| Publication | Date of Publication | Type |
|---|
A hybrid Chelyshkov wavelet-finite differences method for time-fractional Black-Scholes equation
Journal of Mahani Mathematical Research Center | 2024-12-03 | Paper |
Optimal uniform error estimates for moving <scp>least‐squares</scp> collocation with application to option pricing under jump‐diffusion processes
Numerical Methods for Partial Differential Equations | 2023-12-14 | Paper |
A de-singularized meshfree approach to default probability estimation under a regime-switching synchronous-jump tempered stable Lévy model
Engineering Analysis with Boundary Elements | 2023-05-25 | Paper |
| On Meshfree Collocation to Compute the Probability of Default under a Regime-Switching Synchronous-Jump Tempered Stable L\'{e}vy Model | 2021-09-10 | Paper |
A Petrov-Galerkin finite element method using polyfractonomials to solve stochastic fractional differential equations
Applied Numerical Mathematics | 2021-08-05 | Paper |
A trustable shape parameter in the kernel-based collocation method with application to pricing financial options
Engineering Analysis with Boundary Elements | 2021-04-13 | Paper |
Solving parametric fractional differential equations arising from the rough Heston model using quasi-linearization and spectral collocation
SIAM Journal on Financial Mathematics | 2021-01-15 | Paper |
On multilevel RBF collocation to solve nonlinear PDEs arising from endogenous stochastic volatility models
Communications in Nonlinear Science and Numerical Simulation | 2020-10-21 | Paper |
On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation
Communications in Nonlinear Science and Numerical Simulation | 2020-10-15 | Paper |
A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes
Journal of Computational and Applied Mathematics | 2020-09-14 | Paper |
A lattice-based approach to option and bond valuation under mean-reverting regime-switching diffusion processes
Journal of Computational and Applied Mathematics | 2019-07-26 | Paper |
A product integration method for the approximation of the early exercise boundary in the American option pricing problem
Mathematical Methods in the Applied Sciences | 2019-06-06 | Paper |
Long-term adaptive symplectic numerical integration of linear stochastic oscillators driven by additive white noise
Numerical Algorithms | 2019-03-18 | Paper |
On a new family of radial basis functions: mathematical analysis and applications to option pricing
Journal of Computational and Applied Mathematics | 2017-09-27 | Paper |
| scientific article; zbMATH DE number 6770714 (Why is no real title available?) | 2017-09-07 | Paper |
An adaptive algorithm for solving stochastic multi-point boundary value problems
Numerical Algorithms | 2017-04-12 | Paper |
Asymptotic expansion of solutions to the Black-Scholes equation arising from American option pricing near the expiry
Journal of Computational and Applied Mathematics | 2016-12-28 | Paper |
A radial basis collocation method for pricing American options under regime-switching jump-diffusion models
Applied Numerical Mathematics | 2013-02-21 | Paper |
Strong convergence of split-step backward Euler method for stochastic differential equations with non-smooth drift
Journal of Computational and Applied Mathematics | 2012-04-24 | Paper |
On mean-square stability properties of a new adaptive stochastic Runge-Kutta method
Journal of Computational and Applied Mathematics | 2009-02-25 | Paper |
A new adaptive Runge-Kutta method for stochastic differential equations
Journal of Computational and Applied Mathematics | 2007-06-29 | Paper |
General solutions of the jockeying problem
European Journal of Operational Research | 1985-01-01 | Paper |
