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Practical matters How to find us K.W. (Ki Wai) Chau, Dr

Publications

Rabin’s calibration theorem revisited

Rule-based strategies for dynamic life cycle investment

An SGBM-XVA demonstrator: a scalable Python tool for pricing XVA

Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view

Stochastic grid bundling method for backward stochastic differential equations

On the wavelet-based SWIFT method for backward stochastic differential equations

Fourier-cosine method for Gerber–Shiu functions

Fourier-cosine method for ruin probabilities

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