Dirk Pflüger

University of Stuttgart - Institute for Parallel and Distributed Systems

Keplerstraße 17

Stuttgart, D-70174

Germany

SCHOLARLY PAPERS

2

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61

SSRN CITATIONS

2

CROSSREF CITATIONS

1

Scholarly Papers (2)

1.

Solving High-Dimensional Dynamic Portfolio Choice Models with Hierarchical B-Splines on Sparse Grids

Number of pages: 41 Posted: 17 Jun 2019 Last Revised: 12 Feb 2020
Dirk Pflüger, Peter Schober and Julian Valentin
University of Stuttgart - Institute for Parallel and Distributed Systems, Goethe University Frankfurt - Department of Finance and University of Stuttgart - Institute for Parallel and Distributed Systems
Downloads 60 (385,476)
Citation 3

Abstract:

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curse of dimensionality, dynamic portfolio choice, discrete time dynamic programming, gradient-based optimization, spatially adaptive sparse grids, hierarchical B-splines

2.

Pricing Multidimensional Financial Derivatives with Stochastic Volatilities Using the Dimensional-Adaptive Combination Technique

Journal of Computational Finance, Vol. 21, No. 3, 2017
Number of pages: 30 Posted: 02 Dec 2017
Janos Benk and Dirk Pflüger
Technische Universität München (TUM) and University of Stuttgart - Institute for Parallel and Distributed Systems
Downloads 1 (702,586)
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Abstract:

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Dimensional-Adaptive Sparse Grids, Combination Technique, Black–Scholes Partial Differential Equation (BS-PDE), Heston Model, Multigrid