Fröhlich, Holger, Sahin, Özgür, Arlt, Dorit, Bender, Christian, Beißbarth, Tim
Abstract Background Modern gene perturbation techniques, like RNA interference (RNAi), enable us to study effects of targeted interventions in cells efficiently. In combination with mRNA or protein...
Stochastic calculus for convoluted L\'{e}vy processes (2008)
Bender, Christian, Marquardt, Tina
We develop a stochastic calculus for processes which are built by convoluting a pure jump, zero expectation L\'{e}vy process with a Volterra-type kernel. This class of processes contains, for...
Theory of Stochastic Processes Vol.12 (28), no.3-4, 2006, pp.*-* (2008)
Christian Bender, Tommi Sottinen, Esko Valkeila
In recent years fractional Brownian motion has been suggested to replace the classical Brownian motion as driving process in the modelling of many real world phenomena, including stock price...
Forward Simulation of Financial Problems via (2008)
Christian Bender, Robert Denk, Christian Bender, Robert Denk
We introduce a forward scheme to simulate backward SDEs and demonstrate the strength of the new algorithm by solving some financial problems numerically. 1
Forward Simulation of Financial Problems via (2008)
Christian Bender, Robert Denk, Christian Bender, Robert Denk
We introduce a forward scheme to simulate backward SDEs and demonstrate the strength of the new algorithm by solving some financial problems numerically. 1
Time discretization and Markovian iteration for coupled FBSDEs (2008)
Bender, Christian, Zhang, Jianfeng
In this paper we lay the foundation for a numerical algorithm to simulate high-dimensional coupled FBSDEs under weak coupling or monotonicity conditions. In particular, we prove convergence of a time...
Importance sampling for backward SDEs (2008)
Bender, Christian, Moseler, Thilo
In this paper we explain how the importance sampling technique can be generalized from simulating expectations to computing the initial value of backward SDEs with Lipschitz continuous driver. By...
An iterative method for multiple stopping: convergence and stability (2006)
Bender, Christian, Schoenmakers, John
We present a new iterative procedure for solving the multiple stopping problem in discrete time and discuss the stability of the algorithm. The algorithm produces monotonically increasing...
Christian Bender untersucht, wie die Erfassung von Umsatzerlösen zuverlässiger und für Investoren transparenter gestaltet werden kann. Er analysiert die Relevanz des Umsatzausweises für die...
Im Buchh.: Wiesbaden : Deutscher Universitätsverlag, u.d.T.: Umsatzerfassung nach US-GAAP und IFRS.
A Forward Scheme for Backward SDEs (2005)
Bender, Christian, Denk, Robert
We introduce a forward scheme to simulate backward SDEs. Compared to existing schemes, we avoid high order nestings of conditional expectations backwards in time. In this way the error, when...
Forward Simulation of Financial Problems via BSDEs (2005)
Bender, Christian, Denk, Robert
We introduce a forward scheme to simulate backward SDEs and demonstrate the strength of the new algorithm by solving some financial problems numerically.
A Forward Scheme for Backward SDEs 1 (2005)
Christian Bender, Robert Denk, Christian Bender, Robert Denk
We introduce a forward scheme to simulate backward SDEs. Compared to existing schemes, we avoid high order nestings of conditional expectations backwards in time. In this way the error, when...
A Forward Scheme for Backward SDEs 1 (2005)
Christian Bender, Robert Denk, Christian Bender, Robert Denk
We introduce a forward scheme to simulate backward SDEs. Compared to existing schemes, we avoid high order nestings of conditional expectations backwards in time. In this way the error, when...
Umsatzerfassung nach US-GAAP und IFRS : Konzeption, Problembereiche, Lösungsansätze / (2005)
Zugl.: St. Gallen, Universiẗat, Diss., 2004.
Optimal superhedging under nonconvex constraints ; a BSDE approach (2004)
Bender, Christian, Kohlmann, Michael
We apply theoretical results of S. Peng on supersolutions for BSDEs to the problem of finding optimal superhedging strategies in a Black-Scholes market under constraints. Constraints may be imposed...
Untersuchung zur Zusammensetzung der periimplantären Flora mittels Kultur und DNA-Sonde / (2004)
Mainz, Univ., Diss., 2004.
An S-transform approach to integration with respect to a fractional Brownian motion (2003)
We give an elementary definition of the (Wick--)It\^o integral with respect to a fractional Brownian motion using the expectation, the ordinary Lebesgue integral and the classical (simple) Wiener...
Integration with respect to a fractional Brownian motion and related market models / (2003)
Thesis (doctoral) - Univ., Konstanz, 2003.
A Gold Standard for the Internet? An Introductory Assessment (2001)
Although recent data on electronic commerce (e-commerce) show vital growth, the role of electronic money in e-commerce is still unclear. Critical success factors for electronic money in the...
BSDES with Stochastic Lipschitz Condition (2000)
Bender, Christian, Kohlmann, Michael
We prove an existence and uniqueness theorem for backwrd stochastic differential equationsdriven by a Brownian motion, where the uniform Lipschitz continuity is replaced by a stochastic one.
BSDES with Stochastic Lipschitz Condition (2000)
Bender, Christian, Kohlmann, Michael
We prove an existence and uniqueness theorem for backwrd stochastic differential equations driven by a Brownian motion, where the uniform Lipschitz continuity is replaced by a stochastic one.
Heidelberg, Univ., Diss., 1993 (Nicht für den Austausch).
BSDES With Stochastic Lipschitz Condition
Christian Bender, Michael Kohlmann
We prove an existence and uniqueness theorem for backward stochastic differential equations driven by a Brownian motion, where the uniform Lipschitz continuity is replaced by a stochastic one.
Enhanced policy iteration for American options via scenario selection
Christian Bender, Anastasia Kolodko, John Schoenmakers
Kolodko and Schoenmakers (2006) and Bender and Schoenmakers (2006) introduced a policy iteration that allows the achievement of a tight lower approximations of the price for early exercise options...
OPTIMAL SUPERHEDGING UNDER NON-CONVEX CONSTRAINTS â A BSDE APPROACH
CHRISTIAN BENDER, MICHAEL KOHLMANN
We apply theoretical results by Peng on supersolutions for Backward SDEs (BSDEs) to the problem of finding optimal superhedging strategies in a generalized BlackâScholes market under constraints....
On q-optimal martingale measures in exponential Lévy models
Christian Bender, Christina Niethammer
Stochastic duality, q-optimal martingale measure, Minimal entropy martingale measure, Lévy processes, 91B28, 60H10, 60G51, 60J75, G11, C61,
Pricing by hedging and no-arbitrage beyond semimartingales
Christian Bender, Tommi Sottinen, Esko Valkeila
Arbitrage, Pricing, Quadratic variation, Robust hedging, G10, G13,
Importance sampling for backward SDEs
Thilo Moseler, Christian Bender
In this paper we explain how the importance sampling technique can be generalized from simulating expectations to computing the initial value of backward SDEs with Lipschitz continuous driver. By...