19952020

Research output per year

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Research Output

Paper

Hedging Stochastischer Verpflichtungen

Wiese, A., 1995, p. 28-32. 5 p.

Research output: Contribution to conferencePaper

The impact of a drift on VaR

Wiese, A., 1999, p. 12. 1 p.

Research output: Contribution to conferencePaper

Chapter

Time evolution in quantum systems and stochastics

Doikou, A., Malham, S. J. A. & Wiese, A., 6 Feb 2020, (Accepted/In press) Centre de Recherches Mathématiques Series. (CRM Series).

Research output: Chapter in Book/Report/Conference proceedingChapter

Article

Algebraic structure of stochastic expansions and efficient simulation

Ebrahimi-Fard, K., Lundervold, A., Malham, S. J. A., Munthe-Kaas, H. & Wiese, A., 8 Aug 2012, In : Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences. 468, 2144, p. 2361-2382

Research output: Contribution to journalArticle

Open Access
File
38 Downloads (Pure)

Chi-square simulation of the CIR process and the Heston model

Malham, S. J. & Wiese, A., May 2013, In : International Journal of Theoretical and Applied Finance. 16, 3, 38 p., 1350014.

Research output: Contribution to journalArticle

Efficient almost-exact Lévy area sampling

Malham, S. J. A. & Wiese, A., 2014, In : Statistics and Probability Letters. 88, 1, p. 50-55 6 p.

Research output: Contribution to journalArticle

Efficient strong integrators for linear stochastic systems

Lord, G., Malham, S. J. A. & Wiese, A., 2008, In : SIAM Journal on Numerical Analysis. 46, 6, p. 2892-2919 28 p.

Research output: Contribution to journalArticle

Flows and stochastic Taylor series in Ito calculus

Wiese, A., Malham, S. J., Ebrahimi-Fard, K. & Patras, F., 18 Nov 2015, In : Journal of Physics A: Mathematical and Theoretical. 48, 49, 17 p., 495202.

Research output: Contribution to journalArticle

Open Access
File
72 Downloads (Pure)

Lévy processes and quasi-shuffle algebras

Curry, C., Ebrahimi-Fard, K., Malham, S. J. A. & Wiese, A., 2014, In : Stochastics: An International Journal of Probability and Stochastic Processes. 86, 4, p. 632-642 11 p.

Research output: Contribution to journalArticle

Optimal investment and bounded ruin probability: Constant portfolio strategies and mean-variance analysis

Korn, R. & Wiese, A., Nov 2008, In : ASTIN Bulletin: The Journal of the IAA. 38, 2, p. 423-440 18 p.

Research output: Contribution to journalArticle

Stochastic analysis & discrete quantum systems

Doikou, A., Malham, S. J. A. & Wiese, A., Aug 2019, In : Nuclear Physics B. 945, 114658.

Research output: Contribution to journalArticle

Open Access
File
12 Downloads (Pure)

Stochastic expansions and Hopf algebras

Malham, S. J. A. & Wiese, A., 8 Dec 2009, In : Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences. 465, 2112, p. 3729-3749 21 p.

Research output: Contribution to journalArticle

Stochastic Lie group integrators

Malham, S. J. A. & Wiese, A., 2008, In : SIAM Journal on Scientific Computing. 30, 2, p. 597-617 21 p.

Research output: Contribution to journalArticle

The exponential Lie series for continuous semimartingales

Ebrahimi-Fard, K., Malham, S. J., Patras, F. & Wiese, A., Dec 2015, In : Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences. 471, 2184, 20 p.

Research output: Contribution to journalArticle

File
38 Downloads (Pure)