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Bender, Christian

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Author ID: bender.christian Recent zbMATH articles by "Bender, Christian"
Published as: Bender, C.; Bender, Christian
External Links: MGP
Documents Indexed: 45 Publications since 2003

Publications by Year

Citations contained in zbMATH Open

40 Publications have been cited 440 times in 302 Documents Cited by Year
A forward scheme for backward SDEs. Zbl 1131.60054
Bender, Christian; Denk, Robert
49
2007
An Itô formula for generalized functionals of a fractional Brownian motion with arbitrary Hurst parameter. Zbl 1075.60530
Bender, Christian
39
2003
Pricing by hedging and no-arbitrage beyond semimartingales. Zbl 1199.91170
Bender, Christian; Sottinen, Tommi; Valkeila, Esko
28
2008
Least-squares Monte Carlo for backward SDEs. Zbl 1269.91098
Bender, Christian; Steiner, Jessica
26
2012
True upper bounds for bermudan products via non-nested Monte Carlo. Zbl 1155.91376
Belomestny, Denis; Bender, Christian; Schoenmakers, John
24
2009
Dual pricing of multi-exercise options under volume constraints. Zbl 1303.91167
Bender, Christian
23
2011
Time discretization and Markovian iteration for coupled FBSDEs. Zbl 1142.65005
Bender, Christian; Zhang, Jianfeng
23
2008
Fractional processes as models in stochastic finance. Zbl 1239.91001
Bender, Christian; Sottinen, Tommi; Valkeila, Esko
21
2011
An \(S\)-transform approach to integration with respect to a fractional Brownian motion. Zbl 1047.60049
Bender, Christian
19
2003
Explicit solutions of a class of linear fractional BSDEs. Zbl 1129.60313
Bender, Christian
16
2005
An iterative method for multiple stopping: convergence and stability. Zbl 1114.60033
Bender, Christian; Schoenmakers, John
15
2006
Finite variation of fractional Lévy processes. Zbl 1254.60040
Bender, Christian; Lindner, Alexander; Schicks, Markus
13
2012
Stochastic calculus for convoluted Lévy processes. Zbl 1173.60017
Bender, Christian; Marquardt, Tina
13
2008
Primal and dual pricing of multiple exercise options in continuous time. Zbl 1270.91090
Bender, Christian
12
2011
Arbitrage with fractional Brownian motion? Zbl 1152.91028
Bender, Christian; Sottinen, Tommi; Valkeila, Esko
12
2007
On the Clark-Ocone theorem for fractional Brownian motions with Hurst parameter bigger than a half. Zbl 1043.60027
Bender, Christian; Elliott, Robert J.
11
2003
A primal-dual algorithm for BSDEs. Zbl 1423.91008
Bender, Christian; Schweizer, Nikolaus; Zhuo, Jia
10
2017
Dual representations for general multiple stopping problems. Zbl 1318.91189
Bender, Christian; Schoenmakers, John; Zhang, Jianing
9
2015
Integrating volatility clustering into exponential Lévy models. Zbl 1188.91239
Bender, Christian; Marquardt, Tina
9
2009
Backward SDEs driven by Gaussian processes. Zbl 1329.60173
Bender, Christian
6
2014
On \(q\)-optimal martingale measures in exponential Lévy models. Zbl 1164.91009
Bender, Christian; Niethammer, Christina R.
6
2008
Maximal inequalities for fractional Lévy and related processes. Zbl 1325.60052
Bender, Christian; Knobloch, Robert; Oberacker, Philip
5
2015
Simple arbitrage. Zbl 1266.91092
Bender, Christian
5
2012
Importance sampling for backward SDEs. Zbl 1188.65004
Bender, Christian; Moseler, Thilo
5
2010
A first-order BSPDE for swing option pricing. Zbl 1391.91154
Bender, Christian; Dokuchaev, Nikolai
4
2016
A posteriori estimates for backward SDEs. Zbl 1282.65019
Bender, Christian; Steiner, Jessica
4
2013
