Numerical Valuation of Derivatives in High-Dimensional Settings via PDE Expansions
Reisinger, C
Wissmann, R
(10 Sep 2012)
doi:10.48550/arxiv.1209.1909
Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives
Bujok, K
Hambly, B
Reisinger, C
(04 Nov 2012)
doi:10.48550/arxiv.1211.0707
A Forward Equation for Barrier Options under the Brunick&Shreve Markovian Projection
Hambly, B
Mariapragassam, M
Reisinger, C
(13 Nov 2014)
doi:10.48550/arxiv.1411.3618
Convergence of an Euler scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets
Cozma, A
Mariapragassam, M
Reisinger, C
(24 Jan 2015)
doi:10.48550/arxiv.1501.06084
A mixed Monte Carlo and PDE variance reduction method for foreign exchange options under the Heston-CIR model
Cozma, A
Reisinger, C
(03 Sep 2015)
doi:10.48550/arxiv.1509.01479
Error analysis of truncated expansion solutions to high-dimensional parabolic PDEs
Reisinger, C
Wissmann, R
(18 May 2015)
doi:10.48550/arxiv.1505.04639
Exponential integrability properties of Euler discretization schemes for the Cox-Ingersoll-Ross process
Cozma, A
Reisinger, C
(17 Dec 2015)
doi:10.48550/arxiv.1601.00919
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