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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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. 202-213Research output: Contribution to journal › Article › Scientific › peer-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 journal › Article › Scientific › peer-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. 428-435Research output: Contribution to journal › Article › Scientific › peer-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. 664-681Research output: Contribution to journal › Article › Scientific › peer-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. 5250-5262Research output: Contribution to journal › Article › Scientific › peer-review
Optimal test
Disposition
Probability weighting