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Disambiguation of "Talay, Denis"

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Liquidity costs: a new numerical methodology and an empirical study

, , , and . (2015)cite arxiv:1501.07404.

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Ridvan Talay

Oezcan Talay

Ridvan Talay

Susanne Talay

Shabo Talay

 

Other publications of authors with the same name

Approximation of quantiles of components of diffusion processes, and . Stochastic Processes and their Applications, 109 (1): 23--46 (January 2004)Expansion of the global error for numerical schemes solving stochastic differential equations, and . Stochastic Analysis and Applications, 8 (4): 483--509 (1990)Approximation of Lyapunov Exponents of Nonlinear Stochastic Differential Equations., and . SIAM J. Appl. Math., 56 (2): 627-650 (1996)A stochastic particle method for the McKean-Vlasov and the Burgers equation., and . Math. Comput., 66 (217): 157-192 (1997)A Pseudo-Markov Property for Controlled Diffusion Processes., , and . SIAM J. Control and Optimization, 54 (2): 1017-1029 (2016)Liquidity costs: a new numerical methodology and an empirical study, , , and . (2015)cite arxiv:1501.07404.Approximation of Upper Lyapunov Exponents of Bilinear Stochastic Differential Systems. SIAM Journal on Numerical Analysis, 28 (4): 1141--1164 (1991)The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density., and . Monte Carlo Methods Appl., 2 (2): 93-128 (1996)Technical analysis compared to mathematical models based methods under parameters mis-specification, , , , and . Journal of Banking & Finance, 31 (5): 1351--1373 (May 2007)Worst case model risk management., and . Finance and Stochastics, 6 (4): 517-537 (2002)