42 citations · 300 across the 66 of their papers we have counts for
5 papers · 1 filter
Some regularity and convergence results for parabolic Hamilton-Jacobi-Bellman equations in bounded domains
Athena Picarelli, Christoph Reisinger, Julen Rotaetxe Arto
We study the approximation of parabolic Hamilton-Jacobi-Bellman (HJB) equations in bounded domains with strong Dirichlet boundary conditions. We work under the assumption of the ex…
Executive stock option exercise with full and partial information on a drift change point
Vicky Henderson, Kamil Kladívko, Michael Monoyios +1
We analyse the optimal exercise of an executive stock option (ESO) written on a stock whose drift parameter falls to a lower value at a change point, an exponentially distributed r…
Strong convergence rates for Euler approximations to a class of stochastic path-dependent volatility models
Andrei Cozma, Christoph Reisinger
We consider a class of stochastic path-dependent volatility models where the stochastic volatility, whose square follows the Cox-Ingersoll-Ross model, is multiplied by a (leverage)…
Strong order 1/2 convergence of full truncation Euler approximations to the Cox-Ingersoll-Ross process
Andrei Cozma, Christoph Reisinger
We study convergence properties of the full truncation Euler scheme for the Cox-Ingersoll-Ross process in the regime where the boundary point zero is inaccessible. Under some condi…
Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates Model with a Control Variate Particle Method
Andrei Cozma, Matthieu Mariapragassam, Christoph Reisinger
We propose a novel and generic calibration technique for four-factor foreign-exchange hybrid local-stochastic volatility models with stochastic short rates. We build upon the parti…