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Stephan Sturm
Stephan Sturm
Worcester Polytechnic Institute
Bestätigte E-Mail-Adresse bei wpi.edu - Startseite
Titel
Zitiert von
Zitiert von
Jahr
On refined volatility smile expansion in the Heston model
P Friz, S Gerhold, A Gulisashvili, S Sturm
Quant. Finance 11 (8), 1151-1164, 2011
822011
Arbitrage‐free XVA
M Bichuch, A Capponi, S Sturm
Math. Finance 28 (2), 582-620, 2018
692018
Precipitation sensitivity to local variations in tropical sea surface temperature
J He, NC Johnson, GA Vecchi, B Kirtman, AT Wittenberg, S Sturm
J. Climate 31 (22), 9225-9238, 2018
432018
Portfolio optimization under convex incentive schemes
M Bichuch, S Sturm
Finance Stoch. 18 (4), 873-915, 2014
362014
Sensitivity of the Eisenberg--Noe Clearing Vector to Individual Interbank Liabilities
Z Feinstein, W Pang, B Rudloff, E Schaanning, S Sturm, M Wildman
SIAM J. Financial Math. 9 (4), 1286-1325, 2018
342018
From Smile Asymptotics to Market Risk Measures
R Sircar, S Sturm
Math. Finance 25 (2), 400-425, 2015
162015
Arbitrage-Free Pricing of XVA--Part I: Framework and Explicit Examples
M Bichuch, A Capponi, S Sturm
SSRN Preprint, 2015
122015
Arbitrage-Free Pricing of XVA–Part II: PDE Representation and Numerical Analysis
M Bichuch, A Capponi, S Sturm
SSRN Preprint, 2015
102015
Robust XVA
M Bichuch, A Capponi, S Sturm
Mathematical Finance 30 (3), 738-781, 2020
52020
A sensitivity analysis of the long-term expected utility of optimal portfolios
H Park, S Sturm
arXiv preprint arXiv:1906.03690, 2019
42019
Is the minimum value of an option on variance generated by local volatility?
M Beiglboeck, P Friz, S Sturm
SIAM J. Financial Math. 2, 213-220, 2011
42011
Calculation of the Greeks by Malliavin Calculus
S Sturm
University of Vienna, 2004
42004
A risk-sharing framework of bilateral contracts
J Lee, S Sturm, C Zhou
SIAM Journal on Financial Mathematics 11 (2), 385-410, 2020
22020
Small-Time Large Deviations for Sample Paths of Infinite-Dimensional Symmetric Dirichlet Processes
S Sturm
TU Berlin, 2010
12010
Commitment Planning for Drawdown Vehicles in a Stochastic Setting
J Adriazola, A Chen, P Kramer, K Sikorski, S Sturm, A Wey
2022
Cost-efficiency in Incomplete Markets
C Bernard, S Sturm
arXiv preprint arXiv:2206.12511, 2022
2022
XVA Valuation under Market Illiquidity
W Pang, S Sturm
arXiv preprint arXiv:2011.03543, 2020
2020
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