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4 papers · 1 filter
The slippage paradox
Steffen Bohn
Buying or selling assets leads to transaction costs for the investor. On one hand, it is well know to all market practionaires that the transaction costs are positive on average an…
Adaptation to anisotropy and inhomogeneity via dyadic piecewise polynomial selection
Nathalie Akakpo
This article is devoted to nonlinear approximation and estimation via piecewise polynomials built on partitions into dyadic rectangles. The approximation rate is studied over possi…
The area of a self-similar fragmentation
Jean Bertoin
We consider the area $A=\int_0^{\infty}\left(\sum_{i=1}^{\infty} X_i(t)\right) \d t$ of a self-similar fragmentation process $\X=(\X(t), t\geq 0)$ with negative index. We character…
GPGPUs in computational finance: Massive parallel computing for American style options
Gilles Pagès, Benedikt Wilbertz
The pricing of American style and multiple exercise options is a very challenging problem in mathematical finance. One usually employs a Least-Square Monte Carlo approach (Longstaf…