Ralf Korn

According to our database1, Ralf Korn authored at least 34 papers between 1995 and 2019.

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Bibliography

2019
Quant GANs: Deep Generation of Financial Time Series.
CoRR, 2019

Copula & Marginal Flows: Disentangling the Marginal from its Joint.
CoRR, 2019

2018
Portfolio optimization with early announced discrete dividends.
Oper. Res. Lett., 2018

Pricing barrier options in the Heston model using the Heath-Platen estimator.
Monte Carlo Meth. and Appl., 2018

Constant proportion portfolio insurance in defined contribution pension plan management.
Annals OR, 2018

Constant proportion portfolio insurance in defined contribution pension plan management under discrete-time trading.
Annals OR, 2018

2017
Stochastic impulse control with regime-switching dynamics.
Eur. J. Oper. Res., 2017

Real-Time Financial Risk Measurement of Dynamic Complex Portfolios with Python and PyOpenCL.
Proceedings of the 7th Workshop on Python for High-Performance and Scientific Computing, 2017

2015
Robust worst-case optimal investment.
OR Spectrum, 2015

Optimization strategies for portable code for Monte Carlo-based value-at-risk systems.
Proceedings of the 8th Workshop on High Performance Computational Finance, 2015

Reverse longstaff-schwartz american option pricing on hybrid CPU/FPGA systems.
Proceedings of the 2015 Design, Automation & Test in Europe Conference & Exhibition, 2015

2014
Mixed precision multilevel Monte Carlo on hybrid computing systems.
Proceedings of the IEEE Conference on Computational Intelligence for Financial Engineering & Economics, 2014

2013
Efficient basket Monte Carlo option pricing via a simple analytical approximation.
J. Comput. Appl. Math., 2013

The optimal-drift model: an accelerated binomial scheme.
Finance and Stochastics, 2013

2012
A Hardware Efficient Random Number Generator for Nonuniform Distributions with Arbitrary Precision.
Int. J. Reconfig. Comp., 2012

2011
Algorithmic complexity in the heston model: an implementation view.
Proceedings of the WHPCF'11, 2011

An Energy Efficient FPGA Accelerator for Monte Carlo Option Pricing with the Heston Model.
Proceedings of the 2011 International Conference on Reconfigurable Computing and FPGAs, 2011

Energy Efficient Acceleration and Evaluation of Financial Computations towards Real-Time Pricing.
Proceedings of the Knowledge-Based and Intelligent Information and Engineering Systems, 2011

2010
A New Hardware Efficient Inversion Based Random Number Generator for Non-uniform Distributions.
Proceedings of the ReConFig'10: 2010 International Conference on Reconfigurable Computing and FPGAs, 2010

2009
Editorial.
Finance and Stochastics, 2009

Introduction to the Special Theme - Modern Mathematics for Finance and Economics.
ERCIM News, 2009

2008
Optimal portfolios: new variations of an old theme.
Comput. Manag. Science, 2008

2007
On Worst-Case Portfolio Optimization.
SIAM J. Control and Optimization, 2007

2005
Worst-Case Scenario Portfolio Optimization: a New Stochastic Control Approach.
Math. Meth. of OR, 2005

2004
Realism and practicality of transaction cost approaches in continuous-time portfolio optimisation: the scope of the Morton-Pliska approach.
Math. Meth. of OR, 2004

2002
A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates.
SIAM J. Control and Optimization, 2002

1999
On value preserving and growth optimal portfolios.
Math. Meth. of OR, 1999

Some applications of impulse control in mathematical finance.
Math. Meth. of OR, 1999

1998
Value preserving portfolio strategies and the minimal martingale measure.
Math. Meth. of OR, 1998

Portfolio optimisation with strictly positive transaction costs and impulse control.
Finance and Stochastics, 1998

1997
Optimal Impulse Control When Control Actions Have Random Consequences.
Math. Oper. Res., 1997

Value preserving portfolio strategies in continuous-time models.
Math. Meth. of OR, 1997

1995
Continuous-time portfolio optimization under terminal wealth constraints.
Math. Meth. of OR, 1995

Contingent claim valuation in a market with different interest rates.
Math. Meth. of OR, 1995


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