Low-rank tensor structure of linear diffusion operators in the TT and QTT formats V Kazeev, O Reichmann, C Schwab Linear Algebra and its Applications 438 (11), 4204-4221, 2013 | 59 | 2013 |
Wavelet solution of variable order pseudodifferential equations R Schneider, O Reichmann, C Schwab Calcolo 47 (2), 65-101, 2010 | 30 | 2010 |
hp-DG-QTT solution of high-dimensional degenerate diffusion equations V Kazeev, O Reichmann ETH-Zürich, 2012 | 20 | 2012 |
Pricing electricity derivatives on an hourly basis N Branger, O Reichmann, M Wobben The Journal of Energy Markets 3 (3), 51, 2010 | 19 | 2010 |
A non-stationary model of dividend distribution in a stochastic interest-rate setting A Barth, S Moreno–Bromberg, O Reichmann Computational Economics 47 (3), 447-472, 2016 | 17 | 2016 |
A Convergent Difference Scheme for a Class of Partial Integro-Differential Equations Modeling Pricing under Uncertainty GM Coclite, O Reichmann, NH Risebro SIAM Journal on Numerical Analysis 54 (2), 588-605, 2016 | 12 | 2016 |
Optimal space–time adaptive wavelet methods for degenerate parabolic PDEs O Reichmann Numerische Mathematik 121 (2), 337-365, 2012 | 10 | 2012 |
hp-DGFEM for Kolmogorov–Fokker–Planck equations of multivariate Lévy processes D Marazzina, O Reichmann, C Schwab Mathematical Models and Methods in Applied Sciences 22 (01), 1150005, 2012 | 9 | 2012 |
Numerical Analysis of Additive, Lévy and Feller Processes with Applications to Option Pricing O Reichmann, C Schwab Lévy matters I, 137-196, 2010 | 9* | 2010 |
Valuation of physical transmission rights—An analysis of electricity cross-border capacities between Germany and the Netherlands M Wobben, B Dieckmann, O Reichmann Energy Policy 42, 174-180, 2012 | 8 | 2012 |
Bewertung von Flexibilität in freien Stromhandelssystemen unter Berücksichtigung von Sprüngen O Reichmann Westfälische Wilhelms-Universität: Diploma Thesis, Münster, 2008 | 4 | 2008 |
Wavelet solution of degenerate Kolmogoroff forward equations for exotic contracts in finance O Reichmann, C Schwab Recent Developments in Computational Finance: Foundations, Algorithms and …, 2013 | 2 | 2013 |
Bewertung von physischen Übertragungsrechten—Eine Analyse der Grenzkuppelstellen zwischen Deutschland und den Niederlanden B Dieckmann, O Reichmann, M Wobben Zeitschrift für Energiewirtschaft 32 (4), 254-261, 2008 | 2 | 2008 |
On Skorokhod Embeddings and Poisson Equations OR Leif Döring, Lukas Gonon, David J. Prömel https://arxiv.org/abs/1703.05673, 2017 | | 2017 |
Lévy Models N Hilber, O Reichmann, C Schwab, C Winter Computational Methods for Quantitative Finance, 123-143, 2013 | | 2013 |
Multidimensional Feller Processes N Hilber, O Reichmann, C Schwab, C Winter Computational Methods for Quantitative Finance, 247-267, 2013 | | 2013 |