4 papers
Comparison results for highly degenerate parabolic equations with univariate convex data and optimal strategies for options on trading accounts
Jörg Kampen, Jan Vecer
For linear multivariate purely second order highla degenerated parabolic equations with univariate convex data, monotonicity of the coefficent matrices implies monotonicity of the…
On global regular solution branches and multiple solutions of the Boltzmann equation
Jörg Kampen
Existence of global regular solution branches of the Boltzmann Cauchy problem with continuously differentiable data in phase space dimension with polynomial decay at inf…
Monte Carlo Greeks for financial products via approximative transition densities
Joerg Kampen, Anastasia Kolodko, John Schoenmakers
In this paper we introduce efficient Monte Carlo estimators for the valuation of high-dimensional derivatives and their sensitivities (''Greeks''). These estimators are based on an…
Global regularity and probabilistic schemes for free boundary surfaces of multivariate American derivatives and their Greeks
Joerg Kampen
In a rather general setting of multivariate stochastic volatility market models we derive global iterative probabilistic schemes for computing the free boundary and its Greeks for…