Adam W. Kolkiewicz

Publication Activity (10 Years)

Years Active: 2003-2016
Publications (10 Years): 2

Top Topics

Black Scholes Model

Top Venues

SIAM J. Financial Math.

Commun. Stat. Simul. Comput.

Publications

Zhongxian Men, Tony S. Wirjanto, Adam W. Kolkiewicz
Sampling-based Inference of Time Deformation Models with Heavy Tail Distributions. Commun. Stat. Simul. Comput. 45 (9) (2016)
Adam W. Kolkiewicz
On Suboptimality of Delta Hedging for Asian Options. SIAM J. Financial Math. 6 (1) (2015)
Adam W. Kolkiewicz
Efficient Monte Carlo simulation for integral functionals of Brownian motion. J. Complex. 30 (3) (2014)
Justin W. L. Wan, Kevin Lai, Adam W. Kolkiewicz, Ken Seng Tan
A parallel quasi-Monte Carlo approach to pricing multidimensional American options. Int. J. High Perform. Comput. Netw. 4 (5/6) (2006)
Justin W. L. Wan, Kevin Lai, Adam W. Kolkiewicz, Ken Seng Tan
A Parallel Quasi-Monte Carlo Approach to Pricing American Options. HPCS (2004)
Phelim P. Boyle, Adam W. Kolkiewicz, Ken Seng Tan
An improved simulation method for pricing high-dimensional American derivatives. Math. Comput. Simul. 62 (3-6) (2003)