Pages that link to "Item:Q857022"
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The following pages link to Stability of ADI schemes applied to convection--diffusion equations with mixed derivative terms (Q857022):
Displayed 50 items.
- ADI splitting schemes for a fourth-order nonlinear partial differential equation from image processing (Q379771) (← links)
- Variable step-size fractional step Runge-Kutta methods for time-dependent partial differential equations (Q450910) (← links)
- Stability of the modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term (Q554616) (← links)
- A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility (Q651445) (← links)
- Fast resolution of a single factor Heath-Jarrow-Morton model with stochastic volatility (Q654788) (← links)
- Improved accuracy for time-splitting methods for the numerical solution of parabolic equations (Q669688) (← links)
- New solvable stochastic volatility models for pricing volatility derivatives (Q744402) (← links)
- High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU (Q825500) (← links)
- Convergence of the modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term (Q898943) (← links)
- Contractivity of domain decomposition splitting methods for nonlinear parabolic problems (Q970397) (← links)
- Locally linearized fractional step methods for nonlinear parabolic problems (Q970402) (← links)
- A combined mixed finite element ADI scheme for solving Richards' equation with mixed derivatives on irregular grids (Q1007367) (← links)
- Unconditional stability of second-order ADI schemes applied to multi-dimensional diffusion equations with mixed derivative terms (Q1007389) (← links)
- A velocity-diffusion method for a Lotka-Volterra system with nonlinear cross and self-diffusion (Q1012250) (← links)
- Fourth order compact schemes for variable coefficient parabolic problems with mixed derivatives (Q1646981) (← links)
- A new stability result for the modified Craig-Sneyd scheme applied to two-dimensional convection-diffusion equations with mixed derivatives (Q1733474) (← links)
- ADI schemes for valuing European options under the Bates model (Q1748427) (← links)
- Pseudospectral roaming contour integral methods for convection-diffusion equations (Q1983173) (← links)
- A second order accurate fixed-grid method for multi-dimensional Stefan problem with moving phase change materials (Q2060184) (← links)
- Competition, trait variance dynamics, and the evolution of a species' range (Q2113597) (← links)
- Highly efficient parallel algorithms for solving the Bates PIDE for pricing options on a GPU (Q2244180) (← links)
- Compact higher order discretization of 3D generalized convection diffusion equation with variable coefficients in nonuniform grids (Q2246502) (← links)
- Modified Douglas splitting methods for reaction-diffusion equations (Q2359748) (← links)
- High-order ADI scheme for option pricing in stochastic volatility models (Q2406630) (← links)
- High-order ADI finite difference schemes for parabolic equations in the combination technique with application in finance (Q2406636) (← links)
- High-order full discretization for anisotropic wave equations (Q2423114) (← links)
- Lagged diffusivity method for the solution of nonlinear diffusion convection problems with finite differences (Q2447994) (← links)
- Stability of ADI schemes for multidimensional diffusion equations with mixed derivative terms (Q2448368) (← links)
- An exploration of a balanced up-downwind scheme for solving Heston volatility model equations on variable grids (Q2632499) (← links)
- Efficient solution of structural default models with correlated jumps and mutual obligations (Q2804497) (← links)
- Efficient and stable numerical solution of the Heston–Cox–Ingersoll–Ross partial differential equation by alternating direction implicit finite difference schemes (Q2874319) (← links)
- Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging (Q2879039) (← links)
- HIGH ORDER SPLITTING METHODS FOR FORWARD PDEs AND PIDEs (Q2947344) (← links)
- Some new results related to -stability (Q2961473) (← links)
- A finite volume – alternating direction implicit approach for the calibration of stochastic local volatility models (Q3174925) (← links)
- Optimal Weak Static Hedging of Equity and Credit Risk Using Derivatives (Q3565097) (← links)
- Sparse Grid High-Order ADI Scheme for Option Pricing in Stochastic Volatility Models (Q4626509) (← links)
- Numerical Study of Splitting Methods for American Option Valuation (Q4626513) (← links)
- High-Order-Compact ADI Schemes for Pricing Basket Options in the Combination Technique (Q4626514) (← links)
- ADI Schemes for Pricing American Options under the Heston Model (Q4682480) (← links)
- LSV models with stochastic interest rates and correlated jumps (Q4976326) (← links)
- A Parallel Cyclic Reduction Algorithm for Pentadiagonal Systems with Application to a Convection-Dominated Heston PDE (Q4997346) (← links)
- A case study on pricing foreign exchange options using the modified Craig–Sneyd ADI scheme (Q5030646) (← links)
- Numerical analysis for Spread option pricing model of markets with finite liquidity: first-order feedback model (Q5175480) (← links)
- Numerical inverse Laplace transform for convection-diffusion equations (Q5216726) (← links)
- Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results (Q5247272) (← links)
- Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps (Q5373914) (← links)
- On Multistep Stabilizing Correction Splitting Methods with Applications to the Heston Model (Q5745130) (← links)
- ADI finite difference schemes for option pricing in the Heston model with correlation (Q5862255) (← links)
- Model Order Reduction in Contour Integral Methods for Parametric PDEs (Q6116391) (← links)