Dr. Benedikt Wilbertz Post-Doc Laboratoire de Probabilités et Modèles Aléatoires Université Paris VI Case courrier 188 4, Place Jussieu 75252 PARIS Cedex 05 phone: +33 1 44 27 70 43 fax: +33 1 44 27 72 23 e-mail: benedikt.wilbertz@upmc.fr

Research Interests

• Finite and Infinite Dimensional Quantization of Probability Distributions
• Stochastic Approximation
• Monte Carlo Methods
• Mathematical Finance
• Parallel Programming on GPGPU

Preprints & Publications

1. G. PAGÈS, B. WILBERTZ (2010): Sharp rate for the dual quantization problem, Preprint PMA-1402, (Link).
2. G. PAGÈS, B. WILBERTZ (2010): Intrinsic stationarity for vector quantization: Foundation of dual quantization, Preprint PMA-1393, (Link).
3. G. PAGÈS, B. WILBERTZ (2010): Parallel Implementation of a Quantization Algorithm for Pricing American Style Options on GPGPU, to appear.
4. G. PAGÈS, B. WILBERTZ (2010): Dual Quantization for random walks with application to credit derivatives, to appear in J. Comp. Finance.
5. A.L. BRONSTEIN, G. PAGÈS, B. WILBERTZ (2010): How to speed up the quantization tree algorithm with an application to swing options, Quantitative Finance, Vol. 10, Issue 9, November 2010, (Link).
6. H. LUSCHGY, G. PAGÈS, B. WILBERTZ (2010): Asymptotically optimal quantization schemes for Gaussian processes on Hilbert spaces, ESAIM: PS, Vol. 14 (2010), (Link).
7. B. WILBERTZ (2008): Construction of optimal quantizers for Gaussian measures on Banach spaces, PhD Thesis, Univ. Trier, (Link).
8. B. WILBERTZ (2005): Computational aspects of Functional Quantization for Gaussian measures and applications, Diploma Thesis, Univ. Trier, (Link).

Misc

• Optimal Quantization Grids