| Publication | Date of Publication | Type |
|---|
Short communication: Monte Carlo expected wealth and risk measure trade-off portfolio optimization
SIAM Journal on Financial Mathematics | 2024-06-18 | Paper |
A multilevel FETI-DP method and its performance for problems with billions of degrees of freedom
International Journal for Numerical Methods in Engineering | 2024-06-14 | Paper |
A fast Fourier transform based direct solver for the Helmholtz problem
Numerical Linear Algebra with Applications | 2020-07-02 | Paper |
A fast Fourier transform based direct solver for the Helmholtz problem
Numerical Linear Algebra with Applications | 2020-07-02 | Paper |
A parallel domain decomposition method for the Helmholtz equation in layered media
SIAM Journal on Scientific Computing | 2019-10-30 | Paper |
A fast Fourier transform based direct solver for the Helmholtz problem
(available as arXiv preprint) | 2018-09-11 | Paper |
ADI schemes for valuing European options under the Bates model
Applied Numerical Mathematics | 2018-05-11 | Paper |
ADI schemes for valuing European options under the Bates model
Applied Numerical Mathematics | 2018-05-11 | Paper |
Application of operator splitting methods in finance
Splitting Methods in Communication, Imaging, Science, and Engineering | 2017-09-01 | Paper |
A domain embedding method for scattering problems with an absorbing boundary or a perfectly matched layer
Journal of Computational Acoustics | 2017-05-09 | Paper |
BENCHOP -- the benchmarking project in option pricing
International Journal of Computer Mathematics | 2016-04-29 | Paper |
Adaptive finite differences and IMEX time-stepping to price options under Bates model
International Journal of Computer Mathematics | 2016-04-29 | Paper |
| A finite element method for interface problems with locally modified triangulations | 2015-03-05 | Paper |
An IMEX-scheme for pricing options under stochastic volatility models with jumps
SIAM Journal on Scientific Computing | 2015-01-23 | Paper |
IMEX schemes for pricing options under jump-diffusion models
Applied Numerical Mathematics | 2014-07-10 | Paper |
A high-order front-tracking finite difference method for pricing American options under jump-diffusion models
The Journal of Computational Finance | 2014-04-23 | Paper |
Local control of sound in stochastic domains based on finite element models
Journal of Computational Acoustics | 2013-08-30 | Paper |
A projected algebraic multigrid method for linear complementarity problems
Numerical Mathematics: Theory, Methods and Applications | 2013-01-24 | Paper |
Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models
International Journal of Computer Mathematics | 2013-01-22 | Paper |
A hybrid discontinuous Galerkin method for computing the ground state solution of Bose-Einstein condensates
Journal of Computational Physics | 2012-08-19 | Paper |
Overview of the discontinuous enrichment method, the ultra-weak variational formulation, and the partition of unity method for acoustic scattering in the medium frequency regime and performance comparisons
International Journal for Numerical Methods in Engineering | 2012-07-02 | Paper |
An iterative method for pricing American options under jump-diffusion models
Applied Numerical Mathematics | 2011-05-17 | Paper |
Lagrange multiplier approach with optimized finite difference stencils for pricing American options under stochastic volatility
SIAM Journal on Scientific Computing | 2010-08-16 | Paper |
A componentwise splitting method for pricing American options under the Bates model
Computational Methods in Applied Sciences | 2010-03-17 | Paper |
Preconditioned iterative methods on sparse subspaces
Applied Mathematics Letters | 2009-10-30 | Paper |
A domain decomposition method for discontinuous Galerkin discretizations of Helmholtz problems with plane waves and Lagrange multipliers
International Journal for Numerical Methods in Engineering | 2009-10-12 | Paper |
Operator splitting methods for pricing American options under stochastic volatility
Numerische Mathematik | 2009-09-14 | Paper |
Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model
SIAM Journal on Scientific Computing | 2009-07-22 | Paper |
A damping preconditioner for time-harmonic wave equations in fluid and elastic material
Journal of Computational Physics | 2009-03-09 | Paper |
A domain decomposition solver for acoustic scattering by elastic objects in layered media
Journal of Computational Physics | 2008-10-08 | Paper |
| scientific article; zbMATH DE number 5346999 (Why is no real title available?) | 2008-09-25 | Paper |
| Pricing American options using LU decomposition | 2008-04-03 | Paper |
Efficient numerical methods for pricing American options under stochastic volatility
Numerical Methods for Partial Differential Equations | 2008-01-23 | Paper |
An algebraic multigrid based shifted-Laplacian preconditioner for the Helmholtz equation
Journal of Computational Physics | 2007-10-19 | Paper |
COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY
International Journal of Theoretical and Applied Finance | 2007-06-20 | Paper |
A fast iterative solver for scattering by elastic objects in layered media
Applied Numerical Mathematics | 2007-05-30 | Paper |
A fast direct solver for elliptic problems with a divergence constraint
Numerical Linear Algebra with Applications | 2005-09-21 | Paper |
A multigrid preconditioner and automatic differentiation for non-equilibrium radiation diffusion problems
Journal of Computational Physics | 2005-06-13 | Paper |
Domain Embedding/Controllability Methods for the Conjugate Gradient Solution of Wave Propagation Problems
Lecture Notes in Computational Science and Engineering | 2005-03-10 | Paper |
Operator splitting methods for American option pricing.
