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Jan Hendrik Witte

Identifiers

  • name variant Jan Hendrik Witte 0.60 · backfill

Papers (9)

  1. The Blockchain: A Gentle Four Page Introduction q-fin.GN · 2016 · author #1
  2. Volatility Harvesting: Extracting Return from Randomness q-fin.TR · 2015 · author #1
  3. Foreign Exchange Market Microstructure and the WM/Reuters 4pm Fix q-fin.TR · 2015 · author #2
  4. A Bellman View of Jesse Livermore q-fin.TR · 2014 · author #2
  5. Monte Carlo methods via a dual approach for some discrete time stochastic control problems math.PR · 2011 · author #3
  6. Penalty Methods for the Solution of Discrete HJB Equations -- Continuous Control and Obstacle Problems q-fin.CP · 2011 · author #1
  7. On the Use of Policy Iteration as an Easy Way of Pricing American Options q-fin.CP · 2010 · author #2
  8. The Effect of Non-Smooth Payoffs on the Penalty Approximation of American Options q-fin.CP · 2010 · author #3
  9. A Penalty Method for the Numerical Solution of Hamilton-Jacobi-Bellman (HJB) Equations in Finance q-fin.CP · 2010 · author #1

Mentions

  • 1508.05241 #1 · backfill · confidence 0.70 Jan Hendrik Witte
  • 1105.5954 #1 · arxiv_oai · confidence 0.70 Jan Hendrik Witte
  • 1012.4976 #2 · arxiv_oai · confidence 0.70 Jan Hendrik Witte
  • 1008.0401 #1 · arxiv_oai · confidence 0.70 Jan Hendrik Witte
  • 1501.07778 #2 · backfill · confidence 0.70 Jan Hendrik Witte
  • 1407.2642 #2 · backfill · confidence 0.70 Jan Hendrik Witte
  • 1112.4351 #3 · backfill · confidence 0.70 Jan Hendrik Witte
  • 1105.5954 #1 · backfill · confidence 0.70 Jan Hendrik Witte
  • 1012.4976 #2 · backfill · confidence 0.70 Jan Hendrik Witte
  • 1008.0836 #3 · backfill · confidence 0.70 Jan Hendrik Witte
  • 1008.0401 #1 · backfill · confidence 0.70 Jan Hendrik Witte

Frequent Coauthors