1 citations · 1 across the 1 of their papers we have counts for
5 papers
A Discretization Scheme for BSDEs with Random Time Horizon
Frank T. Seifried, Maximilian Würschmidt
We analyze a natural extension of the backward Euler approximation for a class of BSDEs with Lipschitz generators and random (unbounded) time horizons. We derive strong error bound…
A Probabilistic Approach to Shape Derivatives
Luka Schlegel, Volker Schulz, Frank T. Seifried +1
We introduce a novel mesh-free and direct method for computing the shape derivative in PDE-constrained shape optimization problems. Our approach is based on a probabilistic represe…
Finite State Mean Field Games with Common Shocks
Berenice Anne Neumann, Frank T. Seifried
We present a novel framework for mean field games with finite state space and common noise, where the common noise is given through shocks that occur at random times. We first anal…
Generalized Pareto Processes and Liquidity
Sascha Desmettre, Johan de Kock, Peter Ruckdeschel +1
Motivated by the modeling of liquidity risk in fund management in a dynamic setting, we propose and investigate a class of time series models with generalized Pareto marginals: the…
Hedging with Small Uncertainty Aversion
Sebastian Herrmann, Johannes Muhle-Karbe, Frank Thomas Seifried
We study the pricing and hedging of derivative securities with uncertainty about the volatility of the underlying asset. Rather than taking all models from a prespecified class equ…