Steffen Dereich

Finance · 2003–2012

A researcher in the Science corpus: 5 papers; trusts 21 researchers and is trusted by 6 researchers here, as inferred from the citation graph.

Subfields

• Finance — 19 citations into it; #4,644 of 10,518 by trust here, #4,039 by citations
• Statistics and Probability — 10 citations into it
• Demography — 9 citations into it
• Mathematical Physics — 6 citations into it
• Numerical Analysis — 6 citations into it; #1,929 of 3,586 by trust here, #959 by citations
• Applied Mathematics — 5 citations into it; #4,466 of 7,620 by trust here, #3,258 by citations

Whom Steffen Dereich trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. M. Giles
2. Yuhong Yang
3. Alexandros Beskos
4. Thomas Muller-Gronbach
5. Christian Kahl
6. Mark Broadie
7. István Gyöngy
8. Jean Jacod
9. Gareth O. Roberts
10. Harald Luschgy

Who trusts Steffen Dereich overall

1. Jing Lei
2. Aurélien Alfonsi
3. Jonathan Weed
4. Pierre Cardaliaguet
5. Harald Luschgy
6. M. Espig
7. Wolfgang Hackbusch
8. Michel Ledoux
9. Francis R. Bach
10. Emmanuel Boissard

Papers from Steffen Dereich's perspective

Ordered by how strongly the researchers Steffen Dereich trusts endorse each paper. Same corpus, a different order for every researcher.

1. Multilevel Monte Carlo Path Simulation (Operational Research)
2. The optimal uniform approximation of systems of stochastic differential equations
3. Brownian Motion and Stochastic Calculus
4. Improved Multilevel Monte Carlo Convergence using the Milstein Scheme
5. Fast strong approximation Monte Carlo schemes for stochastic volatility models
6. A Theory for the Term Structure of Interest Rates
7. Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations (SIAM Journal on Numerical Analysis)
8. Exact simulation of diffusions
9. Handbook of Mathematical Functions With Formulas, Graphs and Mathematical Tables (National Bureau of Standards Applied Mathematics Series No. 55)
10. Numerical simulation of the solution of a stochastic differential equation driven by a Lévy process

Their papers

• An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process (2012) — 166 citations
• On the Link Between Small Ball Probabilities and the Quantization Problem for Gaussian Measures on Banach Spaces (2003) — 66 citations
• A multilevel Monte Carlo algorithm for Lévy-driven stochastic differential equations (2011) — 106 citations
• Constructive quantization: Approximation by empirical measures (2011) — 227 citations
• Universality of the asymptotics of the one-sided exit problem for integrated processes (2010) — 58 citations