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Author ID: gerhold.stefan Recent zbMATH articles by "Gerhold, Stefan"
Published as: Gerhold, Stefan; Gerhold, S.
External Links: MGP
Documents Indexed: 50 Publications since 2004
Reviewing Activity: 7 Reviews
Co-Authors: 49 Co-Authors with 36 Joint Publications
1,480 Co-Co-Authors

Publications by Year

Citations contained in zbMATH Open

39 Publications have been cited 270 times in 208 Documents Cited by Year
Transaction costs, trading volume, and the liquidity premium. Zbl 1305.91218
Gerhold, Stefan; Guasoni, Paolo; Muhle-Karbe, Johannes; Schachermayer, Walter
33
2014
On refined volatility smile expansion in the Heston model. Zbl 1267.91068
Friz, Peter; Gerhold, Stefan; Gulisashvili, Archil; Sturm, Stephan
22
2011
The dual optimizer for the growth-optimal portfolio under transaction costs. Zbl 1319.91142
Gerhold, S.; Muhle-Karbe, J.; Schachermayer, W.
19
2013
Asymptotics and duality for the Davis and Norman problem. Zbl 1276.91093
Gerhold, Stefan; Muhle-Karbe, Johannes; Schachermayer, Walter
16
2012
A procedure for proving special function inequalities involving a discrete parameter. Zbl 1360.68933
Gerhold, Stefan; Kauers, Manuel
14
2005
Asymptotics for a variant of the Mittag-Leffler function. Zbl 1257.33050
Gerhold, Stefan
14
2012
On the non-holonomic character of logarithms, powers, and the \(n\)th prime function. Zbl 1076.05004
Flajolet, Philippe; Gerhold, Stefan; Salvy, Bruno
13
2005
On Turán’s inequality for Legendre polynomials. Zbl 1155.26012
Alzer, Horst; Gerhold, Stefan; Kauers, Manuel; Lupaş, Alexandru
11
2007
Option pricing in the moderate deviations regime. Zbl 1411.91554
Friz, Peter; Gerhold, Stefan; Pinter, Arpad
10
2018
How to make Dupire’s local volatility work with jumps. Zbl 1402.91776
Friz, Peter K.; Gerhold, Stefan; Yor, Marc
10
2014
On the positivity set of a linear recurrence sequence. Zbl 1139.11010
Bell, Jason P.; Gerhold, Stefan
9
2007
Moment explosions in the rough Heston model. Zbl 1432.91123
Gerhold, Stefan; Gerstenecker, Christoph; Pinter, Arpad
9
2019
The longstaff-Schwartz algorithm for Lévy models: results on fast and slow convergence. Zbl 1219.62161
Gerhold, Stefan
8
2011
Small-maturity asymptotics for the at-the-money implied volatility slope in Lévy models. Zbl 1396.91731
Gerhold, Stefan; Gülüm, I. Cetin; Pinter, Arpad
6
2016
Non-holonomicity of sequences defined via elementary functions. Zbl 1189.11007
Bell, Jason P.; Gerhold, Stefan; Klazar, Martin; Luca, Florian
6
2008
A generalization of Panjer’s recursion and numerically stable risk aggregation. Zbl 1224.91060
Gerhold, Stefan; Schmock, Uwe; Warnung, Richard
6
2010
Lindelöf representations and (non-)holonomic sequences. Zbl 1222.05005
Flajolet, Philippe; Gerhold, Stefan; Salvy, Bruno
6
2010
Disproof of a conjecture by Rademacher on partial fractions. Zbl 1339.11087
Drmota, Michael; Gerhold, Stefan
5
2014
A computer proof of Turán’s inequality. Zbl 1132.26336
Gerhold, Stefan; Kauers, Manuel
5
2006
The Hartman-Watson distribution revisited: asymptotics for pricing Asian options. Zbl 1279.62041
Gerhold, Stefan
5
2011
Extrapolation analytics for Dupire’s local volatility. Zbl 1418.91511
Friz, Peter; Gerhold, Stefan
4
2015
On some non-holonomic sequences. Zbl 1063.11007
Gerhold, Stefan
4
2004
Point lattices and oscillating recurrence sequences. Zbl 1204.11024
Gerhold, Stefan
3
2005
The dynamic dictionary of mathematical functions (DDMF). Zbl 1295.65022
