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Christian Bender · Study

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Christian Bender

16 works· latest 2012· 3 institutionscluster: provisionalORCID 0000-0003-3264-2975

h-index16

i1016

Citations1,078

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Most cited in this library

A forward scheme for backward SDEs2007 · 186 citations
Time discretization and Markovian iteration for coupled FBSDEs2006 · 106 citations
Dual pricing of multi-exercise options under volume constraints2010 · 104 citations
Pricing by hedging and no-arbitrage beyond semimartingales2008 · 94 citations
TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO2009 · 91 citations

Works

16 shown

Least-Squares Monte Carlo for Backward SDEs

Springer proceedings in mathematics·2012·1 author·chapter

85citations

Fractional Processes as Models in Stochastic Finance

Springer eBooks·2011·3 authors·chapter

52citations

Primal and Dual Pricing of Multiple Exercise Options in Continuous Time

SIAM Journal on Financial Mathematics·2011·1 author

45citations

Dual pricing of multi-exercise options under volume constraints

Finance and Stochastics·2010·1 author

104citations

Importance Sampling for Backward SDEs

Stochastic Analysis and Applications·2010·2 authors·Open access

29citations

Finite variation of fractional Levy processes

·2010·3 authors·preprint

37citations

TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO

Mathematical Finance·2009·3 authors

91citations

Pricing by hedging and no-arbitrage beyond semimartingales

Finance and Stochastics·2008·3 authors

94citations

Stochastic calculus for convoluted Lévy processes

Bernoulli·2008·2 authors·Open access

27citations

A forward scheme for backward SDEs

Stochastic Processes and their Applications·2007·2 authors·Open access

186citations

Arbitrage with fractional Brownian motion

The scientific electronic library of periodicals of the National Academy of Sciences of Ukraine (National Academy of Sciences of Ukraine)·2007·3 authors

61citations

An iterative method for multiple stopping: convergence and stability

Advances in Applied Probability·2006·2 authors·Open access

37citations

Time discretization and Markovian iteration for coupled FBSDEs

·2006·2 authors·preprint

106citations

Explicit solutions of a class of linear fractional BSDEs

Systems & Control Letters·2004·1 author

42citations

Arbitrage in a Discrete Version of the Wick-Fractional Black-Scholes Market

Mathematics of Operations Research·2004·2 authors

29citations

An S-transform approach to integration with respect to a fractional Brownian motion

Bernoulli·2003·1 author

53citations