Henry Schellhorn

Available identifiers

zbMath Open schellhorn.henryMaRDI QIDQ869643

List of research outcomes

Publication	Date of Publication	Type
Machine learning for asset management and pricing	2024-07-19	Paper
Optimal control of the SIR model with constrained policy, with an application to COVID-19	2022-03-22	Paper
Corrigendum to: ``A theoretical argument why the \(t\)-copula explains credit risk contagion better than the Gaussian copula	2022-03-07	Paper
An infinite-dimensional model of liquidity in financial markets	2021-11-09	Paper
Optimal control of the SIR model in the presence of transmission and treatment uncertainty	2021-11-08	Paper
Dyson type formula for pure jump Lévy processes with some applications to finance	2020-01-24	Paper
AMERICAN OPTION PRICING WITH REGRESSION: CONVERGENCE ANALYSIS	2020-01-16	Paper
On the distribution of extended CIR model	2019-02-20	Paper
Semigroup solution of path-dependent second-order parabolic partial differential equations	2018-10-15	Paper
Estimation of the pointwise Hölder exponent of hidden multifractional Brownian motion using wavelet coefficients	2018-04-16	Paper
A representation theorem for smooth Brownian martingales	2016-11-25	Paper
A New Algorithm to Simulate the First Exit Times of a Vector of Brownian Motions, with an Application to Finance	2016-02-05	Paper
Estimation of the Pointwise H\"older Exponent of Hidden Multifractional Brownian Motion Using Wavelet Coefficients	2015-12-16	Paper
https://portal.mardi4nfdi.de/entity/Q2945890	2015-09-15	Paper
Fractional Hida Malliavin Derivatives and Series Representations of Fractional Conditional Expectations	2014-06-05	Paper
A Bond Option Pricing Formula in the Extended CIR Model, with an Application to Stochastic Volatility	2013-12-12	Paper
A Representation Theorem for Smooth Brownian Martingales	2012-05-01	Paper
Credit Risk in a Network Economy	2012-02-21	Paper
A trading mechanism contingent on several indices	2011-08-10	Paper
A theoretical argument why the \(t\)-copula explains credit risk contagion better than the Gaussian copula	2010-09-29	Paper
https://portal.mardi4nfdi.de/entity/Q3553691	2010-04-21	Paper
A double-sided multiunit combinatorial auction for substitutes: Theory and algorithms	2009-04-30	Paper
An Algorithm for Optimal Stopping With Path-Dependent Rewards Based on Regression And Malliavin Calculus	2009-01-22	Paper
An analytical characterization for an optimal change of Gaussian measures	2008-11-20	Paper
A new simulation approach to the LIBOR market model	2008-03-12	Paper
A note on the first moment of makespan in an assembly shop	2007-03-08	Paper
A formulation of combinatorial auction via reverse convex programming	2006-08-28	Paper
https://portal.mardi4nfdi.de/entity/Q4934393	2000-06-14	Paper
Combination trading with limit orders	1998-03-04	Paper

Research outcomes over time

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