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Gerhold, Stefan

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Author ID: gerhold.stefan Recent zbMATH articles by "Gerhold, Stefan"
Published as: Gerhold, S.; Gerhold, Stefan
External Links: MGP · Wikidata
Documents Indexed: 47 Publications since 2004
Reviewing Activity: 7 Reviews

Publications by Year

Citations contained in zbMATH

35 Publications have been cited 236 times in 176 Documents Cited by Year
Transaction costs, trading volume, and the liquidity premium. Zbl 1305.91218
Gerhold, Stefan; Guasoni, Paolo; Muhle-Karbe, Johannes; Schachermayer, Walter
31
2014
On refined volatility smile expansion in the Heston model. Zbl 1267.91068
Friz, Peter; Gerhold, Stefan; Gulisashvili, Archil; Sturm, Stephan
21
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
12
2012
On the non-holonomic character of logarithms, powers, and the \(n\)th prime function. Zbl 1076.05004
Flajolet, Philippe; Gerhold, Stefan; Salvy, Bruno
12
2005
How to make Dupire’s local volatility work with jumps. Zbl 1402.91776
Friz, Peter K.; Gerhold, Stefan; Yor, Marc
10
2014
On Turán’s inequality for Legendre polynomials. Zbl 1155.26012
Alzer, Horst; Gerhold, Stefan; Kauers, Manuel; Lupaş, Alexandru
9
2007
The longstaff-Schwartz algorithm for Lévy models: results on fast and slow convergence. Zbl 1219.62161
Gerhold, Stefan
8
2011
On the positivity set of a linear recurrence sequence. Zbl 1139.11010
Bell, Jason P.; Gerhold, Stefan
8
2007
Option pricing in the moderate deviations regime. Zbl 1411.91554
Friz, Peter; Gerhold, Stefan; Pinter, Arpad
6
2018
Lindelöf representations and (non-)holonomic sequences. Zbl 1222.05005
Flajolet, Philippe; Gerhold, Stefan; Salvy, Bruno
6
2010
Non-holonomicity of sequences defined via elementary functions. Zbl 1189.11007
Bell, Jason P.; Gerhold, Stefan; Klazar, Martin; Luca, Florian
6
2008
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
Moment explosions in the rough Heston model. Zbl 1432.91123
Gerhold, Stefan; Gerstenecker, Christoph; Pinter, Arpad
4
2019
Small-maturity asymptotics for the at-the-money implied volatility slope in Lévy models. Zbl 1396.91731
Gerhold, Stefan; Gülüm, I. Cetin; Pinter, Arpad
4
2016
Extrapolation analytics for Dupire’s local volatility. Zbl 1418.91511
Friz, Peter; Gerhold, Stefan
4
2015
A generalization of Panjer’s recursion and numerically stable risk aggregation. Zbl 1224.91060
Gerhold, Stefan; Schmock, Uwe; Warnung, Richard
4
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
Point lattices and oscillating recurrence sequences. Zbl 1204.11024
Gerhold, Stefan
3
2005
On some non-holonomic sequences. Zbl 1063.11007
Gerhold, Stefan
3
2004
Asymptotic expansion of Mathieu power series and trigonometric Mathieu series. Zbl 1450.30006
Gerhold, Stefan; Tomovski, Živorad
2
2019
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
Can there be an explicit formula for implied volatility? Zbl 1315.91062
Gerhold, Stefan
2
2013
Counting finite languages by total word length. Zbl 1234.05024
Gerhold, Stefan
2
2011
The Hartman-Watson distribution revisited: asymptotics for pricing Asian options. Zbl 1279.62041
Gerhold, Stefan
2
2011
Moment explosion in the LIBOR market model. Zbl 1208.91152
Gerhold, Stefan
2
2011
Finding efficient recursions for risk aggregation by computer algebra. Zbl 1153.91592
Gerhold, Stefan; Warnung, Richard
2
2009
Computing the complexity for Schelling segregation models. Zbl 1221.37185
Gerhold, Stefan; Glebsky, Lev; Schneider, Carsten; Weiss, Howard; Zimmermann, Burkhard
2
2008
Small-maturity digital options in Lévy models: an analytic approach. Zbl 1321.60093
Gerhold, Stefan
1
2015
Convergence properties of Kemp’s \(q\)-binomial distribution. Zbl 1213.60045
Gerhold, Stefan; Zeiner, Martin
1
2010
Moment explosions in the rough Heston model. Zbl 1432.91123
Gerhold, Stefan; Gerstenecker, Christoph; Pinter, Arpad
4
2019
Asymptotic expansion of Mathieu power series and trigonometric Mathieu series. Zbl 1450.30006
Gerhold, Stefan; Tomovski, Živorad
2
2019
Option pricing in the moderate deviations regime. Zbl 1411.91554
Friz, Peter; Gerhold, Stefan; Pinter, Arpad
6
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
4
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
1
2015
Transaction costs, trading volume, and the liquidity premium. Zbl 1305.91218
Gerhold, Stefan; Guasoni, Paolo; Muhle-Karbe, Johannes; Schachermayer, Walter
31
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
2
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
12
2012
On refined volatility smile expansion in the Heston model. Zbl 1267.91068
Friz, Peter; Gerhold, Stefan; Gulisashvili, Archil; Sturm, Stephan
21
2011
The longstaff-Schwartz algorithm for Lévy models: results on fast and slow convergence. Zbl 1219.62161
Gerhold, Stefan
8
2011
Counting finite languages by total word length. Zbl 1234.05024
Gerhold, Stefan
2
2011
The Hartman-Watson distribution revisited: asymptotics for pricing Asian options. Zbl 1279.62041
Gerhold, Stefan
2
2011
Moment explosion in the LIBOR market model. Zbl 1208.91152
Gerhold, Stefan
2
2011
Lindelöf representations and (non-)holonomic sequences. Zbl 1222.05005
Flajolet, Philippe; Gerhold, Stefan; Salvy, Bruno
6
2010
A generalization of Panjer’s recursion and numerically stable risk aggregation. Zbl 1224.91060
Gerhold, Stefan; Schmock, Uwe; Warnung, Richard
4
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
9
2007
On the positivity set of a linear recurrence sequence. Zbl 1139.11010
Bell, Jason P.; Gerhold, Stefan
8
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
12
2005
Point lattices and oscillating recurrence sequences. Zbl 1204.11024
Gerhold, Stefan
3
2005
On some non-holonomic sequences. Zbl 1063.11007
Gerhold, Stefan
3
2004
all top 5

