Quantitative approximation of certain stochastic integrals

By Stefan Geiss †. 2002

57 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/ad48473d10e8c3e356373e975beec934bea16da9

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Ekaterina Voltchkova
2. Peter Tankov
3. C. Geiss
4. Andreas Neuenkirch
5. Michaela Szolgyenyi
6. Stefan Geiss †
7. Steven Kou
8. Hui Wang

In Management Science and Operations Research

1. C. Geiss
2. Ekaterina Voltchkova
3. Andreas Neuenkirch
4. Peter Tankov
5. Michaela Szolgyenyi

Citations in the corpus

• On approximation of a class of stochastic integrals and interpolation (2004, background): “[6] for sð yÞ 1⁄4 y and y0 1⁄4 1: For convenience of the reader we indicate the proof in the appendix and show that the lemma works as well in our more general situation and how the assumptions on s are used.”
• Asymptotic analysis of hedging errors in models with jumps (2009, background): “More recently, Geiss [4, 5, 6] studied weak and L 2 approximations with non-uniform time steps, making the connection with discrete time hedging.”
• The Euler–Maruyama scheme for SDEs with irregular drift: convergence rates via reduction to a quadrature problem (2019, background): “, in [12] to deal with weak error estimates for non-smooth functionals and in [3] to deal with hedging errors in the presence of non-smooth pay-offs.”