18 citations · 31 across the 5 of their papers we have counts for
5 papers
GPGPUs in computational finance: Massive parallel computing for American style options
Gilles Pagès, Benedikt Wilbertz
The pricing of American style and multiple exercise options is a very challenging problem in mathematical finance. One usually employs a Least-Square Monte Carlo approach (Longstaf…
Sharp rate for the dual quantization problem
Gilles Pagès, Benedikt Wilbertz
In this paper we establish the sharp rate of the optimal dual quantization problem. The notion of dual quantization was recently introduced in the paper [8], where it was shown tha…
Intrinsic stationarity for vector quantization: Foundation of dual quantization
Gilles Pagès, Benedikt Wilbertz
We develop a new approach to vector quantization, which guarantees an intrinsic stationarity property that also holds, in contrast to regular quantization, for non-optimal quantiza…
Dual Quantization for random walks with application to credit derivatives
Gilles Pagès, Benedikt Wilbertz
We propose a new Quantization algorithm for the approximation of inhomogeneous random walks, which are the key terms for the valuation of CDO-tranches in latent factor models. This…
Asymptotically optimal quantization schemes for Gaussian processes
Harald Luschgy, Gilles Pagès, Benedikt Wilbertz
We describe quantization designs which lead to asymptotically and order optimal functional quantizers. Regular variation of the eigenvalues of the covariance operator plays a cruci…