Zobrazeno 1 - 10
of 102
pro vyhledávání: '"Glau, Kathrin"'
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:
Glau, Kathrin, Wunderlich, Linus
We propose the deep parametric PDE method to solve high-dimensional parametric partial differential equations. A single neural network approximates the solution of a whole family of PDEs after being trained without the need of sample solutions. As a
Externí odkaz:
http://arxiv.org/abs/2012.06211
Autor:
Glau, Kathrin1 (AUTHOR), Wunderlich, Linus1 (AUTHOR) L.Wunderlich@qmul.ac.uk
Publikováno v:
Annals of Operations Research. May2024, Vol. 336 Issue 1/2, p331-357. 27p.
We introduce a new method to calculate the credit exposure of European and path-dependent options. The proposed method is able to calculate accurate expected exposure and potential future exposure profiles under the risk-neutral and the real-world me
Externí odkaz:
http://arxiv.org/abs/1912.01280
We propose a methodology for computing single and multi-asset European option prices, and more generally expectations of scalar functions of (multivariate) random variables. This new approach combines the ability of Monte Carlo simulation to handle h
Externí odkaz:
http://arxiv.org/abs/1910.07241
We introduce a new method to calculate the credit exposure of Bermudan, discretely monitored barrier and European options. Core of the approach is the application of the dynamic Chebyshev method of Glau et al. (2019). The dynamic Chebyshev method del
Externí odkaz:
http://arxiv.org/abs/1905.00238
Treating high dimensionality is one of the main challenges in the development of computational methods for solving problems arising in finance, where tasks such as pricing, calibration, and risk assessment need to be performed accurately and in real-
Externí odkaz:
http://arxiv.org/abs/1902.04367
We introduce a new method to price American options based on Chebyshev interpolation. In each step of a dynamic programming time-stepping we approximate the value function with Chebyshev polynomials. The key advantage of this approach is that it allo
Externí odkaz:
http://arxiv.org/abs/1806.05579
Autor:
Glau, Kathrin, Wunderlich, Linus
Publikováno v:
In Applied Mathematics and Computation 1 November 2022 432
The implied volatility is a crucial element of any financial toolbox, since it is used for quoting and the hedging of options as well as for model calibration. In contrast to the Black-Scholes formula its inverse, the implied volatility, is not expli
Externí odkaz:
http://arxiv.org/abs/1710.01797