3 citations · 4 across the 6 of their papers we have counts for
7 papers
Low-rank kernel methods for American option pricing
Michael Multerer, Paul Schneider, Chiara Segala
We propose a scalable and theoretically grounded low-rank conditional expectation model for recursive Monte Carlo optimal stopping problems, in particular American option pricing.…
Quantile-Based Skewness for Fuzzy Numbers with Probabilistic Foundations: With an Application in Portfolio Optimization
Jan Schneider, Kaja Bilińska, Paul Schneider +1
This paper introduces a novel parameter free skewness coefficient for fuzzy numbers, addressing a critical gap in quantifying asymmetry under imprecision. Existing fuzzy literature…
Fast Empirical Scenarios
Michael Multerer, Paul Schneider, Rohan Sen
We seek to extract a small number of representative scenarios from large panel data that are consistent with sample moments. Among two novel algorithms, the first identifies scenar…
Constrained Polynomial Likelihood
Caio Almeida, Ricardo Masini, Paul Schneider
We develop a non-negative polynomial minimum-norm likelihood ratio (PLR) of two distributions of which only moments are known. The sample PLR converges to the unknown population PL…
Density Approximations for Multivariate Affine Jump-Diffusion Processes
Damir Filipović, Eberhard Mayerhofer, Paul Schneider
We introduce closed-form transition density expansions for multivariate affine jump-diffusion processes. The expansions rely on a general approximation theory which we develop in w…
Empirical asset pricing with nonlinear risk premia
Aleksandar Mijatovic, Paul Schneider
In this paper we introduce a simple continuous-time asset pricing framework, based on general multi-dimensional diffusion processes, that combines semi-analytic pricing with a nonl…