Dr. Matthias Thiel Calibration of non-semimartingale models (2023)
Dr. Steffen Meyer Monte-Carlo methods for backward stochastic differential equations: Segment-wise dynamic programming and fast rates for lower bounds (2023)
Dr. Christian Gärtner Primal-dual methods for dynamic programming equations arising in finance (2018)
Dr. Philip Oberacker Stochastic calculus for Levy-driven Volterra processes (2015)
Dr. Peter Parczewski A Wick functional limit theorem and applications to fractional Brownian motion (2013)
Dr. Jessica Steiner Numerical solutions of BSDEs: A-posteriori estimates and enhanced least-squares Monte Carlo (2012)
Dr. Stanislav Pokalyuk Discretization of backward stochastic Volterra equations (2012)
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