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Schumacher, J. M.'s
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
951 |
Total
Citations
28 |
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1.
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Kerkhof, Jeroen
Lehman Brothers International, Europe Schumacher, J. M.
Tilburg University - Center for Economic Research (CentER) Melenberg, Bertrand
Tilburg University - Center for Economic Research (CentER)
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438
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12
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Model risk, Capital requirements, (Coherent) risk measurement, Derivative pricing models
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2.
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Berridge, Steffan John
affiliation not provided to SSRN Schumacher, J. M.
Tilburg University - Center for Economic Research (CentER)
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147
(100,738)
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3
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American options, high-dimensional problems, free boundary problems, optimal stopping, variational inequalities, numerical methods, unstructured mesh, Markov chain approximation
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3.
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Berridge, Steffan John
affiliation not provided to SSRN Schumacher, J. M.
Tilburg University - Center for Economic Research (CentER)
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109
(128,486)
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American options, high-dimensional problems, free boundary problems, optimal stopping, variational inequalities, numerical methods, unstructured mesh, Markov chain approximation
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4.
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van den Broek, W.A.
affiliation not provided to SSRN Engwerda, Jacob C.
Tilburg University - Department of Economics Schumacher, J. M.
Tilburg University - Center for Economic Research (CentER)
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65
(178,047)
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Linear Uncertain Systems, Game Theory, Algebraic Riccati Equations
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5.
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Timmermans, Sjoerd
Algemene Pensioen Groep (APG) Schumacher, J. M.
Tilburg University - Center for Economic Research (CentER) Ponds, Eduard
Tilburg University - Center for Economic Research (CentER)
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50
(202,445)
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retirement security redesign, life cycle investment, contingent claims analysis, dynamic portfolio selection
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6.
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van den Broek, W.A.
affiliation not provided to SSRN Schumacher, J. M.
Tilburg University - Center for Economic Research (CentER)
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49
(204,316)
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disturbance decoupling, dynamic games
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7.
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Roorda, Berend
University of Twente - Department of Technology and Management Schumacher, J. M.
Tilburg University - Center for Economic Research (CentER)
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39
(224,194)
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convex risk measures, acceptability measures, weak time consistency
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8.
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Reddy, Puduru Viswanadha
Tilburg University - Center and Faculty of Economics and Business Administration Schumacher, J. M.
Tilburg University - Center for Economic Research (CentER) Engwerda, Jacob C.
Tilburg University - Department of Economics
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17
(288,619)
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Optimal control, Differential games, Threshold effects, Discontinuous dynamics
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9.
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Roorda, Berend
University of Twente - Department of Technology and Management Schumacher, J. M.
Tilburg University - Center for Economic Research (CentER) Engwerda, Jacob C.
Tilburg University - Department of Economics
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15
(295,737)
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13
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10.
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Pazdera, Jaroslav
Tilburg University - Center for Economic Research (CentER) Schumacher, J. M.
Tilburg University - Center for Economic Research (CentER) Werker, Bas J. M.
Tilburg University - Center for Economic Research (CentER)
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19 Apr 13
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Last Revised:
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16 May 13
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14
(299,378)
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fixed-price equilibrium, internal trading, risk sharing, Pareto efficient allocations
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11.
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Dai, Renxiang
affiliation not provided to SSRN Rodriguez, Juan Carlos
Tilburg University and CentER Schumacher, J. M.
Tilburg University - Center for Economic Research (CentER)
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8
(319,622)
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12.
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Kerkhof, Jeroen
Lehman Brothers International, Europe Schumacher, J. M.
Tilburg University - Center for Economic Research (CentER) Melenberg, Bertrand
Tilburg University - Center for Economic Research (CentER)
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risk measures, value-at-risk, VAR, tail distribution, hedge errors, delta-hedged options, autoregressive model
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13.
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Berridge, Steffan John
affiliation not provided to SSRN Schumacher, J. M.
Tilburg University - Center for Economic Research (CentER)
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American options, high-dimensional problems, free boundary problems, optimal stopping, variational inequalities, numerical methods, unstructured mesh, Markov chain approximation
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14.
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Kerkhof, Jeroen
Lehman Brothers International, Europe Schumacher, J. M.
Tilburg University - Center for Economic Research (CentER) Melenberg, Bertrand
Tilburg University - Center for Economic Research (CentER)
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Risk management, backtesting, expected shortfall, value-at-risk
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