Cited by 273 Authors

15 Gerhold, Stefan
11 Jacquier, Antoine
11 Muhle-Karbe, Johannes
8 Kauers, Manuel
7 Friz, Peter Karl
7 Guasoni, Paolo
5 Gulisashvili, Archil
5 Pillwein, Veronika
5 Schachermayer, Walter
4 Baricz, Árpád
4 Lorig, Matthew J.
4 O’Sullivan, Cormac
4 Pagliarani, Stefano
4 Pascucci, Andrea
4 Pinter, Arpad
3 De Marco, Stefano
3 Herdegen, Martin
3 Kallsen, Jan
3 Soner, Halil Mete
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 Bouchard, Bruno
2 Chen, Shaoshi
2 Czichowsky, Christoph
2 Deuschel, Jean-Dominique
2 Dolinsky, Yan
2 Forde, Martin
2 Fukasawa, Masaaki
2 Gatheral, Jim
2 Horvath, Blanka
2 Lin, Yiqing
2 Luca, Florian
2 Martini, Claude
2 Pirjol, Dan
2 Rogosin, Sergei V.
2 Roome, Patrick
2 Salvy, Bruno
2 Sass, Jörn
2 Schneider, Carsten
2 Shi, Fangwei
2 Tomovski, Živorad
2 Violante, S.
2 Weber, Marko Hans
1 Abbas-Turki, Lokman A.
1 Allaj, Erindi
1 Allouche, Jean-Paul Simon
1 Alonso, Ricardo J.
1 Andersen, Lars Nørvang
1 Asmussen, Søren
1 Atkinson, Colin
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 Berg, Christian
1 Berthomieu, Jérémy
1 Bogdan, Krzysztof
1 Bóna, Miklós
1 Bostan, Alin
1 Bruin, Nils
1 Byszewski, Jakub
1 Campi, Luciano
1 Caravenna, Francesco
1 Ceballos, Manuel
1 Cha, Yongjae
1 Chakraborty, Subrata
1 Chau, Huy N.
1 Chen, William Yong-Chuan
1 Choi, Jin Hyuk
1 Conus, Daniel
1 Coons, Michael
1 Corbetta, Jacopo
1 Cordwell, Katherine
1 Cornelissen, Gunther
1 Crepey, Stephane
1 Dastgerdi, Maryam Vahid
1 De Olivera, Federico
1 Desmettre, Sascha
1 Diallo, Babacar
1 Diao, Xundi
1 Dixit, Atul
1 Dolinskyi, Leonid
1 Dostál, Petr
1 Drmota, Michael
1 Dubickas, Artūras
1 Nguyen Tien Dung
1 Echzell, Hagen
1 El Euch, Omar
1 Ercolani, Nicholas M.
...and 173 more Authors
all top 5

