Photo of Nikolaus Schweizer
  • Warandelaan 2, Prisma Building, room P 3.209

    5037 AB Tilburg

    Netherlands

20142019
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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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Research Output 2014 2019

Performance bounds for optimal sales mechanisms beyond the monotone hazard rate condition

Schweizer, N. & Szech, N., May 2019, In : Journal of Mathematical Economics. 82, p. 202-213

Research output: Contribution to journalArticleScientificpeer-review

Performance Bounds
Hazard Rate
Monotone
Hazards
Sales

The joint impact of F-divergences and reference models on the contents of uncertainty sets

Kruse, T., Schneider, J. C. & Schweizer, N., Mar 2019, In : Operations Research. 67, 2, p. 428-435

Research output: Contribution to journalArticleScientificpeer-review

Reference model
Uncertainty
Divergence
Oils and fats
Entropy

Guilt and voting in public good games

Rothenhäusler, D., Schweizer, N. & Szech, N., Jan 2018, In : European Economic Review. 101, p. 664-681

Research output: Contribution to journalArticleScientificpeer-review

Guilt
Voting
Costs
Prediction
Causal effect

Optimal revelation of life-changing information

Schweizer, N. & Szech, N., Nov 2018, In : Management Science. 64, 11, p. 5250-5262

Research output: Contribution to journalArticleScientificpeer-review

Optimal test
Disposition
Probability weighting

Pathwise dynamic programming

Bender, C., Gärtner, C. & Schweizer, N., Aug 2018, In : Mathematics of Operations Research. 43, 3, p. 965-995

Research output: Contribution to journalArticleScientificpeer-review

Dynamic programming
Dynamic Programming
Recursion
Stochastic Dynamic Programming
Costs