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Emmanuel Gobet, Vlad Bally, Harald Luschgy, Jacques Printems, Damien Lamberton, Benedikt Wilbertz, Siegfried Graf, Fabien Panloup, Sylvain Corlay, Noufel Frikha, Abass Sagna, Jeanclaude Fort, Mohamed Ben Alaya, Adam Jakubowski, Olivier Bardou. Content Based: Link: Gilles Pages. Co-author Map More ...
Dual quantization for random walks with application to credit...
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Description. Cover Image. Dual quantization for random walks with application to credit derivatives. Gilles Pagès; Benedikt Wilbertz. Year of Publication:
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Harald Luschgy, Gilles Pagès, and Benedikt Wilbertz, "Asymptotically optimal quantization schemes for Gaussian processes", ESAIM: PS, vol. 14, pp
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Gilles Pagès and Benedikt Wilbertz: Optimal Delaunay and Voronoi quantization schemes for pricing American style options Bruno Bouchard, Xavier Warin: ...
[ ] GPGPUs in com…tional finance: Massive parallel...
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Title: GPGPUs in com…tional finance: Massive parallel com…ng for American style options. Authors: Gilles Pagès (PMA), Benedikt Wilbertz (PMA). (Submitted on 17 Jan 2011). Abstract: The pricing of American style and multiple exercise options is a very challenging problem in mathematical finance. One usually ...
Master's thesis Implementation of algorithms for relativistic ...
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each of the fermions have a …sponding antiparticle, with the same mass and spin, and opposite ... acquire mass [43] Gilles Pagès and Benedikt Wilbertz.
Quantitative Finance authors/titles 2009
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Comments: Presentation at IMA First Conference on Com…tional Finance Games, Social Choices and Quantitative Techniques, pp , Springer-Verlag, Milan (2009) Authors: Gilles Pagès (PMA), Benedikt Wilbertz (PMA).
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Gilles Pages and Benedikt Wilbertz, Univ. Pierre & Marie Curie. Parallel Implementation of Quantization Methods for the Valuation of Swing Options on GPGPU.
Sharp Rate for the Dual Quantization Problem | SpringerLink
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Gilles Pagès and Benedikt Wilbertz. Abstract In this paper we establish the sharp rate of the optimal dual quantization problem. The notion of dual quantization ...
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A variance reduction technique using a quantized Brownian motion as a...
Dual quantization for random walks with application to credit derivatives. Gilles Pagès and Benedikt Wilbertz. Volume 16, Number 2 (December ...
12th European Summer School in Financial Mathematics - Louis...
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Gilles Pagès, Sorbonne University, Paris. Mark Podolskij, Aarhus University. Roberto Renò, University of Verona. Benedikt Wilbertz, Sorbonne University, Paris ...
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Harald Luschgy, Gilles Pagès, Benedikt Wilbertz (2010). ESAIM: Probability and Statistics. We describe quantization designs which lead to asymptotically and ...
EUDML | Asymptotically optimal quantization schemes for Gaussian...
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Asymptotically optimal quantization schemes for Gaussian processes on Hilbert spaces*. Harald Luschgy; Gilles Pagès; Benedikt Wilbertz · ESAIM: Probability ...
European Summer School in Financial Mathematics
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Lectures by: Gilles Pagès, Sorbonne University, Paris; Mark Podolskij, Aarhus University; Roberto Renò, University of Verona; Benedikt Wilbertz, Sorbonne ...
MPG.eBooks - Inhaltsangabe: Numerical Methods in Finance
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Gilles Pagès and Benedikt Wilbertz: Optimal Delaunay and Voronoi quantization schemes for pricing American style options; 7.Bruno Bouchard, Xavier Warin: ...
volume XLIX
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49LNM (2018); Gilles Pagès and Benedikt Wilbertz. Sharp Rate for the Dual Quantization Problem. Vol. 49LNM ...
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... Papageorgiou -- Optimal Delaunay and Voronoi Quantization Schemes for Pricing American Style Options / Gilles Pagès and Benedikt Wilbertz -- Monte- Carlo ...
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GPGPUs in com…tional finance: Massive parallel com…ng for American style options · Gilles Pagès, Benedikt Wilbertz. Jan q-fin.CP math.PR q-fin.
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Gilles Pages, Benedikt Wilbertz. The pricing of American style and multiple exercise options is a very challenging problem in mathematical ...
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Gilles Pagès, Benedikt Wilbertz. Jan q-fin.CP math.PR q-fin.PR arXiv: v1. Scited Scite! 0. @misc{ , author = {Gilles Pagès (PMA), ...
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