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Number of items: 5.

Article

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

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]

Book

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

Book chapter

Altmayer, Martin ; Dereich, Steffen ; Li, Sangmeng ; Müller-Gronbach, Thomas ; Neuenkirch, Andreas ; Ritter, Klaus ; Yaroslavtseva, Larissa (2014) Constructive quantization and 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]

Doctoral dissertation

Altmayer, Martin (2015) Quadrature of discontinuous SDE functionals using Malliavin integration by parts. Open Access Mannheim [Doctoral dissertation]
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This list was created automatically on Sun Nov 29 04:28:39 2020 CET