Efficient exposure computation by risk factor decomposition
de Graaf, C
Kandhai, D
Reisinger, C
(03 Aug 2016)
doi:10.48550/arxiv.1608.01197
Numerical analysis of an extended structural default model with mutual liabilities and jump risk
Kaushansky, V
Lipton, A
Reisinger, C
(30 Dec 2016)
doi:10.48550/arxiv.1701.00030
Boundary Treatment and Multigrid Preconditioning for Semi-Lagrangian Schemes Applied to Hamilton-Jacobi-Bellman Equations
Reisinger, C
Arto, J
(16 May 2016)
doi:10.48550/arxiv.1605.04821
Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations and jumps
Dumitrescu, R
Reisinger, C
Zhang, Y
(10 Mar 2018)
doi:10.48550/arxiv.1803.03794
Simulation of particle systems interacting through hitting times
Kaushansky, V
Reisinger, C
(29 May 2018)
doi:10.48550/arxiv.1805.11678
Calibration of Local-Stochastic and Path-Dependent Volatility Models to Vanilla and No-Touch Options
Bain, A
Mariapragassam, M
Reisinger, C
(03 Nov 2019)
doi:10.48550/arxiv.1911.00877
First order convergence of Milstein schemes for McKean-Vlasov equations and interacting particle systems
Bao, J
Reisinger, C
Ren, P
Stockinger, W
(07 Apr 2020)
doi:10.48550/arxiv.2004.03325
Milstein schemes and antithetic multilevel Monte Carlo sampling for delay McKean-Vlasov equations and interacting particle systems
Bao, J
Reisinger, C
Ren, P
Stockinger, W
(03 May 2020)
doi:10.48550/arxiv.2005.01165
An adaptive Euler-Maruyama scheme for McKean-Vlasov SDEs with super-linear growth and application to the mean-field FitzHugh-Nagumo model
Reisinger, C
Stockinger, W
(12 May 2020)
doi:10.48550/arxiv.2005.06034
Well-posedness and tamed schemes for McKean-Vlasov Equations with Common Noise
Kumar, C
Neelima
Reisinger, C
Stockinger, W
(31 May 2020)
doi:10.48550/arxiv.2006.00463