12 citations · 57 across the 23 of their papers we have counts for
4 papers · 1 filter
New Algorithms And Fast Implementations To Approximate Stochastic Processes
Kipngeno Benard Kirui, Georg Ch. Pflug, Alois Pichler
We present new algorithms and fast implementations to find efficient approximations for modelling stochastic processes. For many numerical computations it is essential to develop f…
Quantification of Risk in Classical Models of Finance
Alois Pichler, Ruben Schlotter
This paper enhances the pricing of derivatives as well as optimal control problems to a level comprising risk. We employ nested risk measures to quantify risk, investigate the limi…
Convex Risk Measures based on Divergence
Paul Dommel, Alois Pichler
Risk measures connect probability theory or statistics to optimization, particularly to convex optimization. They are nowadays standard in applications of finance and in insurance…
Wasserstein sensitivity of Risk and Uncertainty Propagation
Oliver G. Ernst, Alois Pichler, Björn Sprungk
When propagating uncertainty in the data of differential equations, the probability laws describing the uncertainty are typically themselves subject to uncertainty. We present a se…