Bernhard Hientzsch

Wells Fargo Bank

Managing Director

New York, NY

United States

http://https://www.linkedin.com/in/bernhardhientzsch/

SCHOLARLY PAPERS

15

DOWNLOADS

4,034

TOTAL CITATIONS

21

Scholarly Papers (15)

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1.

Monte Carlo Pricing with Local Volatility Grids

Number of pages: 6 Posted: 18 Apr 2013 Last Revised: 28 Apr 2013
Damian Abasto, Bernhard Hientzsch and Mark Kust
Independent, Wells Fargo Bank and Independent
Downloads 1,914 (17,627)
Citation 1

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local volatility, Monte Carlo, calibration, optimization, PDE, option pricing

2.

Joint Distribution of Maxima and Minima of Multivariate Random Variates

Number of pages: 35 Posted: 22 Jul 2013
Bernhard Hientzsch
Wells Fargo Bank
Downloads 494 (115,499)

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joint distribution function of maximum and minimum, copula, Archimedean copula

3.

Introduction to Solving Quant Finance Problems with Time-Stepped FBSDE and Deep Learning

Number of pages: 24 Posted: 14 Dec 2019
Bernhard Hientzsch
Wells Fargo Bank
Downloads 372 (160,521)
Citation 8

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4.

Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility

Number of pages: 24 Posted: 05 Jun 2020 Last Revised: 01 Mar 2023
Orcan Ogetbil and Bernhard Hientzsch
Wells Fargo Bank - Corporate Model Risk Management and Wells Fargo Bank
Downloads 282 (215,855)
Citation 1

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Dupire Equation, Local Volatility, Stochastic Rates, Stochastic Local Volatility

5.

Calibrating Local Volatility Models with Stochastic Drift and Diffusion

Orcan Ogetbil, Narayan Ganesan, and Bernhard Hientzsch. Calibrating local volatility models with stochastic drift and diffusion. International Journal of Theoretical and Applied Finance, 25(02):2250011, 2022
Number of pages: 44 Posted: 17 Nov 2020 Last Revised: 08 May 2023
Orcan Ogetbil, Narayan Ganesan and Bernhard Hientzsch
Wells Fargo Bank - Corporate Model Risk Management, SMBC Capital Markets and Wells Fargo Bank
Downloads 158 (371,014)
Citation 2

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Monte Carlo, Calibration, Local Volatility, Stochastic Rates, Stochastic Local Volatility

6.

Backward Deep BSDE Methods and Applications to Nonlinear Problems

Number of pages: 25 Posted: 09 Jul 2020
Jessica (Yajie) Yu, Bernhard Hientzsch and Narayan Ganesan
Wells Fargo Bank, Wells Fargo Bank and SMBC Capital Markets
Downloads 136 (418,647)
Citation 3

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7.

Estimating Future VaR from Value Samples and Applications to Future Initial Margin

Number of pages: 26 Posted: 26 Apr 2021
Narayan Ganesan and Bernhard Hientzsch
SMBC Capital Markets and Wells Fargo Bank
Downloads 130 (433,748)

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8.

Pricing Barrier Options with DeepBSDEs

Number of pages: 20 Posted: 16 Jun 2020 Last Revised: 17 Jun 2020
Narayan Ganesan, Jessica (Yajie) Yu and Bernhard Hientzsch
SMBC Capital Markets, Wells Fargo Bank and Wells Fargo Bank
Downloads 129 (436,302)
Citation 3

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9.

Reinforcement Learning and Deep Stochastic Optimal Control for Final Quadratic Hedging

Number of pages: 24 Posted: 04 Dec 2023
Bernhard Hientzsch
Wells Fargo Bank
Downloads 127 (441,608)

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10.

Parametric Differential Machine Learning for Pricing and Calibration

Number of pages: 45 Posted: 24 Feb 2023
Arun Polala and Bernhard Hientzsch
Wells Fargo Bank and Wells Fargo Bank
Downloads 73 (636,067)

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11.

A Flexible Commodity Skew Model with Maturity Effects

Number of pages: 20 Posted: 27 Dec 2022
Orcan Ogetbil and Bernhard Hientzsch
Wells Fargo Bank - Corporate Model Risk Management and Wells Fargo Bank
Downloads 60 (701,732)

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Commodity Futures, Maturity Effect, Calibration, Local Volatility, Stochastic Rates, Monte Carlo

12.

A Case Study on Different One-factor Cheyette Models for Short Maturity Caplet Calibration

Number of pages: 26 Posted: 19 Sep 2024
Arun Polala and Bernhard Hientzsch
Wells Fargo Bank and Wells Fargo Bank
Downloads 52 (748,634)

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13.

A Comparison of Reinforcement Learning and Deep Trajectory Based Stochastic Control Agents for Stepwise Mean-Variance Hedging

Number of pages: 37 Posted: 22 Feb 2023 Last Revised: 30 Nov 2023
Ali Fathi and Bernhard Hientzsch
Wells Fargo Bank and Wells Fargo Bank
Downloads 45 (795,058)
Citation 3

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14.

Inflation Models with Correlation and Skew

Number of pages: 20 Posted: 09 May 2024
Orcan Ogetbil and Bernhard Hientzsch
Wells Fargo Bank - Corporate Model Risk Management and Wells Fargo Bank
Downloads 34 (880,412)

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Inflation derivatives, calibration, Monte Carlo, local volatility

15.

Enforcing asymptotic behavior with DNNs for approximation and regression in finance

Number of pages: 24 Posted: 19 Nov 2024
Bernhard Hientzsch and Hardik Routray
Wells Fargo Bank and Wells Fargo Bank
Downloads 28 (944,275)

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Asymptotic behavior and forms, Differential Machine Learning, Function Approximation, Regression, Approximation of conditional expectations