16 citations · 20 across the 5 of their papers we have counts for
5 papers
Importance sampling for option pricing with feedforward neural networks
Aleksandar Arandjelović, Thorsten Rheinländer, Pavel V. Shevchenko
We study the problem of reducing the variance of Monte Carlo estimators through performing suitable changes of the sampling measure which are induced by feedforward neural networks…
Brownian trading excursions and avalanches
Friedrich Hubalek, Paul Krühner, Thorsten Rheinländer
We study a parsimonious but non-trivial model of the latent limit order book where orders get placed with a fixed displacement from a center price process, i.e.\ some process in-be…
Self-dual continuous processes
Thorsten Rheinländer, Michael Schmutz
The important application of semi-static hedging in financial markets naturally leads to the notion of quasi self-dual processes which is, for continuous semimartingales, related t…
Quasi self-dual exponential Lévy processes
Thorsten Rheinländer, Michael Schmutz
The important application of semi-static hedging in financial markets naturally leads to the notion of quasi self-dual processes. The focus of our study is to give new characteriza…
The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models
Thorsten Rheinländer, Gallus Steiger
We determine the minimal entropy martingale measure for a general class of stochastic volatility models where both price process and volatility process contain jump terms which are…