20182020

Research output per year

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Research Output

  • 3 Article
  • 1 Dissertation (TU Delft)

An SGBM-XVA demonstrator: a scalable Python tool for pricing XVA

Chau, K. W., Tang, J. & Oosterlee, C. W., 19 Feb 2020, In : Journal of Mathematics in Industry. 10, 1, 7.

Research output: Contribution to journalArticleScientificpeer-review

Open Access
File
  • 33 Downloads (Pure)
    File
  • 60 Downloads (Pure)

    Stochastic grid bundling method for backward stochastic differential equations

    Chau, K. W. & Oosterlee, C. W., 29 Aug 2019, In : International Journal of Computer Mathematics. 96, 11, p. 2272-2301 30 p.

    Research output: Contribution to journalArticleScientificpeer-review

  • 1 Citation (Scopus)

    On the wavelet-based SWIFT method for backward stochastic differential equations

    Chau, K. W. & Oosterlee, C. W., 2018, In : IMA Journal of Numerical Analysis. 38, 2, p. 1051-1083 33 p.

    Research output: Contribution to journalArticleScientificpeer-review

    Open Access
    File
  • 2 Citations (Scopus)
    12 Downloads (Pure)