Enhanced policy iteration for American options via scenario selection. Zbl 1134.91396
Bender, Christian; Kolodko, Anastasia; Schoenmakers, John
4
2008
The restriction of the fractional Itô integral to adapted integrands is injective. Zbl 1067.60024
Bender, Christian
4
2005
Arbitrage in a discrete version of the Wick-fractional Black-Scholes market. Zbl 1082.91045
Bender, Christian; Elliott, Robert J.
4
2004
Optimal superhedging under non-convex constraints – a BSDE approach. Zbl 1153.91463
Bender, Christian; Kohlmann, Michael
3
2008
Policy iteration for American options: overview. Zbl 1303.91168
Bender, Christian; Kolodko, Anastasia; Schoenmakers, John
3
2006
Sticky continuous processes have consistent price systems. Zbl 1406.91496
Bender, Christian; Pakkanen, Mikko S.; Sayit, Hasanjan
2
2015
A generalised Itō formula for Lévy-driven Volterra processes. Zbl 1319.60120
Bender, Christian; Knobloch, Robert; Oberacker, Philip
2
2015
Discretization of backward stochastic Volterra integral equations. Zbl 1310.91143
Bender, Christian; Pokalyuk, Stanislav
2
2013
On the connection between discrete and continuous Wick calculus with an application to the fractional Black-Scholes model. Zbl 1285.60048
Bender, Christian; Parczewski, Peter
2
2012
Approximating a geometric fractional Brownian motion and related processes via discrete Wick calculus. Zbl 1248.60044
Bender, Christian; Parczewski, Peter
2
2010
Prediction of pressure oscillations in a premixed swirl combustor flow and comparison to measurements. Zbl 1138.76311
Habisreuther, P.; Bender, C.; Petsch, O.; Büchner, H.; Bockhorn, H.
2
2006
Discretizing Malliavin calculus. Zbl 1391.60129
Bender, Christian; Parczewski, Peter
1
2018
A first-order BSPDE for swing option pricing: classical solutions. Zbl 1414.91362
Bender, Christian; Dokuchaev, Nikolai
1
2017
Iterative improvement of lower and upper bounds for backward SDEs. Zbl 1365.65011
Bender, Christian; Gärtner, Christian; Schweizer, Nikolaus
1
2017
Discretizing Malliavin calculus. Zbl 1391.60129
Bender, Christian; Parczewski, Peter
1
2018
A primal-dual algorithm for BSDEs. Zbl 1423.91008
Bender, Christian; Schweizer, Nikolaus; Zhuo, Jia
10
2017
A first-order BSPDE for swing option pricing: classical solutions. Zbl 1414.91362
Bender, Christian; Dokuchaev, Nikolai
1
2017
Iterative improvement of lower and upper bounds for backward SDEs. Zbl 1365.65011
Bender, Christian; Gärtner, Christian; Schweizer, Nikolaus
1
2017
A first-order BSPDE for swing option pricing. Zbl 1391.91154
Bender, Christian; Dokuchaev, Nikolai
4
2016
Dual representations for general multiple stopping problems. Zbl 1318.91189
Bender, Christian; Schoenmakers, John; Zhang, Jianing
9
2015
Maximal inequalities for fractional Lévy and related processes. Zbl 1325.60052
Bender, Christian; Knobloch, Robert; Oberacker, Philip
5
2015
Sticky continuous processes have consistent price systems. Zbl 1406.91496
Bender, Christian; Pakkanen, Mikko S.; Sayit, Hasanjan
2
2015
A generalised Itō formula for Lévy-driven Volterra processes. Zbl 1319.60120
Bender, Christian; Knobloch, Robert; Oberacker, Philip
2
2015
Backward SDEs driven by Gaussian processes. Zbl 1329.60173
Bender, Christian
6
2014
A posteriori estimates for backward SDEs. Zbl 1282.65019
Bender, Christian; Steiner, Jessica
4
2013
Discretization of backward stochastic Volterra integral equations. Zbl 1310.91143
Bender, Christian; Pokalyuk, Stanislav
2
2013
Least-squares Monte Carlo for backward SDEs. Zbl 1269.91098
Bender, Christian; Steiner, Jessica
