3 papers
econ.GN2020
Contingent Capital with Stock Price Triggers in Interbank Networks
Anne G. Balter, Nikolaus Schweizer, Juan C. Vera
This paper studies existence and uniqueness of equilibrium prices in a model of the banking sector in which banks trade contingent convertible bonds with stock price triggers among…
math.ST2019
`Regression Anytime' with Brute-Force SVD Truncation
Christian Bender, Nikolaus Schweizer
We propose a new least-squares Monte Carlo algorithm for the approximation of conditional expectations in the presence of stochastic derivative weights. The algorithm can serve as…
stat.CO2018
Perturbation Bounds for Monte Carlo within Metropolis via Restricted Approximations
Felipe Medina-Aguayo, Daniel Rudolf, Nikolaus Schweizer
The Monte Carlo within Metropolis (MCwM) algorithm, interpreted as a perturbed Metropolis-Hastings (MH) algorithm, provides an approach for approximate sampling when the target dis…