Stochastik Bender

Prof. Dr. Christian Bender

Veröffentlichungen

Artikel:

C. Bender
Ito's Formula for Gaussian Processes with Stochastic Discontinuities. Ann. Probab. [ Preprint ]
C. Bender, P. Parczewski (2018)
Discretizing Malliavin calculus. Stochastic Processes Appl., 128(8), 2489-2537.
C. Bender, C. Gaertner, N. Schweizer (2018)
Pathwise Dynamic Programming. Math. Oper. Res., 43(3), 965-995.
C. Bender, C. Gaertner, N. Schweizer (2017)
Iterative Improvement of Lower and Upper Bounds for Backward SDEs. SIAM J. Sci. Comput., 39(2), B442-B466.
C. Bender, L. Viitasaari (2017)
A General Non-Existence Result for Linear BSDEs Driven by Gaussian Processes. Stochastic Processes Appl., 127(4), 1204-1233.
C. Bender, N. Schweizer, J. Zhuo (2017)
A Primal-Dual Algorithm for BSDEs. Math. Finance, 27(3), 866-901.
C. Bender, N. Dokuchaev (2017)
A First Order BSPDE for Swing Option Pricing: Classical Solutions, Math. Finance, 27(3), 902-925.
C. Bender, L. Viitasaari (2016)
Fractional Brownian Motion in Financial Modeling. Wiley StatsRef.
C. Bender, N. Dokuchaev (2016)
A First Order BSPDE for Swing Option Pricing. Math. Finance, 26(3), 461-491.
C. Bender, R. Knobloch, P. Oberacker (2015)
Maximal Inequalities for Fractional Levy and Related Processes. Stochastic Anal. Appl., 33(4), 701-714.
C. Bender, R. Knobloch, P. Oberacker (2015)
A Generalised Ito Formula for Levy-Driven Volterra Processes. Stochastic Processes Appl., 125(8), 2989-3022 .
C. Bender, M. S. Pakkanen, H. Sayit (2015)
Sticky Continuous Processes Have Consistent Price Systems. J. Appl. Probab., 52(2).
C. Bender, J. Schoenmakers, J. Zhang (2015)
Dual Representations for General Multiple Stopping Problems. Math. Finance, 25(2), 339-370.
D. Belomestny, C. Bender, F. Dickmann, N. Schweizer (2014)
Solving Stochastic Dynamic Programs by Convex Optimization and Simulation. In: Dahlke et al. (Eds.), Extraction of Quantifiable Information from Complex Systems. Springer, 1-23.
C. Bender (2014)
Backward SDEs Driven by Gaussian Processes. Stochastic Processes Appl., 124, 2892-2916.
C. Bender, J. Steiner (2013)
A-Posteriori Estimates for Backward SDEs. SIAM/ASA J. Uncertainty Quantification, 1, 139-163. [Addendum ]
C. Bender, S. Pokalyuk (2013)
Discretization of Backward Stochastic Volterra Integral Equations. In: Gerstner, Kloeden (Eds.), Recent Developments in Computational Finance. World Scientific, 245-278.
C. Bender (2012)
Simple Arbitrage. Ann. Appl. Probab., 22(5), 2067-2085.
C. Bender, P. Parczewski (2012)
On the Connection between Discrete and Continuous Wick Calculus with an Application to the Fractional Black-Scholes Model. In: Cohen et al. (Eds.), Stochastic Processes, Filtering, Control and Their Applications, World Scientific, 3-40.
C. Bender, J. Steiner (2012)
Least-Squares Monte Carlo for BSDEs. In: Carmona et al. (Eds.), Numerical Methods in Finance, Springer, 257-289.
C. Bender, A. Lindner, M. Schicks (2012)
Finite Variation of Fractional Levy Processes. J. Theor. Probab., 25(2), 595-612.
C. Bender (2011)
Primal and Dual Pricing of Multiple Exercise Options in Continuous Time. SIAM J. Finan. Math., 2, 562-586.
C. Bender, T. Sottinen, E. Valkeila (2011)
Fractional Processes as Models in Stochastic Finance. In: Di Nunno, Oksendal (Eds.), AMaMeF: Advanced Mathematical Methods for Finance, Springer, 75-103.
C. Bender (2011)
Dual Pricing of Multi-Exercise Options under Volume Constraints. Finance Stoch., 15(1), 1-26.