Benoit, Alexandre; Chyzak, Frédéric; Darrasse, Alexis; Gerhold, Stefan; Mezzarobba, Marc; Salvy, Bruno
3
2010
Moment explosion in the LIBOR market model. Zbl 1208.91152
Gerhold, Stefan
3
2011
Asymptotic estimates for some number-theoretic power series. Zbl 1206.11116
Gerhold, Stefan
3
2010
Can there be an explicit formula for implied volatility? Zbl 1315.91062
Gerhold, Stefan
3
2013
Counting finite languages by total word length. Zbl 1234.05024
Gerhold, Stefan
2
2011
Asymptotic expansion of Mathieu power series and trigonometric Mathieu series. Zbl 1450.30006
Gerhold, Stefan; Tomovski, Živorad
2
2019
Finding efficient recursions for risk aggregation by computer algebra. Zbl 1153.91592
Gerhold, Stefan; Warnung, Richard
2
2009
Small time central limit theorems for semimartingales with applications. Zbl 1337.60020
Gerhold, Stefan; Kleinert, Max; Porkert, Piet; Shkolnikov, Mykhaylo
2
2015
Refined wing asymptotics for the Merton and Kou jump diffusion models. Zbl 1312.91087
Gerhold, Stefan; Morgenbesser, Johannes F.; Zrunek, Axel
2
2015
Small-maturity digital options in Lévy models: an analytic approach. Zbl 1321.60093
Gerhold, Stefan
2
2015
Computing the complexity for Schelling segregation models. Zbl 1221.37185
Gerhold, Stefan; Glebsky, Lev; Schneider, Carsten; Weiss, Howard; Zimmermann, Burkhard
2
2008
Consistency of option prices under bid-ask spreads. Zbl 07200939
Gerhold, Stefan; Gülüm, Ismail Cetin
2
2020
Asymptotic analysis of a double integral occurring in the rough Bergomi model. Zbl 1454.41012
Gerhold, Stefan
1
2020
Peacocks nearby: approximating sequences of measures. Zbl 1478.60012
Gerhold, Stefan; Gülüm, I. Cetin
1
2019
Convergence properties of Kemp’s \(q\)-binomial distribution. Zbl 1213.60045
Gerhold, Stefan; Zeiner, Martin
1
2010
The Riemann-Liouville field and its GMC as \(H \to 0\), and skew flattening for the rough Bergomi model. Zbl 1478.60152
Forde, Martin; Fukasawa, Masaaki; Gerhold, Stefan; Smith, Benjamin
1
2022
The Riemann-Liouville field and its GMC as \(H \to 0\), and skew flattening for the rough Bergomi model. Zbl 1478.60152
Forde, Martin; Fukasawa, Masaaki; Gerhold, Stefan; Smith, Benjamin
1
2022
Consistency of option prices under bid-ask spreads. Zbl 07200939
Gerhold, Stefan; Gülüm, Ismail Cetin
2
2020
Asymptotic analysis of a double integral occurring in the rough Bergomi model. Zbl 1454.41012
Gerhold, Stefan
1
2020
Moment explosions in the rough Heston model. Zbl 1432.91123
Gerhold, Stefan; Gerstenecker, Christoph; Pinter, Arpad
9
2019
Asymptotic expansion of Mathieu power series and trigonometric Mathieu series. Zbl 1450.30006
Gerhold, Stefan; Tomovski, Živorad
2
2019
Peacocks nearby: approximating sequences of measures. Zbl 1478.60012
Gerhold, Stefan; Gülüm, I. Cetin
1
2019
Option pricing in the moderate deviations regime. Zbl 1411.91554
Friz, Peter; Gerhold, Stefan; Pinter, Arpad
10
2018
Small-maturity asymptotics for the at-the-money implied volatility slope in Lévy models. Zbl 1396.91731
Gerhold, Stefan; Gülüm, I. Cetin; Pinter, Arpad
6
2016
Extrapolation analytics for Dupire’s local volatility. Zbl 1418.91511
Friz, Peter; Gerhold, Stefan
4
2015
Small time central limit theorems for semimartingales with applications. Zbl 1337.60020
Gerhold, Stefan; Kleinert, Max; Porkert, Piet; Shkolnikov, Mykhaylo
2
2015
Refined wing asymptotics for the Merton and Kou jump diffusion models. Zbl 1312.91087
Gerhold, Stefan; Morgenbesser, Johannes F.; Zrunek, Axel
2
2015
