9 citations · 11 across the 2 of their papers we have counts for
3 papers
Magic points in finance: Empirical integration for parametric option pricing
Maximilian Gaß, Kathrin Glau, Maximilian Mair
We propose an offline-online procedure for Fourier transform based option pricing. The method supports the acceleration of such essential tasks of mathematical finance as model cal…
Chebyshev Interpolation for Parametric Option Pricing
Maximilian Gaß, Kathrin Glau, Mirco Mahlstedt +1
Recurrent tasks such as pricing, calibration and risk assessment need to be executed accurately and in real-time. Simultaneously we observe an increase in model sophistication on t…
Recognizing Members of the Tournament Equilibrium Set is NP-hard
Felix Brandt, Felix Fischer, Paul Harrenstein
A recurring theme in the mathematical social sciences is how to select the "most desirable" elements given a binary dominance relation on a set of alternatives. Schwartz's tourname…