| Publication | Date of Publication | Type |
|---|
Reverse engineering the last-minute on-line pricing practices: an application to hotels
Statistical Methods and Applications | 2024-09-02 | Paper |
A new bivariate approach for modeling the interaction between stock volatility and interest rate: an application to S\&P500 returns and options
European Journal of Operational Research | 2024-06-17 | Paper |
Modeling economic growth with spatial migration: a stability analysis of the long-run equilibrium based on semigroup theory
Journal of Mathematical Analysis and Applications | 2024-05-23 | Paper |
Construction and mean-square stability analysis of a new family of stochastic Runge-Kutta methods
Applied Mathematics and Computation | 2024-04-18 | Paper |
Pricing geometric Asian rainbow options under the mixed fractional Brownian motion
Physica A | 2022-05-19 | Paper |
The finite element method: A high‐performing approach for computing the probability of ruin and solving other ruin‐related problems
Mathematical Methods in the Applied Sciences | 2021-12-09 | Paper |
Enhancing finite difference approximations for double barrier options: mesh optimization and repeated Richardson extrapolation
Computational Management Science | 2021-11-24 | Paper |
An extremely efficient numerical method for pricing options in the Black-Scholes model with jumps
Mathematical Methods in the Applied Sciences | 2021-07-30 | Paper |
| Actuarial strategy for pricing Asian options under a mixed fractional Brownian motion with jumps | 2021-05-14 | Paper |
On a generalized Gaussian radial basis function: analysis and applications
Engineering Analysis with Boundary Elements | 2020-02-11 | Paper |
Stability analysis of split-step \(\theta \)-Milstein method for a class of \(n\)-dimensional stochastic differential equations
Applied Mathematics and Computation | 2019-11-26 | Paper |
Stability switches and Hopf bifurcation in a Kaleckian model of business cycle
Abstract and Applied Analysis | 2019-08-16 | Paper |
Fast and accurate calculation of American option prices
Decisions in Economics and Finance | 2019-01-29 | Paper |
Computing the survival probability in the Madan-Unal credit risk model: application to the CDS market
Quantitative Finance | 2018-11-19 | Paper |
A very efficient approach to compute the first-passage probability density function in a time-changed Brownian model: applications in finance
Physica A | 2018-11-13 | Paper |
From insurance risk to credit portfolio management: a new approach to pricing CDOs
Quantitative Finance | 2018-11-13 | Paper |
Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach
Journal of Economic Dynamics and Control | 2018-11-01 | Paper |
A fast numerical method to price American options under the Bates model
Computers & Mathematics with Applications | 2017-03-15 | Paper |
A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion
Chaos, Solitons and Fractals | 2017-02-10 | Paper |
A numerical method to estimate the parameters of the CEV model implied by American option prices: evidence from NYSE
Chaos, Solitons and Fractals | 2017-02-10 | Paper |
A radial basis function approach to compute the first-passage probability density function in two-dimensional jump-diffusion models for financial and other applications
Engineering Analysis with Boundary Elements | 2016-12-13 | Paper |
The spatial AK model and the Pontryagin maximum principle
Journal of Mathematical Economics | 2016-11-25 | Paper |
A numerical method to price discrete double barrier options under a constant elasticity of variance model with jump diffusion
International Journal of Computer Mathematics | 2016-04-27 | Paper |
Pricing European and American options by radial basis point interpolation
Applied Mathematics and Computation | 2016-01-04 | Paper |
Repeated spatial extrapolation: an extraordinarily efficient approach for option pricing
Journal of Computational and Applied Mathematics | 2015-06-16 | Paper |
Stability Switches and Bifurcation Analysis of a Time Delay Model for the Diffusion of a New Technology
International Journal of Bifurcation and Chaos in Applied Sciences and Engineering | 2014-12-03 | Paper |
Computing survival probabilities based on stochastic differential models
Journal of Computational and Applied Mathematics | 2014-10-28 | Paper |
Valuing risky debt: a new model combining structural information with the reduced-form approach
Insurance Mathematics & Economics | 2014-09-22 | Paper |
A very fast and accurate boundary element method for options with moving barrier and time-dependent rebate
Applied Numerical Mathematics | 2014-04-30 | Paper |
An operator splitting harmonic differential quadrature approach to solve Young's model for life insurance risk
Insurance Mathematics & Economics | 2014-04-14 | Paper |
A NUMERICAL METHOD TO COMPUTE THE VOLATILITY OF THE FRACTIONAL BROWNIAN MOTION IMPLIED BY AMERICAN OPTIONS
International Journal of Apllied Mathematics | 2014-03-25 | Paper |
Computing the survival probability density function in jump-diffusion models: a new approach based on radial basis functions
Engineering Analysis with Boundary Elements | 2013-03-25 | Paper |
A boundary element method to price time-dependent double barrier options
Applied Mathematics and Computation | 2012-06-13 | Paper |
The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach
Computers & Mathematics with Applications | 2010-12-27 | Paper |
A Numerical Method to Price Defaultable Bonds Based on the Madan and Unal Credit Risk Model
Applied Mathematical Finance | 2009-09-13 | Paper |
A numerical method to price European derivatives based on the one factor LIBOR market model of interest rates
Nonlinear Analysis. Hybrid Systems | 2009-03-04 | Paper |
Numerical problems in semiconductor simulation using the hydrodynamic model: a second-order finite difference scheme.
Journal of Computational Physics | 2004-03-29 | Paper |
Numerical solutions of a viscous‐hydrodynamic model for semiconductors: the supersonic case
COMPEL: The International Journal for Computation and Mathematics in Electrical and Electronic Engineering | 2003-06-26 | Paper |
Semiconductor device simulation using a viscous hydrodynamic model.
Computer Methods in Applied Mechanics and Engineering | 2003-05-06 | Paper |
On a viscous-hydrodynamic model for semiconductors: Numerical simulation and stability analysis
Computing and Visualization in Science | 2001-01-01 | Paper |
