Mathematics – Numerical Analysis
Scientist
Mathematics
Numerical Analysis
Scientist
A limit order book model for latency arbitrage
Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation
Convergence, Non-negativity and Stability of a New Milstein Scheme with Applications to Finance
On Markovian solutions to Markov Chain BSDEs
Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients
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