Stochastic evolution equations in portfolio credit modelling with applications to exotic credit products
Bush, N
Hambly, B
Haworth, H
Jin, L
Reisinger, C
(25 Mar 2011)
Penalty Methods for the Solution of Discrete HJB Equations -- Continuous Control and Obstacle Problems
Witte, J
Reisinger, C
(30 May 2011)
Numerical Valuation of Derivatives in High-Dimensional Settings via PDE Expansions
Reisinger, C
Wissmann, R
(10 Sep 2012)
Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives
Bujok, K
Hambly, B
Reisinger, C
(04 Nov 2012)
A Forward Equation for Barrier Options under the Brunick&Shreve Markovian Projection
Hambly, B
Mariapragassam, M
Reisinger, C
(13 Nov 2014)
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)
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)
Error analysis of truncated expansion solutions to high-dimensional parabolic PDEs
Reisinger, C
Wissmann, R
(18 May 2015)
Exponential integrability properties of Euler discretization schemes for the Cox-Ingersoll-Ross process
Cozma, A
Reisinger, C
(17 Dec 2015)
Efficient exposure computation by risk factor decomposition
de Graaf, C
Kandhai, D
Reisinger, C
(03 Aug 2016)