Applied Mathematics Letters | 2005-03-07 | Paper |
Numerical comparison of some penalty-based constraint handling techniques in genetic algorithms
Journal of Global Optimization | 2004-05-27 | Paper |
| scientific article; zbMATH DE number 2042514 (Why is no real title available?) | 2004-02-15 | Paper |
| scientific article; zbMATH DE number 2042492 (Why is no real title available?) | 2004-02-15 | Paper |
| scientific article; zbMATH DE number 2042423 (Why is no real title available?) | 2004-02-15 | Paper |
Fast direct solution of the Helmholtz equation with a perfectly matched layer or an absorbing boundary condition
International Journal for Numerical Methods in Engineering | 2004-02-03 | Paper |
A Parallel Fictitious Domain Method for the Three-Dimensional Helmholtz Equation
SIAM Journal on Scientific Computing | 2004-01-20 | Paper |
Interactive solution approach to a multiobjective optimization problem in a paper machine headbox design
Journal of Optimization Theory and Applications | 2003-10-29 | Paper |
Multilevel preconditioners for Lagrange multipliers in domain imbedding
ETNA - Electronic Transactions on Numerical Analysis | 2003-09-17 | Paper |
Multilevel preconditioners for Lagrange multipliers in domain imbedding
ETNA - Electronic Transactions on Numerical Analysis | 2003-09-17 | Paper |
| scientific article; zbMATH DE number 1981934 (Why is no real title available?) | 2003-09-16 | Paper |
Efficient metacomputing of elliptic linear and non-linear problems.
Journal of Parallel and Distributed Computing | 2003-08-07 | Paper |
| scientific article; zbMATH DE number 1760073 (Why is no real title available?) | 2002-11-06 | Paper |
Computation of a few smallest eigenvalues of elliptic operators using fast elliptic solvers
Communications in Numerical Methods in Engineering | 2002-07-14 | Paper |
Parallel fictitious domain method for a non-linear elliptic Neumann boundary value problem
Numerical Linear Algebra with Applications | 2001-12-19 | Paper |
| scientific article; zbMATH DE number 1532600 (Why is no real title available?) | 2001-11-29 | Paper |
| A fictitious domain method with distributed Lagrange multipliers | 2001-09-20 | Paper |
A finite element method for virtual reality data
Comptes Rendus de l'Académie des Sciences - Series I - Mathematics | 2000-09-14 | Paper |
A moving mesh fictitious domain approach for shape optimization problems
ESAIM: Mathematical Modelling and Numerical Analysis | 2000-07-27 | Paper |
A moving mesh fictitious domain approach for shape optimization problems
ESAIM: Mathematical Modelling and Numerical Analysis | 2000-07-27 | Paper |
| Multidisciplinary shape optimization in aerodynamics and electromagnetics using genetic algorithms | 2000-01-11 | Paper |
A Parallel Fast Direct Solver for Block Tridiagonal Systems with Separable Matrices of Arbitrary Dimension
SIAM Journal on Scientific Computing | 1999-06-24 | Paper |
A Nonstandard Cyclic Reduction Method, Its Variants and Stability
SIAM Journal on Matrix Analysis and Applications | 1999-05-18 | Paper |
Fictitious domain methods for the numerical solution of two-dimensional scattering problems
Journal of Computational Physics | 1999-03-22 | Paper |
| scientific article; zbMATH DE number 1097275 (Why is no real title available?) | 1997-12-16 | Paper |
