Daniel Hoffmann

University of Trier

15, Universitaetsring

Trier, 54286

Germany

SCHOLARLY PAPERS

2

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426

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Scholarly Papers (2)

Branching Diffusions with Jumps and Valuation with Systemic Counterparties

Number of pages: 29 Posted: 11 Sep 2019 Last Revised: 14 Jan 2020
Christoph Belak, Daniel Hoffmann and Frank Thomas Seifried
Technische Universität Berlin (TU Berlin) - Fakultat II - Mathematik und Naturwissenschaften, University of Trier and University of Trier
Downloads 219 (210,368)

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Branching Diffusion, Mixed Local-Nonlocal PDE, Nonlinear Jumps, Monte Carlo Simulation, Credit Valuation Adjustment

Branching Diffusions with Jumps, and Valuation with Systemic Counterparties

Journal of Computational Finance, Vol. 25, No. 3, 2021
Number of pages: 36 Posted: 22 Dec 2021
Christoph Belak, Daniel Hoffmann and Frank Thomas Seifried
Technische Universität Berlin (TU Berlin) - Fakultat II - Mathematik und Naturwissenschaften, University of Trier and University of Trier
Downloads 1 (1,005,411)
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branching diffusion, mixed local–nonlocal partial differential equations (PDEs), nonlinear jumps, Monte Carlo simulation, credit valuation adjustment

2.

Continuous-Time Mean Field Games with Finite State Space and Common Noise

Number of pages: 34 Posted: 02 Oct 2019 Last Revised: 15 May 2020
Christoph Belak, Daniel Hoffmann and Frank Thomas Seifried
Technische Universität Berlin (TU Berlin) - Fakultat II - Mathematik und Naturwissenschaften, University of Trier and University of Trier
Downloads 206 (223,292)

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mean field games, common noise, Markov chains, regime shifts