26
2012
Finite variation of fractional Lévy processes. Zbl 1254.60040
Bender, Christian; Lindner, Alexander; Schicks, Markus
13
2012
Simple arbitrage. Zbl 1266.91092
Bender, Christian
5
2012
On the connection between discrete and continuous Wick calculus with an application to the fractional Black-Scholes model. Zbl 1285.60048
Bender, Christian; Parczewski, Peter
2
2012
Dual pricing of multi-exercise options under volume constraints. Zbl 1303.91167
Bender, Christian
23
2011
Fractional processes as models in stochastic finance. Zbl 1239.91001
Bender, Christian; Sottinen, Tommi; Valkeila, Esko
21
2011
Primal and dual pricing of multiple exercise options in continuous time. Zbl 1270.91090
Bender, Christian
12
2011
Importance sampling for backward SDEs. Zbl 1188.65004
Bender, Christian; Moseler, Thilo
5
2010
Approximating a geometric fractional Brownian motion and related processes via discrete Wick calculus. Zbl 1248.60044
Bender, Christian; Parczewski, Peter
2
2010
True upper bounds for bermudan products via non-nested Monte Carlo. Zbl 1155.91376
Belomestny, Denis; Bender, Christian; Schoenmakers, John
24
2009
Integrating volatility clustering into exponential Lévy models. Zbl 1188.91239
Bender, Christian; Marquardt, Tina
9
2009
Pricing by hedging and no-arbitrage beyond semimartingales. Zbl 1199.91170
Bender, Christian; Sottinen, Tommi; Valkeila, Esko
28
2008
Time discretization and Markovian iteration for coupled FBSDEs. Zbl 1142.65005
Bender, Christian; Zhang, Jianfeng
23
2008
Stochastic calculus for convoluted Lévy processes. Zbl 1173.60017
Bender, Christian; Marquardt, Tina
13
2008
On \(q\)-optimal martingale measures in exponential Lévy models. Zbl 1164.91009
Bender, Christian; Niethammer, Christina R.
6
2008
Enhanced policy iteration for American options via scenario selection. Zbl 1134.91396
Bender, Christian; Kolodko, Anastasia; Schoenmakers, John
4
2008
Optimal superhedging under non-convex constraints – a BSDE approach. Zbl 1153.91463
Bender, Christian; Kohlmann, Michael
3
2008
A forward scheme for backward SDEs. Zbl 1131.60054
Bender, Christian; Denk, Robert
49
2007
Arbitrage with fractional Brownian motion? Zbl 1152.91028
Bender, Christian; Sottinen, Tommi; Valkeila, Esko
12
2007
An iterative method for multiple stopping: convergence and stability. Zbl 1114.60033
Bender, Christian; Schoenmakers, John
15
2006
Policy iteration for American options: overview. Zbl 1303.91168
Bender, Christian; Kolodko, Anastasia; Schoenmakers, John
3
2006
Prediction of pressure oscillations in a premixed swirl combustor flow and comparison to measurements. Zbl 1138.76311
Habisreuther, P.; Bender, C.; Petsch, O.; Büchner, H.; Bockhorn, H.
2
2006
Explicit solutions of a class of linear fractional BSDEs. Zbl 1129.60313
Bender, Christian
16
2005
The restriction of the fractional Itô integral to adapted integrands is injective. Zbl 1067.60024
Bender, Christian
4
2005
Arbitrage in a discrete version of the Wick-fractional Black-Scholes market. Zbl 1082.91045
Bender, Christian; Elliott, Robert J.
4
2004
An Itô formula for generalized functionals of a fractional Brownian motion with arbitrary Hurst parameter. Zbl 1075.60530
Bender, Christian
39
2003
An \(S\)-transform approach to integration with respect to a fractional Brownian motion. Zbl 1047.60049
Bender, Christian
19
2003
On the Clark-Ocone theorem for fractional Brownian motions with Hurst parameter bigger than a half. Zbl 1043.60027
Bender, Christian; Elliott, Robert J.
11
2003
all top 5