Small-maturity digital options in Lévy models: an analytic approach. Zbl 1321.60093
Gerhold, Stefan
2
2015
Transaction costs, trading volume, and the liquidity premium. Zbl 1305.91218
Gerhold, Stefan; Guasoni, Paolo; Muhle-Karbe, Johannes; Schachermayer, Walter
33
2014
How to make Dupire’s local volatility work with jumps. Zbl 1402.91776
Friz, Peter K.; Gerhold, Stefan; Yor, Marc
10
2014
Disproof of a conjecture by Rademacher on partial fractions. Zbl 1339.11087
Drmota, Michael; Gerhold, Stefan
5
2014
The dual optimizer for the growth-optimal portfolio under transaction costs. Zbl 1319.91142
Gerhold, S.; Muhle-Karbe, J.; Schachermayer, W.
19
2013
Can there be an explicit formula for implied volatility? Zbl 1315.91062
Gerhold, Stefan
3
2013
Asymptotics and duality for the Davis and Norman problem. Zbl 1276.91093
Gerhold, Stefan; Muhle-Karbe, Johannes; Schachermayer, Walter
16
2012
Asymptotics for a variant of the Mittag-Leffler function. Zbl 1257.33050
Gerhold, Stefan
14
2012
On refined volatility smile expansion in the Heston model. Zbl 1267.91068
Friz, Peter; Gerhold, Stefan; Gulisashvili, Archil; Sturm, Stephan
22
2011
The longstaff-Schwartz algorithm for Lévy models: results on fast and slow convergence. Zbl 1219.62161
Gerhold, Stefan
8
2011
The Hartman-Watson distribution revisited: asymptotics for pricing Asian options. Zbl 1279.62041
Gerhold, Stefan
5
2011
Moment explosion in the LIBOR market model. Zbl 1208.91152
Gerhold, Stefan
3
2011
Counting finite languages by total word length. Zbl 1234.05024
Gerhold, Stefan
2
2011
A generalization of Panjer’s recursion and numerically stable risk aggregation. Zbl 1224.91060
Gerhold, Stefan; Schmock, Uwe; Warnung, Richard
6
2010
Lindelöf representations and (non-)holonomic sequences. Zbl 1222.05005
Flajolet, Philippe; Gerhold, Stefan; Salvy, Bruno
6
2010
The dynamic dictionary of mathematical functions (DDMF). Zbl 1295.65022
Benoit, Alexandre; Chyzak, Frédéric; Darrasse, Alexis; Gerhold, Stefan; Mezzarobba, Marc; Salvy, Bruno
3
2010
Asymptotic estimates for some number-theoretic power series. Zbl 1206.11116
Gerhold, Stefan
3
2010
Convergence properties of Kemp’s \(q\)-binomial distribution. Zbl 1213.60045
Gerhold, Stefan; Zeiner, Martin
1
2010
Finding efficient recursions for risk aggregation by computer algebra. Zbl 1153.91592
Gerhold, Stefan; Warnung, Richard
2
2009
Non-holonomicity of sequences defined via elementary functions. Zbl 1189.11007
Bell, Jason P.; Gerhold, Stefan; Klazar, Martin; Luca, Florian
6
2008
Computing the complexity for Schelling segregation models. Zbl 1221.37185
Gerhold, Stefan; Glebsky, Lev; Schneider, Carsten; Weiss, Howard; Zimmermann, Burkhard
2
2008
On Turán’s inequality for Legendre polynomials. Zbl 1155.26012
Alzer, Horst; Gerhold, Stefan; Kauers, Manuel; Lupaş, Alexandru
11
2007
On the positivity set of a linear recurrence sequence. Zbl 1139.11010
Bell, Jason P.; Gerhold, Stefan
9
2007
A computer proof of Turán’s inequality. Zbl 1132.26336
Gerhold, Stefan; Kauers, Manuel
5
2006
A procedure for proving special function inequalities involving a discrete parameter. Zbl 1360.68933
Gerhold, Stefan; Kauers, Manuel
14
2005
On the non-holonomic character of logarithms, powers, and the \(n\)th prime function. Zbl 1076.05004
Flajolet, Philippe; Gerhold, Stefan; Salvy, Bruno
13
2005
Point lattices and oscillating recurrence sequences. Zbl 1204.11024
Gerhold, Stefan
3
2005
On some non-holonomic sequences. Zbl 1063.11007
Gerhold, Stefan
4
2004
all top 5

