Photo of Nikolaus Schweizer
  • Warandelaan 2, Koopmans Building, room K 532

    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.

Fingerprint Dive into the research topics where Nikolaus Schweizer is active. These topic labels come from the works of this person. Together they form a unique fingerprint.

Backward Stochastic Differential Equation Mathematics
Reflected Backward Stochastic Differential Equation Mathematics
Dynamic programming Engineering & Materials Science
Stochastic Dynamics Mathematics
Markov chain Mathematics
Wasserstein Distance Mathematics
Dynamic Programming Mathematics
Primal-dual Algorithm Mathematics

Network Recent external collaboration on country level. Dive into details by clicking on the dots.

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

Perturbation bounds for Monte Carlo within Metropolis via restricted approximations

Medina-Aguayo, F., Rudolf, D. & Schweizer, N., 26 Jun 2019, In : Stochastic Processes and their Applications.

Research output: Contribution to journalArticleScientificpeer-review

Perturbation Bound
Markov processes
Markov chain
Approximation
Metropolis-Hastings

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