Modelling stochastic correlation L Teng, M Ehrhardt, M Günther Journal of Mathematics in Industry 6, 1-18, 2016 | 44 | 2016 |
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 | 38 | 2016 |
On the Heston model with stochastic correlation L Teng, M Ehrhardt, M Günther International Journal of Theoretical and Applied Finance 19 (06), 1650033, 2016 | 32 | 2016 |
The pricing of Quanto options under dynamic correlation L Teng, M Ehrhardt, M Günther Journal of Computational and Applied Mathematics 275, 304-310, 2015 | 30 | 2015 |
The dynamic correlation model and its application to the Heston model L Teng, M Ehrhardt, M Günther Innovations in Derivatives Markets: Fixed Income Modeling, Valuation …, 2016 | 23 | 2016 |
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 | 19 | 2020 |
Numerical simulation of the Heston model under stochastic correlation L Teng, M Ehrhardt, M Günther International Journal of Financial Studies 6 (1), 3, 2017 | 18 | 2017 |
Deep learning algorithms for solving high dimensional nonlinear backward stochastic differential equations L Kapllani, L Teng arXiv preprint arXiv:2010.01319, 2020 | 16 | 2020 |
A review of tree-based approaches to solve forward-backward stochastic differential equations L Teng arXiv preprint arXiv:1809.00325, 2018 | 16 | 2018 |
Accelerated implementation of the ADI schemes for the Heston model with stochastic correlation L Teng, A Clevenhaus Journal of Computational Science 36, 101022, 2019 | 12 | 2019 |
Gradient boosting-based numerical methods for high-dimensional backward stochastic differential equations L Teng Applied Mathematics and Computation 426, 127119, 2022 | 9 | 2022 |
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 | 9 | 2020 |
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 | 9 | 2013 |
Quanto pricing in stochastic correlation models L Teng, M Ehrhardt, M Günther International Journal of Theoretical and Applied Finance 21 (05), 1850038, 2018 | 8 | 2018 |
Option pricing with dynamically correlated stochastic interest rate L Teng, M Ehrhardt, M Günther Acta Mathematica Universitatis Comenianae 84 (2), 179-190, 2015 | 6 | 2015 |
Multistep schemes for solving backward stochastic differential equations on GPU L Kapllani, L Teng Journal of Mathematics in Industry 12 (1), 5, 2022 | 5 | 2022 |
High-order combined multi-step scheme for solving forward backward stochastic differential equations L Teng, W Zhao Journal of Scientific Computing 87 (3), 81, 2021 | 5 | 2021 |
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 | 4 | 2013 |
A multistep scheme to solve backward stochastic differential equations for option pricing on GPUs L Kapllani, L Teng, M Ehrhardt Advances in High Performance Computing: Results of the International …, 2021 | 3 | 2021 |
The Heston model with time-dependent correlation driven by isospectral flows L Teng Mathematics 9 (9), 934, 2021 | 2 | 2021 |