Cited by 310 Authors

16 Gerhold, Stefan
12 Jacquier, Antoine
12 Muhle-Karbe, Johannes
9 Friz, Peter Karl
7 Guasoni, Paolo
7 Kauers, Manuel
5 Forde, Martin
5 Gulisashvili, Archil
5 Pillwein, Veronika
5 Schachermayer, Walter
4 Baricz, Árpád
4 Fukasawa, Masaaki
4 Lorig, Matthew J.
4 O’Sullivan, Cormac
4 Pagliarani, Stefano
4 Pascucci, Andrea
4 Pinter, Arpad
4 Pirjol, Dan
3 Bouchard, Bruno
3 Han, Bingyan
3 Herdegen, Martin
3 Kallsen, Jan
3 Pigato, Paolo
3 Soner, Halil Mete
3 Tomovski, Živorad
3 Wong, Hoi Ying
3 Yang, Junjian
3 Zanger, Daniel Z.
2 Altarovici, Albert
2 Alzer, Horst
2 Bayer, Christian
2 Belak, Christoph
2 Bell, Jason P.
2 Bichuch, Maxim
2 Bostan, Alin
2 Chen, Shaoshi
2 Czichowsky, Christoph
2 De Marco, Stefano
2 Desmettre, Sascha
2 Deuschel, Jean-Dominique
2 Dolinsky, Yan
2 Gassiat, Paul
2 Gatheral, Jim
2 Horvath, Blanka
2 Jakubowski, Jacek
2 Jiménez-Pastor, Antonio
2 Knopova, Victoria Pavlovna
2 Lin, Yiqing
2 Luca, Florian
2 Matic, Ivan
2 Radoičić, Radoš
2 Rogosin, Sergei V.
2 Roome, Patrick
2 Salvy, Bruno
2 Sass, Jörn
2 Shi, Fangwei
2 Stefanica, Dan
2 Violante, S.
2 Weber, Marko Hans
2 Wiśniewolski, Maciej
1 Abbas-Turki, Lokman A.
1 Aguilar, Jean-Philippe
1 Akel, Mohamed S.
1 Allaj, Erindi
1 Allouche, Jean-Paul Simon
1 Alonso, Ricardo J.
1 Andersen, Lars Nørvang
1 Asmussen, Søren
1 Balan, Raluca M.
1 Bank, Peter
1 Bansal, Manish Kumar
1 Bäuerle, Nicole
1 Baviera, Roberto
1 Bayraktar, Erhan
1 Beaton, Nicholas R.
1 Beghin, Luisa
1 Benedetti, Giuseppe
1 Bensoussan, Alain
1 Berg, Christian
1 Berthomieu, Jérémy
1 Bogdan, Krzysztof
1 Bóna, Miklós
1 Bruin, Nils
1 Byszewski, Jakub
1 Callegaro, Giorgia
1 Campi, Luciano
1 Caravenna, Francesco
1 Carrizosa, Emilio
1 Ceballos, Manuel
1 Cha, Yongjae
1 Chakraborty, Subrata
1 Chau, Huy N.
1 Chen, William Yong-Chuan
1 Choi, Jin Hyuk
1 Cohen, Samuel N.
1 Conus, Daniel
1 Coons, Michael
1 Corbetta, Jacopo
1 Cordwell, Katherine
1 Cornelissen, Gunther
...and 210 more Authors
all top 5

