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1

A new simulation approach to the LIBOR market model

Henry Schellhorn, Zhihua Chen

Journal:

Mathematical and Computer Modelling

Year:

2006

Language:

english

File:

PDF, 554 KB

english, 2006

2

Credit Risk in a Network Economy

Cossin, Didier, Schellhorn, Henry

Journal:

Management Science

Year:

2007

Language:

english

File:

PDF, 216 KB

english, 2007

3

A Theoretical Argument Why the t-Copula Explains Credit Risk Contagion Better than the Gaussian Copula

Cossin, Didier, Schellhorn, Henry, Song, Nan, Tungsong, Satjaporn

Journal:

Advances in Decision Sciences

Year:

2010

Language:

english

File:

PDF, 2.56 MB

english, 2010

4

On the distribution of extended CIR model

Peng, Qidi, Schellhorn, Henry

Journal:

Statistics & Probability Letters

Year:

2018

Language:

english

File:

PDF, 647 KB

english, 2018

5

Efficient Credit Risk Simulation by Optimal Mean-Reversion Adjustment

Schellhorn, Henri O.

Journal:

SSRN Electronic Journal

Year:

2003

File:

PDF, 185 KB

2003

6

American Option Pricing with Regression: Convergence Analysis

Liu, Chen, Schellhorn, Henry, Peng, Qidi

Journal:

International Journal of Theoretical and Applied Finance

Year:

2019

Language:

english

File:

PDF, 643 KB

english, 2019

7

A formulation of combinatorial auction via reverse convex programming

Schellhorn, Henry

Journal:

Journal of Applied Mathematics & Decision Sciences

Year:

2005

File:

PDF, 1.86 MB

2005

8

A double-sided multiunit combinatorial auction for substitutes: Theory and algorithms

Henry Schellhorn

Journal:

European Journal of Operational Research

Year:

2009

Language:

english

File:

PDF, 285 KB

english, 2009

9

A trading mechanism contingent on several indices

Henry Schellhorn

Journal:

European Journal of Operational Research

Year:

2011

Language:

english

File:

PDF, 316 KB

english, 2011

10

A note on the first moment of makespan in an assembly shop

Henry Schellhorn

Journal:

European Journal of Operational Research

Year:

2007

Language:

english

File:

PDF, 165 KB

english, 2007

11

[AIP IAENG TRANSACTIONS ON ENGINEERING TECHNOLOGIES VOLUME 2: Special Edition of the World Congress on Engineering and Computer Science - San Francisco(CA) (22–24 October 2008)] AIP Conference Proceedings - A Differential Tree Approach to Price Path-Dependent American Options using Malliavin Calculus

Schellhorn, Henry, Morris, Hedley, Ao, Sio-Iong

Year:

2009

Language:

english

File:

PDF, 493 KB

english, 2009

12

[AIP Numerical Analysis and Applied Mathematics - Corfu, Greece (16-20 September 2007)] AIP Conference Proceedings - An Algorithm for Optimal Stopping With Path-Dependent Rewards Based on Regression And Malliavin Calculus

Schellhorn, Henry, Simos, Theodore E., Psihoyios, George, Tsitouras, Ch.

Year:

2007

Language:

english

File:

PDF, 456 KB

english, 2007

13

A representation theorem for smooth Brownian martingales

Jin, Sixian, Peng, Qidi, Schellhorn, Henry

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Year:

2015

Language:

english

File:

PDF, 2.32 MB

english, 2015

14

Estimation of the pointwise Hölder exponent of hidden multifractional Brownian motion using wavelet coefficients

Jin, Sixian, Peng, Qidi, Schellhorn, Henry

Journal:

Statistical Inference for Stochastic Processes

Year:

2016

Language:

english

File:

PDF, 736 KB

english, 2016

15

Semigroup Solution of Path-Dependent Second-Order Parabolic Partial Differential Equations

Jin, Sixian, Schellhorn, Henry

Journal:

International Journal of Stochastic Analysis

Year:

2017

Language:

english

File:

PDF, 1.95 MB

english, 2017

16

Corrigendum to “A Theoretical Argument Why the t-Copula Explains Credit Risk Contagion Better than the Gaussian Copula”

Cossin, Didier, Schellhorn, Henry, Song, Nan, Tungsong, Sachapon

Journal:

Advances in Decision Sciences

Year:

2016

Language:

english

File:

PDF, 1.78 MB

english, 2016

17

An analytical characterization for an optimal change of Gaussian measures

Schellhorn, Henry

Journal:

Journal of Applied Mathematics & Decision Sciences

Year:

2006

Language:

english

File:

PDF, 1.86 MB

english, 2006

18

Combination trading with limit orders

Schellhorn, Henry

Journal:

Journal of Applied Mathematics & Decision Sciences

Year:

1997

Language:

english

File:

PDF, 1.97 MB

english, 1997

19

Dyson type formula for pure jump Lévy processes with some applications to finance

Jin, Sixian, Schellhorn, Henry, Vives, Josep

Journal:

Stochastic Processes and their Applications

Year:

2019

File:

PDF, 555 KB

2019

20

Dyson type formula for pure jump Lévy processes with some applications to finance

Jin, Sixian, Schellhorn, Henry, Vives, Josep

Journal:

Stochastic Processes and their Applications

Year:

2019

Language:

english

File:

PDF, 555 KB

english, 2019