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)
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)