Concepedia

Paul Gassiat

PG

12

Publications

253

Citations

11

H-Index

2012

Active since

Affiliations

Technische Universität Berlin(Current)

Université Paris Dauphine-PSL

Centre de Recherche en Mathématiques de la Décision

Université Paris Sciences et Lettres

Weierstrass Institute for Applied Analysis and Stochastics

Paul Gassiat is an author at Technische Universität Berlin specializing in asset pricing, business, and engineering.

Top concepts

Asset PricingBusinessEngineeringFinanceEconomicsStochastic CalculusNumerical AnalysisFinancial EconomicsSystems EngineeringMathematical Programming

Publications per year

2012–2021

12

Publications

12

Precise asymptotics: Robust stochastic volatility models

Peter K. Friz, Paul Gassiat, Paolo Pigato · The Annals of Applied Probability · 2021 · 32 citations · Full text

Investment/Consumption Problem in Illiquid Markets with Regime-Switching

Paul Gassiat, Fausto Gozzi, Huyên Pham · SIAM Journal on Control and Optimization · 2014 · 30 citations · Full text

Mathematical Programming, Dynamic Economic Model, Economics +15

Regularization by noise for stochastic Hamilton–Jacobi equations

Paul Gassiat, Benjamin Gess · Probability Theory and Related Fields · 2018 · 28 citations · Full text

Stochastic Calculus, Stochastic Analysis, Stochastic Hamilton–jacobi Equations +2

On the martingale property in the rough Bergomi model

Paul Gassiat · Electronic Communications in Probability · 2019 · 27 citations · Full text

Multivariate Stochastic Volatility, Engineering, Asset Pricing +10

Root’s barrier, viscosity solutions of obstacle problems and reflected FBSDEs

Paul Gassiat, Harald Oberhauser, Gonçalo dos Reis · Stochastic Processes and their Applications · 2015 · 26 citations · Full text

Engineering, Physics, Mechanics +2

Rows per page

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