Joerg Kampen

Weierstrass Institute for Applied Analysis and Stochastics

Dr.

Mohrenstr. 39

Berlin, Berlin 10117

Germany

SCHOLARLY PAPERS

5

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Top 45,573

in Total Papers Downloads

925

SSRN CITATIONS

1

CROSSREF CITATIONS

5

Scholarly Papers (5)

1.

Proxy Simulation Schemes for Generic Robust Monte-Carlo Sensitivities, Process Oriented Importance Sampling and High Accuracy Drift Approximation (with Applications to the Libor Market Model)

Number of pages: 32 Posted: 21 Apr 2005
Christian P. Fries and Joerg Kampen
Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics and Weierstrass Institute for Applied Analysis and Stochastics
Downloads 482 (59,435)
Citation 6

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Monte-Carlo, Likelihood Ratio, Malliavin Calculus, Sensitivities, Greeks, Likelihood Ratio, Importance Sampling, Proxy Simulation Scheme, Weak Scheme, Digital Option, Binary Option, Trigger Product

2.

Monte Carlo Greeks for Financial Products via Approximative Greenian Kernels

Weierstrass Institute Berlin Working Paper
Number of pages: 26 Posted: 15 Feb 2007 Last Revised: 15 Feb 2008
Weierstrass Institute for Applied Analysis and Stochastics, Weierstras Institute for Applied Analysis and Stochastics (WIAS) and Weierstras Institute for Applied Analysis and Stochastics (WIAS)
Downloads 288 (107,736)
Citation 2

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Financial Derivatives, sensitivities, Monte-Carlo methods, WKB expansions

3.

On a Class of Semi-Elliptic Diffusion Models - Part I: A Constructive Analytical Approach for Global Solutions, Densities and Numerical Schemes with Applications to the LIBOR Market Model

Number of pages: 28 Posted: 05 Apr 2010
Christian P. Fries and Joerg Kampen
Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics and Weierstrass Institute for Applied Analysis and Stochastics
Downloads 73 (328,669)

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Degenerate parabolic equations, financial derivatives, sensitivities, Monte-Carlo methods

4.

Holomorphic Transforms with Application to Affine Processes

Number of pages: 29 Posted: 07 Feb 2008 Last Revised: 11 Feb 2008
Weierstras Institute for Applied Analysis and Stochastics (WIAS), Weierstrass Institute for Applied Analysis and Stochastics and Weierstras Institute for Applied Analysis and Stochastics (WIAS)
Downloads 62 (358,507)

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Itô-Lévy processes, affine processes, holomorhic transforms

5.

Global Regularity and Probabilistic Schemes for Free Boundary Surfaces of Multivariate American Derivatives and Their Greeks

Number of pages: 27 Posted: 03 Jun 2008 Last Revised: 23 Nov 2008
Joerg Kampen
Weierstrass Institute for Applied Analysis and Stochastics
Downloads 20 (533,068)

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multivariate American derivatives, regularity, free boundary surfaces, probabilistic schemes, front fixing