Numerical analysis of an extended structural default model with mutual liabilities and jump risk
Kaushansky, V
Lipton, A
Reisinger, C
(30 Dec 2016)
Boundary Treatment and Multigrid Preconditioning for Semi-Lagrangian Schemes Applied to Hamilton-Jacobi-Bellman Equations
Reisinger, C
Arto, J
(16 May 2016)
Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations and jumps
Dumitrescu, R
Reisinger, C
Zhang, Y
(10 Mar 2018)
Simulation of particle systems interacting through hitting times
Kaushansky, V
Reisinger, C
(29 May 2018)
Calibration of Local-Stochastic and Path-Dependent Volatility Models to Vanilla and No-Touch Options
Bain, A
Mariapragassam, M
Reisinger, C
(03 Nov 2019)
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)
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)
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)
Well-posedness and tamed schemes for McKean-Vlasov Equations with Common Noise
Kumar, C
Neelima
Reisinger, C
Stockinger, W
(31 May 2020)
Well-posedness and numerical schemes for one-dimensional McKean-Vlasov equations and interacting particle systems with discontinuous drift
Leobacher, G
Reisinger, C
Stockinger, W
(26 Jun 2020)