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2017

Altmayer, Martin ; Neuenkirch, Andreas (2017) Discretizing the Heston model : an analysis of the weak convergence rate. IMA journal of numerical analysis : IMAJNA Oxford 37 4 1930-1960 [Article]

Garrido-Atienza, Maria J. ; Neuenkirch, Andreas ; Schmalfuß, Björn (2017) Asymptotic stability of differential equations driven by Hölder continuous paths. Journal of dynamics and differential equations New York, NY [u.a.] [Article]

2016

Neuenkirch, Andreas ; Shalaiko, Taras (2016) The maximum rate of convergence for the approximation of the fractional Lévy area at a single point. Journal of complexity Amsterdam 33 107-117 [Article]

Neuenkirch, Andreas ; Parczewski, Peter (2016) Optimal approximation of skorohod integrals. Journal of theoretical probability New York, NY [u.a.] 1-26 [Article]

2015

Altmayer, Martin ; Neuenkirch, Andreas (2015) Multilevel Monte Carlo Quadrature of Discontinuous Payoffs in the Generalized Heston Model using Malliavin Integration by Parts. SIAM Journal on Financial Mathematics : SIFIN Philadelphia, Pa. 6 1 22-52 [Article]

Akhtari, Bahareh ; Babolian, Esmail ; Neuenkirch, Andreas (2015) An Euler scheme for stochastic delay differential equations on unbounded domains : pathwise convergence. Discrete and Continuous Dynamical Systems : DCDS. Series B Springfield, Mo. 20 1 23-38 [Article]

Neuenkirch, Andreas ; Shalaiko, Taras (2015) The relation between mixed and rough SDEs and its application to numerical methods. Stochastic Analysis and Applications Philadelphia, Pa. 33 5 927-942 [Article]

Altmayer, Martin (2015) Quadrature of discontinuous SDE functionals using Malliavin integration by parts. Open Access Mannheim [Doctoral dissertation]
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Altmayer, Martin (2015) Quadrature of discontinuous SDE functionals using Malliavin integration by parts. München [Book]

2014

Neuenkirch, Andreas ; Szpruch, Lukasz (2014) First order strong approximations of scalar SDEs defined in a domain. Numerische Mathematik Berlin [u.a.] 128 1 103-136 [Article]

Altmayer, Martin ; Dereich, Steffen ; Li, Sangmeng ; Müller-Gronbach, Thomas ; Neuenkirch, Andreas ; Ritter, Klaus ; Yaroslavtseva, Larissa (2014) Constructive Quantization of Multilevel Algorithms for Quadrature of Stochastic Differential Equations. Dahlke, Stephan Extraction of Quantifiable Information from Complex Systems Lecture Notes in Computational Science and Engineering Cham 102 109-132 [Book chapter]

2013

Kloeden, Peter ; Neuenkirch, Andreas (2013) Convergence of numerical methods for stochastic differential equations in mathematical finance. Gerstner, Thomas Recent Developments in Computational Finance Interdisciplinary mathematical sciences New Jersey, NJ [u.a.] 14 49-80 [Book chapter]

Schneider, Georg Hubert (2013) Lagrange interpolation and quasi-interpolation using trivariate splines on a uniform partition. Open Access Mannheim [Doctoral dissertation]
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2012

Dereich, Steffen ; Neuenkirch, Andreas ; Szpruch, Lukasz (2012) An Euler-type method for the strong approximation of the Cox-Ingersoll-Ross process. Proceedings / Section A, Mathematics Edinburgh 468 1105-1115 [Article]

Deya, Aurélien ; Neuenkirch, Andreas ; Tindel, Samy (2012) A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion. Annales de l’Institut Henri Poincaré. Probabilités et statistiques Bethesda, Md. 48 2 518-550 [Article]

This list was created automatically on Fri Dec 4 04:43:15 2020 CET