Bayer, Christian; Redmann, Martin; Schoenmakers, John Dynamic programming for optimal stopping via pseudo-regression. (English) Zbl 1479.91389 Quant. Finance 21, No. 1, 29-44 (2021). MSC: 91G20 60G40 90C39 91G60 PDFBibTeX XMLCite \textit{C. Bayer} et al., Quant. Finance 21, No. 1, 29--44 (2021; Zbl 1479.91389) Full Text: DOI arXiv
Redmann, Martin; Bayer, Christian; Goyal, Pawan Low-dimensional approximations of high-dimensional asset price models. (English) Zbl 1466.91352 SIAM J. Financ. Math. 12, No. 1, 1-28 (2021). MSC: 91G20 60H10 PDFBibTeX XMLCite \textit{M. Redmann} et al., SIAM J. Financ. Math. 12, No. 1, 1--28 (2021; Zbl 1466.91352) Full Text: DOI arXiv
Bayer, Christian; Belomestny, Denis; Redmann, Martin; Riedel, Sebastian; Schoenmakers, John Solving linear parabolic rough partial differential equations. (English) Zbl 1442.65303 J. Math. Anal. Appl. 490, No. 1, Article ID 124236, 44 p. (2020). MSC: 65M75 65C30 35R60 PDFBibTeX XMLCite \textit{C. Bayer} et al., J. Math. Anal. Appl. 490, No. 1, Article ID 124236, 44 p. (2020; Zbl 1442.65303) Full Text: DOI arXiv