67 citations · 296 across the 28 of their papers we have counts for
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math.PR2017★ 8 cited
Approximation methods for piecewise deterministic Markov processes and their costs
Peter Kritzer, Gunther Leobacher, Michaela Szölgyenyi +1
In this paper, we analyse piecewise deterministic Markov processes, as introduced in Davis (1984). Many models in insurance mathematics can be formulated in terms of the general co…
math.NA2017★ 1 cited
Numerical methods for SDEs with drift discontinuous on a set of positive reach
Gunther Leobacher, Michaela Szölgyenyi
For time-homogeneous stochastic differential equations (SDEs) it is enough to know that the coefficients are Lipschitz to conclude existence and uniqueness of a solution, as well a…
q-fin.CP2017
A short introduction to quasi-Monte Carlo option pricing
Gunther Leobacher
One of the main practical applications of quasi-Monte Carlo (QMC) methods is the valuation of financial derivatives. We aim to give a short introduction into option pricing and sho…