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researcher

Thorsten Rheinländer

5 papers hereh-index 131.8k citations45 works total

Matching runs newest-first, so older work may not be attached to this profile yet.

author position
  • first author3
  • middle author1
  • last author1

Across the 5 of 5 papers where every author was matched, so the position is known.

fields
  • math.PR2
  • q-fin.CP1
  • q-fin.MF1
  • q-fin.RM1

identity via Semantic Scholar / OpenAlex

activity
20062021
most citedThe minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models

16 citations · 20 across the 5 of their papers we have counts for

collaborators
Showing 2021 · q-fin.CPShow all

1 paper · 2 filters

q-fin.CP2021

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…

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Not affiliated with arXiv. Researcher data from Semantic Scholar (ODC-BY) and OpenAlex.