C. Bender, P. Parczewski (2010)
Approximating a Geometric Fractional Brownian Motion and Related Processes via Discrete Wick Calculus. Bernoulli,16(2), 389-417.
C. Bender, T. Moseler (2010)
Importance Sampling for Backward SDEs. Stochastic Analysis Appl., 28(2), 226-253.
C. Bender, T. Marquardt (2009)
Integrating Volatility Clustering into Exponential Levy Models. J. Appl. Probab., 46(3), 609-628.
D. Belomestny, C. Bender, J. Schoenmakers (2009)
True Upper Bounds for Bermudan Products via Non- Nested Monte Carlo. Math. Finance, 19(1), 53-71.
C. Bender, T. Sottinen, E. Valkeila (2008)
Pricing by Hedging and No-Arbitrage beyond Semimartingales. Finance Stoch., 12(4), 441-468.
C. Bender, C. R. Niethammer (2008)
On q-Optimal Martingale Measures in Exponential Levy Models, Finance Stoch., 12(3), 381-410.
C. Bender, M. Kohlmann (2008)
Optimal Superhedging under Nonconvex Constraints: a BSDE approach. Int. J. Theor. Appl. Finance, 11(4), 363-380.
C. Bender, T. Marquardt (2008)
Stochastic Calculus for Convoluted Levy Processes. Bernoulli, 14(2), 499-518.
C. Bender, J. Zhang (2008)
Time Discretization and Markovian Iteration for Coupled FBSDEs. Ann. Appl. Probab., 18(1), 143-177 .
C. Bender, A. Kolodko, J. Schoenmakers (2008)
Enhanced Policy Iteration for American Options via Scenario Selection. Quant. Finance, 8(2), 135-146.
C. Bender, R. Denk (2007)
A Forward Scheme for Backward SDEs. Stochastic Processes Appl., 117(12), 1793-1812.
C. Bender, T. Sottinen, E. Valkeila (2007)
Arbitrage with Fractional Brownian Motion? Theory Stoch. Process., 13(1-2), 23-34 (Special Issue: Kiev Conference on Modern Stochastics).
C. Bender, A. Kolodko, J. Schoenmakers (2006)
Policy Iteration for American Options: Overview. Monte Carlo Methods Appl., 12(5-6), 347-362.
C. Bender, A. Kolodko, J. Schoenmakers (2006)
Iterating Cancellable Snowballs and Related Exotics. Risk September, 126-130.
C. Bender, J. Schoenmakers (2006)
An Iterative Method for Multiple Stopping: Convergence and Stability. Adv. Appl. Probab., 38(3), 729-749.
C. Bender (2005)
Explicit Solutions for a Class of Linear Fractional BSDEs. Syst. Contr. Lett., 54(7), 671-680.
C. Bender (2005)
The Restriction of the Fractional Ito Integral to Adapted Integrands is Injective. Stoch. Dyn., 5(1), 37-43.
C. Bender, R. J. Elliott (2004)
Arbitrage in a Discrete Version of the Fractional Black-Scholes Market. Math. Oper. Res., 29(4), 935-945.
C. Bender, R. J. Elliott (2003)
On the Clark-Ocone Theorem for Fractional Brownian Motion with Hurst Parameter Bigger than a Half. Stochastics Stochastics Rep., 75(6), 391-405.
C. Bender (2003)
An S-Transform Approach to Integration with respect to a Fractional Brownian Motion. Bernoulli, 9(6), 955-983.
C. Bender (2003)
An Ito Formula for Generalized Functionals of a Fractional Brownian Motion with Arbitrary Hurst Parameter. Stochastic Processes Appl., 104, 81-106.

Preprints:

C. Bender, N. Schweizer (2019)
'Regression Anytime' with Brute-Force SVD Truncation. [ pdf ]
C. Bender, M. Thiel (2019)
Arbitrage-Free Interpolation of Call Option Prices. [ pdf ]

Thesen:

C. Bender (2003)
Integration with respect to a Fractional Brownian Motion and Related Market Models. Dissertation. Hartung-Gorre-Verlag. 174 pages.
C. Bender (2001)
Rückwärtsstochastische Differentialgleichungen und Anwendungen bei der Bewertung von Finanzderivaten. Diplomarbeit. 110 Seiten.

Aktualisiert am: 22 Aug 2019 Christian Bender