| Publication | Date of Publication | Type |
|---|
Backward simulation of multivariate mixed Poisson processes
Journal of Statistical Computation and Simulation | 2022-03-24 | Paper |
Mixing LSMC and PDE methods to price Bermudan options
SIAM Journal on Financial Mathematics | 2020-06-08 | Paper |
Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance
Applied Mathematical Finance | 2018-09-18 | Paper |
A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models
Applied Mathematical Finance | 2018-04-06 | Paper |
A neural network approach to efficient valuation of large portfolios of variable annuities
Insurance Mathematics & Economics | 2016-12-13 | Paper |
Efficient valuation of SCR via a neural network approach
Journal of Computational and Applied Mathematics | 2016-11-22 | Paper |
Adaptive time-stepping for the strong numerical solution of stochastic differential equations
Numerical Algorithms | 2015-04-16 | Paper |
| Numerical solution of stochastic models of biochemical kinetics | 2011-11-25 | Paper |
| A parallel implementation on GPUs of ADI finite difference methods for parabolic PDEs with applications in finance | 2011-11-25 | Paper |
Fourier space time-stepping for option pricing with Lévy models
The Journal of Computational Finance | 2009-04-28 | Paper |
A Fast Shadowing Algorithm for High-Dimensional ODE Systems
SIAM Journal on Scientific Computing | 2008-08-01 | Paper |
On Taylor Model Based Integration of ODEs
SIAM Journal on Numerical Analysis | 2008-03-10 | Paper |
Rigorous high-dimensional shadowing using containment: the general case
Discrete and Continuous Dynamical Systems | 2006-07-06 | Paper |
Quadratic spline methods for the shallow water equations on the sphere: Galerkin
Mathematics and Computers in Simulation | 2006-06-30 | Paper |
Quadratic spline methods for the shallow water equations on the sphere: Collocation
Mathematics and Computers in Simulation | 2006-06-30 | Paper |
A survey of shadowing methods for numerical solutions of ordinary differential equations
Applied Numerical Mathematics | 2005-04-21 | Paper |
Rigorous Shadowing of Numerical Solutions of Ordinary Differential Equations by Containment
SIAM Journal on Numerical Analysis | 2004-01-18 | Paper |
Some recent advances in validated methods for IVPs for ODEs
Applied Numerical Mathematics | 2002-08-22 | Paper |
An effective high-order interval method for validating existence and uniqueness of the solution of an IVP for an ODE
Reliable Computing | 2002-05-30 | Paper |
| scientific article; zbMATH DE number 1694759 (Why is no real title available?) | 2002-01-24 | Paper |
| scientific article; zbMATH DE number 1424347 (Why is no real title available?) | 2000-09-05 | Paper |
| scientific article; zbMATH DE number 1440924 (Why is no real title available?) | 2000-05-08 | Paper |
Validated solutions of initial value problems for ordinary differential equations
Applied Mathematics and Computation | 2000-04-03 | Paper |
An interval Hermite-Obreschkoff method for computing rigorous bounds on the solution of an initial value problem for an ordinary differential equation
Reliable Computing | 2000-03-22 | Paper |
DIMSEMs - diagonally implicit single-eigenvalue methods for the numerical solution of stiff ODEs on parallel computers
Advances in Computational Mathematics | 1998-04-27 | Paper |
Runge-Kutta research at Toronto
Applied Numerical Mathematics | 1997-09-17 | Paper |
An analysis of the order of Runge-Kutta methods that use an iterative scheme to compute their internal stage values
BIT | 1997-03-11 | Paper |
The numerical solution of large systems of stiff IVPs for ODEs
Applied Numerical Mathematics | 1996-12-05 | Paper |
The Potential for Parallelism in Runge–Kutta Methods. Part 1: RK Formulas in Standard Form
SIAM Journal on Numerical Analysis | 1995-03-27 | Paper |
The use of Butcher series in the analysis of Newton-like iterations in Runge-Kutta formulas
Applied Numerical Mathematics | 1994-12-01 | Paper |
Adaptive Linear Equation Solvers in Codes for Large Stiff Systems of ODEs
SIAM Journal on Scientific Computing | 1994-09-08 | Paper |
| scientific article; zbMATH DE number 495919 (Why is no real title available?) | 1994-02-07 | Paper |
Effective solution of discontinuous IVPs using a Runge-Kutta formula pair with interpolants
Applied Mathematics and Computation | 1988-01-01 | Paper |
The Convergence of Integrand-Approximation Formulas for the Numerical Solution of IVP<scp>s</scp> for ODE<scp>s</scp>
SIAM Journal on Numerical Analysis | 1988-01-01 | Paper |
Interpolants for Runge-Kutta formulas
ACM Transactions on Mathematical Software | 1986-01-01 | Paper |
The Use of Iterative Linear-Equation Solvers in Codes for Large Systems of Stiff IVP<scp>s</scp> for ODE<scp>s</scp>
SIAM Journal on Scientific and Statistical Computing | 1986-01-01 | Paper |
Nonlinearly Preconditioned Krylov Subspace Methods for Discrete Newton Algorithms
SIAM Journal on Scientific and Statistical Computing | 1984-01-01 | Paper |
An improved implementation of generalized Adams methods for underwater wave propagation problems
Computers & Mathematics with Applications | 1984-01-01 | Paper |
Alternating-Direction Incomplete Factorizations
SIAM Journal on Numerical Analysis | 1983-01-01 | Paper |
A Theoretical Criterion for Comparing Runge–Kutta Formulas
SIAM Journal on Numerical Analysis | 1978-01-01 | Paper |
