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Long Teng
Long Teng
Bestätigte E-Mail-Adresse bei math.uni-wuppertal.de - Startseite
Titel
Zitiert von
Zitiert von
Jahr
Modelling stochastic correlation
L Teng, M Ehrhardt, M Günther
Journal of Mathematics in Industry 6 (1), 1-18, 2016
412016
A versatile approach for stochastic correlation using hyperbolic functions
L Teng, C Van Emmerich, M Ehrhardt, M Günther
International Journal of Computer Mathematics 93 (3), 524-539, 2016
362016
On the Heston model with stochastic correlation
L Teng, M Ehrhardt, M Günther
International Journal of Theoretical and Applied Finance 19 (06), 1650033, 2016
282016
The pricing of Quanto options under dynamic correlation
L Teng, M Ehrhardt, M Günther
Journal of Computational and Applied Mathematics 275, 304-310, 2015
272015
The dynamic correlation model and its application to the Heston model
L Teng, M Ehrhardt, M Günther
Innovations in Derivatives Markets, 437-449, 2016
232016
A multi-step scheme based on cubic spline for solving backward stochastic differential equations
L Teng, A Lapitckii, M Günther
Applied Numerical Mathematics 150, 117-138, 2020
172020
Numerical simulation of the Heston model under stochastic correlation
L Teng, M Ehrhardt, M Günther
International Journal of Financial Studies 6 (1), 3, 2017
172017
A review of tree-based approaches to solve forward-backward stochastic differential equations
L Teng
arXiv preprint arXiv:1809.00325, 2018
112018
A new methodology to create valid time-dependent correlation matrices via isospectral flows
L Teng, X Wu, M Günther, M Ehrhardt
ESAIM: Mathematical Modelling and Numerical Analysis 54 (2), 361-371, 2020
102020
Accelerated implementation of the ADI schemes for the Heston model with stochastic correlation
L Teng, A Clevenhaus
Journal of Computational Science 36, 101022, 2019
82019
Quanto pricing in stochastic correlation models
L Teng, M Ehrhardt, M Günther
International Journal of Theoretical and Applied Finance 21 (05), 1850038, 2018
82018
Bilateral counterparty risk valuation of CDS contracts with simultaneous defaults
L Teng, M Ehrhardt, M Günther
International Journal of Theoretical and Applied Finance 16 (07), 1350040, 2013
82013
Deep Learning algorithms for solving high dimensional nonlinear Backward Stochastic Differential Equations
L Kapllani, L Teng
arXiv preprint arXiv:2010.01319, 2020
62020
Option pricing with dynamically correlated stochastic interest rate
L Teng, M Ehrhardt, M Günther
Acta Mathematica Universitatis Comenianae 84 (2), 179-190, 2015
62015
Numerical evaluation of complex logarithms in the Cox–Ingersoll–Ross model
L Teng, M Ehrhardt, M Günther
International Journal of Computer Mathematics 90 (5), 1083-1095, 2013
42013
Gradient boosting-based numerical methods for high-dimensional backward stochastic differential equations
L Teng
Applied Mathematics and Computation 426, 127119, 2022
32022
A multistep scheme to solve backward stochastic differential equations for option pricing on gpus
L Kapllani, L Teng, M Ehrhardt
International conference on variability of the sun and sun-like stars: from …, 2019
32019
Multistep schemes for solving backward stochastic differential equations on GPU
L Kapllani, L Teng
Journal of Mathematics in Industry 12 (1), 1-22, 2022
22022
High-order combined multi-step scheme for solving forward backward stochastic differential equations
L Teng, W Zhao
Journal of Scientific Computing 87 (3), 1-25, 2021
22021
The Heston Model with Time-Dependent Correlation Driven by Isospectral Flows
L Teng
Mathematics 9 (9), 934, 2021
12021
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