Stefan Gerhold
Stefan Gerhold
Assistant professor, Vienna UT
Verified email at fam.tuwien.ac.at
TitleCited byYear
Transaction costs, trading volume, and the liquidity premium
S Gerhold, P Guasoni, J Muhle-Karbe, W Schachermayer
Finance and Stochastics 18 (1), 1-37, 2014
832014
On refined volatility smile expansion in the Heston model
P Friz, S Gerhold, A Gulisashvili, S Sturm
Quantitative Finance 11 (8), 1151-1164, 2011
742011
On the Non-Holonomic Character of Logarithms, Powers, and the th Prime Function
P Flajolet, S Gerhold, B Salvy
the electronic journal of combinatorics 11 (2), A2, 2005
582005
The dual optimizer for the growth-optimal portfolio under transaction costs
S Gerhold, J Muhle-Karbe, W Schachermayer
Finance and Stochastics 17 (2), 325-354, 2013
392013
Asymptotics and duality for the Davis and Norman problem
S Gerhold, J Muhle-Karbe, W Schachermayer
Stochastics An International Journal of Probability and Stochastic Processes…, 2012
362012
Uncoupling systems of linear operator equations
S Gerhold
362002
A generalization of Panjer’s recursion and numerically stable risk aggregation
S Gerhold, U Schmock, R Warnung
Finance and Stochastics 14 (1), 81, 2010
322010
On the positivity set of a linear recurrence sequence
JP Bell, S Gerhold
Israel Journal of Mathematics 157 (1), 333-345, 2007
322007
A procedure for proving special function inequalities involving a discrete parameter
S Gerhold, M Kauers
Proceedings of the 2005 international symposium on Symbolic and algebraic…, 2005
322005
On some non-holonomic sequences
S Gerhold
the electronic journal of combinatorics, R87-R87, 2004
262004
Asymptotics for a variant of the Mittag–Leffler function
S Gerhold
Integral Transforms and Special Functions 23 (6), 397-403, 2012
252012
On Turn's inequality for Legendre polynomials
H Alzer, S Gerhold, M Kauers, A Lupaş
Expositiones Mathematicae 25 (2), 181-186, 2007
242007
The Longstaff–Schwartz algorithm for Lvy models: results on fast and slow convergence
S Gerhold
The Annals of Applied Probability 21 (2), 589-608, 2011
222011
The dynamic dictionary of mathematical functions (DDMF)
A Benoit, F Chyzak, A Darrasse, S Gerhold, M Mezzarobba, B Salvy
International Congress on Mathematical Software, 35-41, 2010
222010
Computing the complexity for Schelling segregation models
S Gerhold, L Glebsky, C Schneider, H Weiss, B Zimmermann
Communications in Nonlinear Science and Numerical Simulation 13 (10), 2236-2245, 2008
212008
How to make Dupire’s local volatility work with jumps
PK Friz, S Gerhold, M Yor
Quantitative Finance 14 (8), 1327-1331, 2014
192014
The Hartman-Watson distribution revisited: asymptotics for pricing Asian options
S Gerhold
Journal of Applied Probability 48 (3), 892-899, 2011
182011
Non-holonomicity of sequences defined via elementary functions
JP Bell, S Gerhold, M Klazar, F Luca
Annals of Combinatorics 12 (1), 1-16, 2008
172008
Lindelf representations and (non-) holonomic sequences
P Flajolet, S Gerhold, B Salvy
the electronic journal of combinatorics 17 (1), R3, 2010
162010
Small-maturity asymptotics for the at-the-money implied volatility slope in Lvy models
S Gerhold, IC Glm, A Pinter
Applied mathematical finance 23 (2), 135-157, 2016
152016
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