research
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09/06/2023
On the Impact of Feeding Cost Risk in Aquaculture Valuation and Decision Making
We study the effect of stochastic feeding costs on animal-based commodit...
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11/01/2022
Rating Triggers for Collateral-Inclusive XVA via Machine Learning and SDEs on Lie Groups
In this paper, we model the rating process of an entity by using a geome...
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07/20/2022
Numerical solution of kinetic SPDEs via stochastic Magnus expansion
In this paper, we show how the Itô-stochastic Magnus expansion can be us...
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05/31/2022