3 papers
math.NA2026
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.…
math.GM2026
Quantile-Based Skewness for Fuzzy Numbers with Probabilistic Foundations: With an Application in Portfolio Optimization
Jan Schneider, Kaja BiliÅska, 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…
stat.ML2024
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…