
Communications in Mathematical Sciences | 2020-04-07 | Paper |
Optimal stopping under uncertainty in drift and jump intensity
Mathematics of Operations Research | 2020-03-12 | Paper |
Optimal stopping of McKean-Vlasov diffusions via regression on particle systems
SIAM Journal on Control and Optimization | 2020-02-26 | Paper |
Forward-reverse expectation-maximization algorithm for Markov chains: convergence and numerical analysis
Advances in Applied Probability | 2020-02-05 | Paper |
Semi-tractability of optimal stopping problems via a weighted stochastic mesh algorithm
(available as arXiv preprint) | 2019-06-22 | Paper |
Optimal stopping via pathwise dual empirical maximisation
Applied Mathematics and Optimization | 2019-06-19 | Paper |
Projected particle methods for solving Mckean-Vlasov stochastic differential equations
SIAM Journal on Numerical Analysis | 2018-11-07 | Paper |
| Advanced simulation-based methods for optimal stopping and control. With applications in finance | 2018-06-11 | Paper |
Generalized Post-Widder inversion formula with application to statistics
Journal of Mathematical Analysis and Applications | 2017-08-03 | 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 |
Uniform approximation of the Cox–Ingersoll–Ross process via exact simulation at random times
Advances in Applied Probability | 2017-02-21 | Paper |
From rough path estimates to multilevel Monte Carlo
SIAM Journal on Numerical Analysis | 2016-05-20 | Paper |
Statistical inference for time-changed Lévy processes via Mellin transform approach
Stochastic Processes and their Applications | 2016-04-20 | Paper |
Uniform approximation of the Cox-Ingersoll-Ross process
Advances in Applied Probability | 2016-02-12 | Paper |
Uniform approximation of the Cox-Ingersoll-Ross process
Advances in Applied Probability | 2016-02-12 | Paper |
Affine LIBOR models with multiple curves: theory, examples and calibration
SIAM Journal on Financial Mathematics | 2015-10-21 | Paper |
Multilevel simulation based policy iteration for optimal stopping -- convergence and complexity
SIAM/ASA Journal on Uncertainty Quantification | 2015-09-09 | Paper |
Statistical Skorohod embedding problem: optimality and asymptotic normality
Statistics & Probability Letters | 2015-08-19 | Paper |
Addendum to: ``Multilevel dual approach for pricing American style derivatives
Finance and Stochastics | 2015-08-04 | Paper |
Dual representations for general multiple stopping problems
Mathematical Finance | 2015-04-24 | Paper |
Simulation of forward-reverse stochastic representations for conditional diffusions
The Annals of Applied Probability | 2014-09-25 | Paper |
Simulation of forward-reverse stochastic representations for conditional diffusions
The Annals of Applied Probability | 2014-09-25 | Paper |
Primal-dual linear Monte Carlo algorithm for multiple stopping -- an application to flexible caps
Quantitative Finance | 2014-02-20 | Paper |
Optimal dual martingales, their analysis, and application to new algorithms for Bermudan products
SIAM Journal on Financial Mathematics | 2014-01-23 | Paper |
Multilevel dual approach for pricing American style derivatives
Finance and Stochastics | 2013-11-06 | Paper |
Coupling local currency Libor models to FX Libor models
Recent Developments in Computational Finance | 2013-09-24 | Paper |
A pure martingale dual for multiple stopping
Finance and Stochastics | 2012-11-15 | Paper |
Minimum return guarantees with fund switching rights -- an optimal stopping problem
Journal of Economic Dynamics and Control | 2012-01-13 | Paper |
A jump-diffusion Libor model and its robust calibration
Quantitative Finance | 2011-06-09 | Paper |
| Efficient and accurate log-L\'evy approximations to L\'evy driven LIBOR models | 2011-06-04 | Paper |
Sensitivities for Bermudan options by regression methods
Decisions in Economics and Finance | 2010-11-12 | Paper |
Representations for optimal stopping under dynamic monetary utility functionals
SIAM Journal on Financial Mathematics | 2010-11-10 | Paper |
Regression methods for stochastic control problems and their convergence analysis
SIAM Journal on Control and Optimization | 2010-10-20 | Paper |
Pricing CMS spread options in a Libor market model
International Journal of Theoretical and Applied Finance | 2010-05-19 | Paper |
Monte Carlo Greeks for financial products via approximative transition densities
SIAM Journal on Scientific Computing | 2010-03-10 | Paper |
Multiple stochastic volatility extension of the Libor market model and its implementation
Monte Carlo Methods and Applications | 2010-02-10 | Paper |
Holomorphic transforms with application to affine processes
Journal of Functional Analysis | 2009-07-24 | Paper |
TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO
Mathematical Finance | 2009-03-06 | Paper |
Two-particle models for the estimation of the mean and standard deviation of concentrations in coastal waters
Stochastic Environmental Research and Risk Assessment | 2009-02-18 | Paper |
From structural assumptions to a link between assets and interest rates
Journal of Economic Dynamics and Control | 2008-12-12 | Paper |
Enhanced policy iteration for American options via scenario selection
Quantitative Finance | 2008-05-15 | Paper |
Policy iteration for american options: overview
Monte Carlo Methods and Applications | 2007-08-24 | Paper |
Forward and reverse representations for Markov chains
Stochastic Processes and their Applications | 2007-07-27 | Paper |
An iterative method for multiple stopping: convergence and stability
Advances in Applied Probability | 2006-11-02 | Paper |
Iterative construction of the optimal Bermudan stopping time
Finance and Stochastics | 2006-05-24 | Paper |
Systematic Generation of Parametric Correlation Structures for the LIBOR Market Model
International Journal of Theoretical and Applied Finance | 2005-10-19 | Paper |
| Robust Libor Modelling and Pricing of Derivative Products | 2005-04-06 | Paper |
| scientific article; zbMATH DE number 2151374 (Why is no real title available?) | 2005-04-04 | Paper |
Transition density estimation for stochastic differential equations via forward-reverse represen\-ta\-tions
Bernoulli | 2005-03-30 | Paper |
Upper Bounds for Bermudan Style Derivatives
Monte Carlo Methods and Applications | 2005-03-10 | Paper |
A NEW MONTE CARLO METHOD FOR AMERICAN OPTIONS
International Journal of Theoretical and Applied Finance | 2005-02-28 | Paper |
Variance reduction for Monte Carlo simulation of stochastic environmental models
Applied Mathematical Modelling | 2003-03-10 | Paper |
Monte Carlo construction of hedging strategies against multi-asset European claims
Stochastics and Stochastic Reports | 2002-11-24 | Paper |
Robust option replication for a Black-Scholes model extended with nondeterministic trends
Journal of Applied Mathematics and Stochastic Analysis | 2000-11-19 | Paper |
A Reproducing Kernel Hilbert Space approach to singular local stochastic volatility McKean-Vlasov models
(available as arXiv preprint) | N/A | Paper |
