Université Pierre et Marie Curie (P6) Laboratoire de Probabilités et Modèles Aléatoires Probabilités Numériques et Finance

Dr. Benedikt Wilbertz

Post-Doc

Laboratoire de Probabilités et Modèles Aléatoires
Université Paris VI
Case courrier 188
4, Place Jussieu
75252 PARIS Cedex 05
phone: +33 1 44 27 70 43
fax: +33 1 44 27 72 23
e-mail: benedikt.wilbertz@upmc.fr
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Research Interests


Preprints & Publications

  1. G. PAGÈS, B. WILBERTZ (2010): Sharp rate for the dual quantization problem, Preprint PMA-1402, (Link).
  2. G. PAGÈS, B. WILBERTZ (2010): Intrinsic stationarity for vector quantization: Foundation of dual quantization, Preprint PMA-1393, (Link).
  3. G. PAGÈS, B. WILBERTZ (2010): Parallel Implementation of a Quantization Algorithm for Pricing American Style Options on GPGPU, to appear.
  4. G. PAGÈS, B. WILBERTZ (2010): Dual Quantization for random walks with application to credit derivatives, to appear in J. Comp. Finance.
  5. A.L. BRONSTEIN, G. PAGÈS, B. WILBERTZ (2010): How to speed up the quantization tree algorithm with an application to swing options, Quantitative Finance, Vol. 10, Issue 9, November 2010, (Link).
  6. H. LUSCHGY, G. PAGÈS, B. WILBERTZ (2010): Asymptotically optimal quantization schemes for Gaussian processes on Hilbert spaces, ESAIM: PS, Vol. 14 (2010), (Link).
  7. B. WILBERTZ (2008): Construction of optimal quantizers for Gaussian measures on Banach spaces, PhD Thesis, Univ. Trier, (Link).
  8. B. WILBERTZ (2005): Computational aspects of Functional Quantization for Gaussian measures and applications, Diploma Thesis, Univ. Trier, (Link).

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