Monte Carlo Methods in Financial Engineering

• Optimal Stopping of Batch Processes with Stochastic Dynamics – A Study of When to Act under Uncertainty

  2026 Systems and Control Transactions conference-paper Economics, Econometrics and Finance Stochastic processes and financial applications Open access

  0

  citations
• Towards Sobolev Pruning

  2024 Platform for Advanced Scientific Computing Conference (PASC) conference-paper Physics and Astronomy Model Reduction and Neural Networks Open access

  0

  citations
• Multilevel Monte Carlo with Numerical Smoothing for Robust and Efficient Computation of Probabilities and Densities

  2024 SIAM Journal on Scientific Computing article Economics, Econometrics and Finance Stochastic processes and financial applications

  2

  citations
• State-dependent importance sampling for estimating expectations of functionals of sums of independent random variables

  2023 Statistics and Computing article Mathematics Markov Chains and Monte Carlo Methods Open access

  7

  citations
• Hessian chain bracketing

  2023 Journal of Combinatorics article Computer Science Complexity and Algorithms in Graphs

  1

  citations
• Spectral methods to study the robustness of residual neural networks with infinite layers

  2020 Foundations of Data Science article Physics and Astronomy Model Reduction and Neural Networks Open access

  4

  citations

6 results