Cited in 91 Serials

17 Finance and Stochastics
14 SIAM Journal on Financial Mathematics
12 Quantitative Finance
10 International Journal of Theoretical and Applied Finance
9 Mathematical Finance
6 Journal of Symbolic Computation
5 Stochastic Processes and their Applications
4 Advances in Applied Mathematics
4 The Annals of Applied Probability
4 Integral Transforms and Special Functions
4 Applied Mathematical Finance
4 Stochastics
3 Journal of Computational and Applied Mathematics
3 Journal of Number Theory
3 SIAM Journal on Control and Optimization
2 Bulletin of the Australian Mathematical Society
2 Communications on Pure and Applied Mathematics
2 Discrete Applied Mathematics
2 Journal of Mathematical Analysis and Applications
2 Applied Mathematics and Computation
2 Applied Mathematics and Optimization
2 Journal of Applied Probability
2 Journal of Approximation Theory
2 Mathematics of Operations Research
2 Proceedings of the American Mathematical Society
2 Statistics & Probability Letters
2 Stochastic Analysis and Applications
2 Expositiones Mathematicae
2 Potential Analysis
2 International Journal of Number Theory
2 Frontiers of Mathematics in China
2 ACM Communications in Computer Algebra
2 European Actuarial Journal
2 Mathematics
1 Computers & Mathematics with Applications
1 Israel Journal of Mathematics
1 Lithuanian Mathematical Journal
1 Mathematical Notes
1 Mathematics of Computation
1 Theory of Probability and its Applications
1 The Annals of Probability
1 Journal of Combinatorial Theory. Series A
1 Journal of Computer and System Sciences
1 Journal of Optimization Theory and Applications
1 Kybernetika
1 Mathematische Nachrichten
1 Mathematica Scandinavica
1 Mathematica Slovaca
1 Mathematika
1 Theoretical Computer Science
1 Transactions of the American Mathematical Society
1 European Journal of Combinatorics
1 Insurance Mathematics & Economics
1 Probability Theory and Related Fields
1 Constructive Approximation
1 Journal of Theoretical Probability
1 Differential Geometry and its Applications
1 Journal of Global Optimization
1 Aequationes Mathematicae
1 European Journal of Operational Research
1 SIAM Journal on Applied Mathematics
1 SIAM Journal on Mathematical Analysis
1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
1 Indagationes Mathematicae. New Series
1 Cybernetics and Systems Analysis
1 Documenta Mathematica
1 The Ramanujan Journal
1 Abstract and Applied Analysis
1 Journal of Inequalities and Applications
1 Annals of Combinatorics
1 Fractional Calculus & Applied Analysis
1 Discrete Dynamics in Nature and Society
1 Acta Mathematica Sinica. English Series
1 Methodology and Computing in Applied Probability
1 Applied Stochastic Models in Business and Industry
1 Foundations of Computational Mathematics
1 Journal of Systems Science and Complexity
1 Decisions in Economics and Finance
1 Comptes Rendus. Mathématique. Académie des Sciences, Paris
1 Review of Derivatives Research
1 Boundary Value Problems
1 Applications and Applied Mathematics
1 Mathematics and Financial Economics
1 Logical Methods in Computer Science
1 Algebra & Number Theory
1 Applicable Analysis and Discrete Mathematics
1 Dependence Modeling
1 Journal of Statistical Distributions and Applications
1 Research in Number Theory
1 Proceedings of the American Mathematical Society. Series B
1 Journal of Combinatorial Algebra
all top 5

Cited in 43 Fields

119 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
87 Probability theory and stochastic processes (60-XX)
36 Special functions (33-XX)
20 Number theory (11-XX)
17 Computer science (68-XX)
13 Combinatorics (05-XX)
13 Numerical analysis (65-XX)
12 Partial differential equations (35-XX)
12 Approximations and expansions (41-XX)
10 Real functions (26-XX)
10 Ordinary differential equations (34-XX)
9 Systems theory; control (93-XX)
8 Operations research, mathematical programming (90-XX)
7 Functions of a complex variable (30-XX)
7 Statistics (62-XX)
6 Calculus of variations and optimal control; optimization (49-XX)
3 Mathematical logic and foundations (03-XX)
3 Commutative algebra (13-XX)
3 Difference and functional equations (39-XX)
3 Sequences, series, summability (40-XX)
3 Harmonic analysis on Euclidean spaces (42-XX)
3 Integral transforms, operational calculus (44-XX)
3 Statistical mechanics, structure of matter (82-XX)
2 Field theory and polynomials (12-XX)
2 Potential theory (31-XX)
2 Operator theory (47-XX)
2 Global analysis, analysis on manifolds (58-XX)
1 Order, lattices, ordered algebraic structures (06-XX)
1 Algebraic geometry (14-XX)
1 Linear and multilinear algebra; matrix theory (15-XX)
1 Nonassociative rings and algebras (17-XX)
1 Group theory and generalizations (20-XX)
1 Measure and integration (28-XX)
1 Dynamical systems and ergodic theory (37-XX)
1 Abstract harmonic analysis (43-XX)
1 Integral equations (45-XX)
1 Functional analysis (46-XX)
1 Convex and discrete geometry (52-XX)
1 Differential geometry (53-XX)
1 General topology (54-XX)
1 Mechanics of deformable solids (74-XX)
1 Fluid mechanics (76-XX)
1 Quantum theory (81-XX)

Citations by Year