Research output per year
Research output per year
Personal profile
Research interests
My research focuses on Monte Carlo simulation methods, in particular MCMC and LSMC, often in connection with problems from quantitative finance and risk management. I am also interested in the economics of risk, uncertainty, information and time.
My past and present working papers are found either on SSRN or arXiv.
Current courses
Click here for my courses.
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Rabin’s calibration theorem revisited
Balter, A. G., Chau, K. W. & Schweizer, N., Jan 2022, In: Economics Letters. 210, 110166.Research output: Contribution to journal › Article › Scientific › peer-review
Open Access -
`Regression anytime' with brute-force SVD truncation
Bender, C. & Schweizer, N., Jun 2021, In: Annals of Applied Probability. 31, 3, p. 1140-1179Research output: Contribution to journal › Article › Scientific › peer-review
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A toolkit for robust risk assessment using F-divergences
Kruse, T., Schneider, J. C. & Schweizer, N., Oct 2021, In: Management Science. 67, 10, p. 6529-6552Research output: Contribution to journal › Article › Scientific › peer-review
Open Access -
Time-consistency of optimal investment under smooth ambiguity
Balter, A. G., Mahayni, A. & Schweizer, N., Sep 2021, In: European Journal of Operational Research. 293, 2, p. 643-657Research output: Contribution to journal › Article › Scientific › peer-review
Open Access1 Citation (Scopus) -
Perturbation bounds for Monte Carlo within Metropolis via restricted approximations
Medina-Aguayo, F., Rudolf, D. & Schweizer, N., Apr 2020, In: Stochastic Processes and their Applications. 130, 4, p. 2200-2227Research output: Contribution to journal › Article › Scientific › peer-review
Open Access4 Citations (Scopus)