| Publication | Date of Publication | Type |
|---|
On probabilistic methods for linear PDEs involving variable-order fractional Laplacian in high dimensions
Journal of Scientific Computing | 2026-03-25 | Paper |
Exponentially accurate spectral Monte Carlo method for linear PDEs and their error estimates
Applied Numerical Mathematics | 2026-03-13 | Paper |
Downstream information sharing in agricultural supply chains with investment spillovers
Decision Analysis | 2026-02-23 | Paper |
Prediction-correction method for nonlinear partial differential equations based on sparse grid interpolation techniques
Computers & Mathematics with Applications | 2026-01-23 | Paper |
A novel analytical pricing of defaultable bonds and CDSs with stochastic recovery in a mixed fractional CIR model
Japan Journal of Industrial and Applied Mathematics | 2025-12-08 | Paper |
Pricing model with government guarantee under changing default boundary
Applied Mathematics. Series A (Chinese Edition) | 2025-10-28 | Paper |
An implicit-explicit Monte Carlo method for semi-linear PDEs driven by -stable Lévy process and its error estimates
Mathematics of Computation | 2025-09-18 | Paper |
Cooperative tracking control of multiple autonomous underwater vehicles with Markovian jumping switching topologies and communication delays
Optimal Control Applications & Methods | 2025-07-24 | Paper |
Strong convergence of Lévy-driven mixed stochastic integro-differential equations with application to the rough mixed volatility models
Communications on Analysis and Computation | 2025-05-28 | Paper |
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 |
Least-square-based control variate method for pricing options under general factor models
International Journal of Computer Mathematics | 2022-02-16 | 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 |
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 |
| Monte Carlo acceleration methods for pricing Asian options in high performance computation | 2014-02-28 | Paper |
| Numerical methods for American option pricing | 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 |
| Mathematical model for pricing a class of triggered exchange rate option | 2009-03-06 | Paper |
| scientific article; zbMATH DE number 5525823 (Why is no real title available?) | 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 |
