17 citations · 122 across the 28 of their papers we have counts for
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math.PR2021★ 2 cited
On the continuity of optimal stopping surfaces for jump-diffusions
Cheng Cai, Tiziano De Angelis, Jan Palczewski
We show that optimal stopping surfaces arising from time-inhomogeneous optimal stopping problems on two-dimensional jump-diffusions are continuous (…
stat.ML2021★ 3 cited
Automatic model training under restrictive time constraints
Lukas Cironis, Jan Palczewski, Georgios Aivaliotis
We develop a hyperparameter optimisation algorithm, Automated Budget Constrained Training (AutoBCT), which balances the quality of a model with the computational cost required to t…
q-fin.MF2021★ 10 cited
The American put with finite-time maturity and stochastic interest rate
Cheng Cai, Tiziano De Angelis, Jan Palczewski
In this paper we study pricing of American put options on the Black and Scholes market with a stochastic interest rate and finite-time maturity. We prove that the option value is a…