Cited by 452 Authors

23 Bender, Christian
12 Zhao, Weidong
10 Schoenmakers, John G. M.
8 Sottinen, Tommi
7 Belomestny, Denis
7 Viitasaari, Lauri
6 Dokuchaev, Nikolai G.
6 Gobet, Emmanuel
6 Mishura, Yuliya Stepanivna
6 Oosterlee, Cornelis Willebrordus
5 Jentzen, Arnulf
5 Nualart, David
5 Zhou, Tao
4 dos Reis, Gonçalo
4 Fu, Yu
4 Lebovits, Joachim
4 Schied, Alexander
4 Schweizer, Nikolaus
4 Turkedjiev, Plamen
4 Yan, Litan
3 da Silva, José Luís
3 E, Weinan
3 Exarchos, Ioannis
3 Ferrando, Sebastián Esteban
3 Fink, Holger
3 Fujii, Masaaki
3 Kleptsyna, Marina L.
3 León, Jorge A.
3 Leonenko, Nikolai N.
3 Leung, Tim
3 Lévy Véhel, Jacques
3 Marquardt, Tina
3 Ruijter, Maria J.
3 Russo, Francesco
3 Sayit, Hasanjan
3 Shen, Guangjun
3 Shevchenko, Georgiy M.
3 Shi, Yufeng
3 Sikorskii, Alla
3 Takahashi, Akihiko
3 Theodorou, Evangelos A.
3 Wen, Jiaqiang
3 Woerner, Jeannette H. C.
3 Yang, Qigui
3 Zeng, Caibin
3 Zhang, Jianing
2 Alvarez, Alexander
2 Ankirchner, Stefan
2 Azmoodeh, Ehsan
2 Barndorff-Nielsen, Ole Eiler
2 Basse-O’Connor, Andreas
2 Bock, Wolfgang
2 Borkowski, Dariusz
2 Chan, Ngai Hang
2 Chandramouli, Shyam Sundar
2 Chassagneux, Jean-François
2 Chen, Yangquan
2 Chigansky, P. Yu.
2 Christensen, Soren
2 Cordero, Fernando
2 Di Girolami, Cristina
2 Di Nunno, Giulia
2 Dunst, Thomas
2 Gärtner, Christian
2 Gerhold, Stefan
2 Grecksch, Wilfried
2 Gyurkó, Lajos Gergely
2 Han, Jiequn
2 Haugh, Martin B.
2 Hinz, Juri
2 Hu, Yaozhong
2 Hutzenthaler, Martin
2 Jain, Shashi
2 Jańczak-Borkowska, Katarzyna
2 Joshi, Mark S.
2 Kim, Yoontae
2 Knobloch, Robert
2 Kohlmann, Michael
2 Labart, Céline
2 Ladkau, Marcel
2 Lempa, Jukka
2 Li, Yang
2 Lü, Xuebin
2 Melnikov, Aleksander Viktorovich
2 Miao, Jie
2 Moser, Martin
2 Neuenkirch, Andreas
2 Ng, Chi Tim
2 Oberacker, Philip
2 Pagès, Gilles
2 Pakkanen, Mikko S.
2 Parczewski, Peter
2 Perez-Ostafe, Lavinia
2 Petherick, S.
2 Podolskij, Mark
2 Prohl, Andreas
2 Qiu, Jinniao
2 Rásonyi, Miklós
2 Réveillac, Anthony
2 Rosiński, Jan
...and 352 more Authors
all top 5

