dr. K.W. (Ki Wai) Chau

Assistant professor

dr. K.W. (Ki Wai) Chau
E-mail:
k.w.chau rug.nl

Research

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

    Chau, K. W. & Oosterlee, C. W., Apr-2018, In : IMA Journal of Numerical Analysis. 38, 2, p. 1051-1083

    Research output: Contribution to journalArticleAcademicpeer-review

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

    Bourchard, B., Chau, K. W., Manai, A. & Sid-Ali, A., 2-Apr-2019, In : ESAIM: Proceedings and Surveys. 65, p. 294-308

    Research output: Contribution to journalArticleAcademicpeer-review

  3. Fourier-cosine method for ruin probabilities

    Chau, K. W., Yam, P. & Yang, H., Jun-2015, In : Journal of Computational and Applied Mathematics. 281, p. 94-106 13 p.

    Research output: Contribution to journalArticleAcademicpeer-review

  4. Fourier-cosine method for Gerber–Shiu functions

    Chau, K. W., Yam, P. & Yang, H., Mar-2015, In : Insurance Mathematics & Economics. 61, p. 170-180 11 p.

    Research output: Contribution to journalArticleAcademicpeer-review

  5. Stochastic grid bundling method for backward stochastic differential equations

    Chau, K. W. & Oosterlee, C. W., 2-Nov-2019, In : International journal of computer mathematics. 96, 11, p. 2272-2301 30 p.

    Research output: Contribution to journalArticleAcademicpeer-review

View all (6) »

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