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 | 2013 | |
|---|---|---|
| j14 |      | Ralf Korn, Stefanie Müller: The optimal-drift model: an accelerated binomial scheme. Finance and Stochastics 17(1): 135-160 (2013) |
| j13 | | Ralf Korn, Serkan Zeytun: Efficient basket Monte Carlo option pricing via a simple analytical approximation. J. Computational Applied Mathematics 243: 48-59 (2013) |
| 2012 | ||
| j12 | | Christian de Schryver, Daniel Schmidt, Norbert Wehn, Elke Korn, Henning Marxen, Anton Kostiuk, Ralf Korn: A Hardware Efficient Random Number Generator for Nonuniform Distributions with Arbitrary Precision. Int. J. Reconfig. Comp. 2012 (2012) |
| 2011 | ||
| c3 | | Christian de Schryver, Matthias Jung, Norbert Wehn, Henning Marxen, Anton Kostiuk, Ralf Korn: Energy Efficient Acceleration and Evaluation of Financial Computations towards Real-Time Pricing. KES (4) 2011: 177-186 |
| c2 | | Christian de Schryver, Ivan Shcherbakov, Frank Kienle, Norbert Wehn, Henning Marxen, Anton Kostiuk, Ralf Korn: An Energy Efficient FPGA Accelerator for Monte Carlo Option Pricing with the Heston Model. ReConFig 2011: 468-474 |
| 2010 | ||
| c1 | | Christian de Schryver, Daniel Schmidt, Norbert Wehn, Elke Korn, Henning Marxen, Ralf Korn: A New Hardware Efficient Inversion Based Random Number Generator for Non-uniform Distributions. ReConFig 2010: 190-195 |
| 2009 | ||
| j11 | | Ralf Korn: Introduction to the Special Theme - Modern Mathematics for Finance and Economics. ERCIM News 2009(78) (2009) |
| 2007 | ||
| j10 | | Ralf Korn, Mogens Steffensen: On Worst-Case Portfolio Optimization. SIAM J. Control and Optimization 46(6): 2013-2030 (2007) |
| 2005 | ||
| j9 | | Ralf Korn, Olaf Menkens: Worst-Case Scenario Portfolio Optimization: a New Stochastic Control Approach. Math. Meth. of OR 62(1): 123-140 (2005) |
| 2004 | ||
| j8 | | Ralf Korn: Realism and practicality of transaction cost approaches in continuous-time portfolio optimisation: the scope of the Morton-Pliska approach. Math. Meth. of OR 60(2): 165-174 (2004) |
| 2002 | ||
| j7 | | Ralf Korn, Holger Kraft: A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates. SIAM J. Control and Optimization 40(4): 1250-1269 (2002) |
| 1999 | ||
| j6 | | Ralf Korn, Manfred Schäl: On value preserving and growth optimal portfolios. Math. Meth. of OR 50(2): 189-218 (1999) |
| j5 | | Ralf Korn: Some applications of impulse control in mathematical finance. Math. Meth. of OR 50(3): 493-518 (1999) |
| 1998 | ||
| j4 | | Ralf Korn: Value preserving portfolio strategies and the minimal martingale measure. Math. Meth. of OR 47(2): 169-179 (1998) |
| 1997 | ||
| j3 | | Ralf Korn: Value preserving portfolio strategies in continuous-time models. Math. Meth. of OR 45(1): 1-43 (1997) |
| 1995 | ||
| j2 | | Ralf Korn, Siegfried Trautmann: Continuous-time portfolio optimization under terminal wealth constraints. Math. Meth. of OR 42(1): 69-92 (1995) |
| j1 | | Ralf Korn: Contingent claim valuation in a market with different interest rates. Math. Meth. of OR 42(3): 255-274 (1995) |
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