| Publication | Date of Publication | Type |
|---|
Efficient Monte Carlo Method for Integral Fractional Laplacian in Multiple Dimensions
SIAM Journal on Numerical Analysis | 2023-09-29 | Paper |
A new options pricing method: semi-stochastic kernel regression method with constraints
International Journal of Computer Mathematics | 2023-08-16 | Paper |
A new `walk on spheres' type method for fractional diffusion equation in high dimensions based on the Feynman-Kac formulas
Applied Mathematics Letters | 2023-06-26 | Paper |
An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate
International Journal of Computer Mathematics | 2022-02-17 | Paper |
An efficient acceleration Monte Carlo simulation for pricing Asian option under variance gamma process by splitting
International Journal of Computer Mathematics | 2022-02-16 | Paper |
Least-square-based control variate method for pricing options under general factor models
International Journal of Computer Mathematics | 2022-02-16 | Paper |
A quick operator splitting method for option pricing
Journal of Computational and Applied Mathematics | 2022-02-11 | Paper |
scientific article; zbMATH DE number 7339180 (Why is no real title available?)
| 2021-04-26 | Paper |
Inventory system optimization based on improved tree search method
| 2020-08-12 | Paper |
Conditional Monte Carlo hybrid acceleration method under stochastic interest rate model and its applications
| 2019-09-20 | Paper |
On sample average approximation algorithms for determining the optimal importance sampling parameters in pricing financial derivatives on Lévy processes
Operations Research Letters | 2018-09-28 | Paper |
A hybrid Monte Carlo acceleration method of pricing basket options based on splitting
Journal of Computational and Applied Mathematics | 2018-06-13 | Paper |
Calculation of options using stochastic volatility models based on exact simulation
| 2018-05-25 | Paper |
Variance reduction techniques for nested simulation in measuring portfolio's risk
Communication on Applied Mathematics and Computation | 2016-10-06 | Paper |
An importance sampling method for portfolio risk
| 2016-01-15 | Paper |
Monte Carlo acceleration method for pricing variance derivatives under stochastic volatility models with jump diffusion
International Journal of Computer Mathematics | 2014-11-28 | Paper |
An efficient accelerating method of conditional Monte-Carlo simulation for two-factor option pricing model
Journal of Tongji University. Natural Science | 2014-11-03 | Paper |
Numerical methods for American option pricing
| 2014-02-28 | Paper |
Monte Carlo acceleration methods for pricing Asian options in high performance computation
| 2014-02-28 | Paper |
Projected triangular decomposition methods for pricing American options under stochastic volatility model
| 2014-02-28 | Paper |
scientific article; zbMATH DE number 6129247 (Why is no real title available?)
| 2013-01-24 | Paper |
Explicit formulas for pricing of callable mortgage-backed securities in a case of prepayment rate negatively correlated with interest rates
Journal of Mathematical Analysis and Applications | 2012-07-04 | Paper |
Hermite spectral and pseudospectral methods for nonlinear partial differential equation in multiple dimensions
Computational and Applied Mathematics | 2011-05-30 | Paper |
Variance derivatives pricing and control variate Monte Carlo method
| 2011-02-05 | Paper |
An efficient control variate method for pricing variance derivatives
Journal of Computational and Applied Mathematics | 2010-10-25 | Paper |
scientific article; zbMATH DE number 5584553 (Why is no real title available?)
| 2009-07-22 | Paper |
scientific article; zbMATH DE number 5562046 (Why is no real title available?)
| 2009-06-04 | Paper |
scientific article; zbMATH DE number 5525823 (Why is no real title available?)
| 2009-03-06 | Paper |
Mathematical model for pricing a class of triggered exchange rate option
| 2009-03-06 | Paper |
Modified Laguerre spectral and pseudospectral methods for nonlinear partial differential equations in multiple dimensions
Applied Mathematics and Mechanics. (English Edition) | 2008-09-01 | Paper |
scientific article; zbMATH DE number 5048346 (Why is no real title available?)
| 2006-08-23 | Paper |
Integral price formulas for lookback options
Journal of Applied Mathematics | 2006-06-30 | Paper |
scientific article; zbMATH DE number 2162933 (Why is no real title available?)
| 2005-04-29 | Paper |
Convergence of the Binomial Tree Method for American Options in a Jump-Diffusion Model
SIAM Journal on Numerical Analysis | 2005-03-01 | Paper |
Mixed Laguerre-Legendre pseudospectral method for incompressible fluid flow in an infinite strip
Mathematics of Computation | 2003-10-29 | Paper |
Numerical analysis on binomial tree methods for a jump-diffusion model.
Journal of Computational and Applied Mathematics | 2003-07-29 | Paper |
Spectral and pseudospectral approximations using Hermite functions: Application to the Dirac equation
Advances in Computational Mathematics | 2003-05-04 | Paper |
scientific article; zbMATH DE number 1791286 (Why is no real title available?)
| 2003-02-04 | Paper |
Mixed Laguerre-Legendre spectral method for incompressible flow in an infinite strip
Advances in Computational Mathematics | 2002-04-23 | Paper |
The disappearance of nerve impulse transmission
Journal of Shanghai University. Natural Science | 2002-02-05 | Paper |
On two-dimensional unsteady incompressible fluid flow in an infinite strip
| 2001-11-01 | Paper |
Hermite pseudospectral method for nonlinear partial differential equations
ESAIM: Mathematical Modelling and Numerical Analysis | 2001-08-02 | Paper |
scientific article; zbMATH DE number 1051042 (Why is no real title available?)
| 1997-11-25 | Paper |
scientific article; zbMATH DE number 1051024 (Why is no real title available?)
| 1997-08-24 | Paper |
scientific article; zbMATH DE number 991080 (Why is no real title available?)
| 1997-03-13 | Paper |
scientific article; zbMATH DE number 62403 (Why is no real title available?)
| 1992-09-27 | Paper |
scientific article; zbMATH DE number 4107303 (Why is no real title available?)
| 1987-01-01 | Paper |
scientific article; zbMATH DE number 4073488 (Why is no real title available?)
| 1986-01-01 | Paper |
