Economy – Quantitative Finance – Computational Finance
Scientist
Economy
Quantitative Finance
Computational Finance
Scientist
Dual representations for general multiple stopping problems
Efficient and accurate log-Lévy approximations to Lévy driven LIBOR models
Holomorphic transforms with application to affine processes
Monte Carlo Greeks for financial products via approximative transition densities
Optimal dual martingales, their analysis and application to new algorithms for Bermudan products
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