Cited in 116 Serials

20 Stochastic Processes and their Applications
13 International Journal of Theoretical and Applied Finance
12 Stochastic Analysis and Applications
12 The Annals of Applied Probability
12 Bernoulli
9 Statistics & Probability Letters
8 Mathematical Finance
7 Quantitative Finance
6 Journal of Applied Probability
6 Finance and Stochastics
5 Journal of Mathematical Analysis and Applications
5 Journal of Economic Dynamics & Control
5 Mathematics and Financial Economics
5 SIAM Journal on Financial Mathematics
4 SIAM Journal on Control and Optimization
4 Journal of Scientific Computing
4 SIAM Journal on Scientific Computing
4 Applied Mathematical Finance
4 Fractional Calculus & Applied Analysis
4 Methodology and Computing in Applied Probability
4 Asia-Pacific Financial Markets
4 Frontiers of Mathematics in China
4 East Asian Journal on Applied Mathematics
3 Mathematics of Computation
3 Journal of Computational and Applied Mathematics
3 Mathematics of Operations Research
3 SIAM Journal on Numerical Analysis
3 Systems & Control Letters
3 Operations Research Letters
3 Probability Theory and Related Fields
3 Potential Analysis
3 Monte Carlo Methods and Applications
3 Mathematical Problems in Engineering
3 Infinite Dimensional Analysis, Quantum Probability and Related Topics
3 Stochastics and Dynamics
2 Advances in Applied Probability
2 Journal of Statistical Physics
2 Applied Mathematics and Computation
2 Journal of Functional Analysis
2 Proceedings of the American Mathematical Society
2 Applied Numerical Mathematics
2 Sequential Analysis
2 Journal of Theoretical Probability
2 Annals of Operations Research
2 European Journal of Operational Research
2 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
2 Bulletin des Sciences Mathématiques
2 Mathematical Methods of Operations Research
2 Chaos
2 Statistical Inference for Stochastic Processes
2 Decisions in Economics and Finance
2 ALEA. Latin American Journal of Probability and Mathematical Statistics
2 Science China. Mathematics
2 International Journal of Stochastic Analysis
2 SIAM/ASA Journal on Uncertainty Quantification
2 Probability, Uncertainty and Quantitative Risk
1 Computers & Mathematics with Applications
1 Communications on Pure and Applied Mathematics
1 Letters in Mathematical Physics
1 Lithuanian Mathematical Journal
1 Metrika
1 Physica A
1 Chaos, Solitons and Fractals
1 Theory of Probability and its Applications
1 The Annals of Probability
1 Applied Mathematics and Optimization
1 Automatica
1 Journal of Differential Equations
1 Journal of Econometrics
1 Numerische Mathematik
1 Revista de la Unión Matemática Argentina
1 Insurance Mathematics & Economics
1 Bulletin of the Korean Mathematical Society
1 Journal of Time Series Analysis
1 Acta Applicandae Mathematicae
1 Acta Mathematicae Applicatae Sinica. English Series
1 Numerical Algorithms
1 Computational Statistics
1 Communications in Statistics. Theory and Methods
1 International Journal of Computer Mathematics
1 Journal de Mathématiques Pures et Appliquées. Neuvième Série
1 Journal of Nonlinear Science
1 Applied Mathematics. Series B (English Edition)
1 Applicationes Mathematicae
1 Statistical Papers
1 Random Operators and Stochastic Equations
1 Opuscula Mathematica
1 Electronic Journal of Probability
1 Discrete and Continuous Dynamical Systems
1 Nonlinear Dynamics
1 Abstract and Applied Analysis
1 Mathematical and Computer Modelling of Dynamical Systems
1 Extremes
1 Flow, Turbulence and Combustion
1 Acta Mathematica Sinica. English Series
1 Communications in Nonlinear Science and Numerical Simulation
1 Brazilian Journal of Probability and Statistics
1 Discrete and Continuous Dynamical Systems. Series B
1 Acta Mathematica Scientia. Series B. (English Edition)
1 Journal of Machine Learning Research (JMLR)
...and 16 more Serials

Citations by Year