Zobrazeno 1 - 10
of 32
pro vyhledávání: '"Gaß, Maximilian"'
Autor:
Gaß, Maximilian, Glau, Kathrin
Two essential quantities for the analysis of approximation schemes of evolution equations are stability and convergence. We derive stability and convergence of fully discrete approximation schemes of solutions to linear parabolic evolution equations
Externí odkaz:
http://arxiv.org/abs/2102.10651
Autor:
Burkovska, Olena, Gaß, Maximilian, Glau, Kathrin, Mahlstedt, Mirco, Schoutens, Wim, Wohlmuth, Barbara
American options are the reference instruments for the model calibration of a large and important class of single stocks. For this task, a fast and accurate pricing algorithm is indispensable. The literature mainly discusses pricing methods for Ameri
Externí odkaz:
http://arxiv.org/abs/1611.06181
Autor:
Gaß, Maximilian, Glau, Kathrin
One popular approach to option pricing in L\'evy models is through solving the related partial integro differential equation (PIDE). For the numerical solution of such equations powerful Galerkin methods have been put forward e.g. by Hilber et al. (2
Externí odkaz:
http://arxiv.org/abs/1603.08216
Autor:
Gaß, Maximilian, Glau, Kathrin
We derive analyticity criteria for explicit error bounds and an exponential rate of convergence of the magic point empirical interpolation method introduced by Barrault et al. (2004). Furthermore, we investigate its application to parametric integrat
Externí odkaz:
http://arxiv.org/abs/1511.08510
We propose an offline-online procedure for Fourier transform based option pricing. The method supports the acceleration of such essential tasks of mathematical finance as model calibration, real-time pricing, and, more generally, risk assessment and
Externí odkaz:
http://arxiv.org/abs/1511.00884
Recurrent tasks such as pricing, calibration and risk assessment need to be executed accurately and in real-time. Simultaneously we observe an increase in model sophistication on the one hand and growing demands on the quality of risk management on t
Externí odkaz:
http://arxiv.org/abs/1505.04648
Autor:
Borkowsky, Sarah1 (AUTHOR), Gass, Maximilian1 (AUTHOR), Alavizargar, Azadeh2 (AUTHOR), Hanewinkel, Johannes1 (AUTHOR), Hallstein, Ina1 (AUTHOR), Nedvetsky, Pavel1 (AUTHOR), Heuer, Andreas2 (AUTHOR), Krahn, Michael P.1 (AUTHOR) michael.krahn@uni-muenster.de
Publikováno v:
Cells (2073-4409). Mar2023, Vol. 12 Issue 5, p812. 13p.
Akademický článek
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Publikováno v:
Finance & Stochastics. Jul2018, Vol. 22 Issue 3, p701-731. 31p.
Akademický článek
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