Cited in 81 Serials

16 Finance and Stochastics
13 SIAM Journal on Financial Mathematics
9 Mathematical Finance
9 International Journal of Theoretical and Applied Finance
6 Journal of Symbolic Computation
6 Quantitative Finance
4 Advances in Applied Mathematics
4 Stochastics
3 Journal of Number Theory
3 SIAM Journal on Control and Optimization
3 The Annals of Applied Probability
3 Stochastic Processes and their Applications
3 Integral Transforms and Special Functions
3 Applied Mathematical Finance
2 Bulletin of the Australian Mathematical Society
2 Communications on Pure and Applied Mathematics
2 Discrete Applied Mathematics
2 Journal of Applied Probability
2 Journal of Computational and Applied Mathematics
2 Proceedings of the American Mathematical Society
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 Discrete Mathematics
1 Israel Journal of Mathematics
1 Journal of Mathematical Analysis and Applications
1 Mathematical Notes
1 Mathematics of Computation
1 Theory of Probability and its Applications
1 The Annals of Probability
1 Applied Mathematics and Computation
1 Applied Mathematics and Optimization
1 Journal of Approximation Theory
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 Mathematics of Operations Research
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 Statistics & Probability Letters
1 Probability Theory and Related Fields
1 Constructive Approximation
1 Journal of Theoretical Probability
1 Journal of Global Optimization
1 Aequationes Mathematicae
1 SIAM Journal on Applied Mathematics
1 SIAM Journal on Mathematical Analysis
1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
1 Cybernetics and Systems Analysis
1 Documenta Mathematica
1 The Ramanujan Journal
1 Abstract and Applied Analysis
1 Annals of Combinatorics
1 Fractional Calculus & Applied Analysis
1 Discrete Dynamics in Nature and Society
1 Acta Mathematica Sinica. English Series
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 Boundary Value Problems
1 Applications and Applied Mathematics
1 Mathematics and Financial Economics
1 Algebra & Number Theory
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 38 Fields

96 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
70 Probability theory and stochastic processes (60-XX)
30 Special functions (33-XX)
20 Number theory (11-XX)
16 Computer science (68-XX)
13 Combinatorics (05-XX)
12 Numerical analysis (65-XX)
11 Partial differential equations (35-XX)
11 Approximations and expansions (41-XX)
8 Real functions (26-XX)
8 Ordinary differential equations (34-XX)
8 Systems theory; control (93-XX)
7 Functions of a complex variable (30-XX)
6 Calculus of variations and optimal control; optimization (49-XX)
6 Statistics (62-XX)
6 Operations research, mathematical programming (90-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 Mathematical logic and foundations (03-XX)
2 Field theory and polynomials (12-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 Potential theory (31-XX)
1 Dynamical systems and ergodic theory (37-XX)
1 Integral equations (45-XX)
1 Functional analysis (46-XX)
1 Operator theory (47-XX)
1 Convex and discrete geometry (52-XX)
1 Global analysis, analysis on manifolds (58-XX)
1 Mechanics of deformable solids (74-XX)
1 Fluid mechanics (76-XX)

Citations by Year

Wikidata Timeline

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