| Publication | Date of Publication | Type |
|---|
Pricing American real options with double continuation region under Heston model
Applied Mathematics and Computation | 2026-05-12 | Paper |
Modelling, mathematical analysis and computation of the total value adjustment including KVA and multi-currency
Communications in Nonlinear Science and Numerical Simulation | 2026-01-23 | Paper |
Deep joint learning valuation of Bermudan swaptions
International Journal of Computer Mathematics | 2025-08-07 | Paper |
Mathematical models and numerical methods for a capital valuation adjustment (KVA) problem
Applied Mathematics and Computation | 2025-04-24 | Paper |
Editorial
International Journal of Computer Mathematics | 2024-10-28 | Paper |
Efficient parallel Monte-Carlo techniques for pricing American options including counterparty credit risk
International Journal of Computer Mathematics | 2024-10-28 | Paper |
PDEs for pricing interest rate derivatives under the new generalized forward market model (FMM)
Computers & Mathematics with Applications | 2024-08-09 | Paper |
A drift-free simulation method for pricing commodity derivatives
Applied Stochastic Models in Business and Industry | 2024-07-18 | Paper |
Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework
Communications in Nonlinear Science and Numerical Simulation | 2024-01-23 | Paper |
Modelling and Computing the Total Value Adjustment for European Derivatives in a Multi-Currency Setting
Mathematics in Industry | 2023-09-15 | Paper |
A Multi-Level Monte-Carlo with FEM for XVA in European Options
Mathematics in Industry | 2023-09-15 | Paper |
XVA in a multi-currency setting with stochastic foreign exchange rates
Mathematics and Computers in Simulation | 2023-06-26 | Paper |
Model and numerical methods for pricing renewable energy certificate derivatives
Communications in Nonlinear Science and Numerical Simulation | 2023-02-16 | Paper |
Pricing renewable energy certificates with a Crank-Nicolson Lagrange-Galerkin numerical method
Journal of Computational and Applied Mathematics | 2022-12-09 | Paper |
The stochastic -SEIHRD model: adding randomness to the COVID-19 spread
Communications in Nonlinear Science and Numerical Simulation | 2022-09-06 | Paper |
A Monte Carlo approach to American options pricing including counterparty risk
International Journal of Computer Mathematics | 2022-02-16 | Paper |
Total value adjustment for European options in a multi-currency setting
Applied Mathematics and Computation | 2021-11-16 | Paper |
Numerical solution of a nonlinear PDE model for pricing renewable energy certificates (RECs)
Applied Mathematics and Computation | 2021-11-11 | Paper |
PDE models for the pricing of a defaultable coupon-bearing bond under an extended JDCEV model
Communications in Nonlinear Science and Numerical Simulation | 2021-08-16 | Paper |
A new calibration of the Heston stochastic local volatility model and its parallel implementation on GPUs
Mathematics and Computers in Simulation | 2021-03-06 | Paper |
Parallel two-phase methods for global optimization on GPU
Mathematics and Computers in Simulation | 2021-03-02 | Paper |
Adaptive numerical methods for an hydrodynamic problem arising in magnetic reading devices
Mathematics and Computers in Simulation | 2021-02-18 | Paper |
Static and dynamic SABR stochastic volatility models: calibration and option pricing using GPUs
Mathematics and Computers in Simulation | 2021-02-15 | Paper |
AMFR-W numerical methods for solving high-dimensional SABR/LIBOR PDE models
SIAM Journal on Scientific Computing | 2021-01-29 | Paper |
PDE models for American options with counterparty risk and two stochastic factors: mathematical analysis and numerical solution
Computers & Mathematics with Applications | 2020-10-07 | Paper |
A two-dimensional multi-species model for different \textit{Listeria monocytogenes} biofilm structures and its numerical simulation
Applied Mathematics and Computation | 2020-06-17 | Paper |
A new mathematical model for pricing a mine extraction project
Nonlinear Analysis. Real World Applications | 2020-01-22 | Paper |
Numerical methods for a nonlinear reaction-diffusion system modelling a batch culture of biofilm
Applied Mathematical Modelling | 2020-01-15 | Paper |
Basin hopping with synched multi L-BFGS local searches. Parallel implementation in multi-CPU and GPUs
Applied Mathematics and Computation | 2019-11-29 | Paper |
Total value adjustment for European options with two stochastic factors. Mathematical model, analysis and numerical simulation
Computers & Mathematics with Applications | 2019-11-08 | Paper |
Numerical methods for PDE models related to pricing and expected lifetime of an extraction project under uncertainty
Discrete and Continuous Dynamical Systems. Series B | 2019-08-28 | Paper |
Mathematical analysis of a nonlinear PDE model for European options with counterparty risk
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2019-05-28 | Paper |
PDE models and numerical methods for total value adjustment in European and American options with counterparty risk
Applied Mathematics and Computation | 2019-03-29 | Paper |
Numerical analysis of a method for a partial integro-differential equation model in regulatory gene networks
M\(^3\)AS. Mathematical Models & Methods in Applied Sciences | 2019-03-27 | Paper |
PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique
Computers & Mathematics with Applications | 2019-03-25 | Paper |
Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance
Applied Mathematics and Computation | 2019-03-22 | Paper |
Sparse grid combination technique for Hagan SABR/LIBOR market model
Novel Methods in Computational Finance | 2019-02-28 | Paper |
A new more consistent Reynolds model for piezoviscous hydrodynamic lubrication problems in line contact devices
Applied Mathematical Modelling | 2018-10-10 | Paper |
Multicurve LIBOR market models and drift-free simulation
International Journal of Computer Mathematics | 2018-07-18 | Paper |
Pricing of mortgages with prepayment and default options: numerical methods for the case with adjustable (floating) rate
S\(\vec{\text{e}}\)MA Journal | 2018-03-28 | Paper |
Mathematical analysis of obstacle problems for pricing fixed-rate mortgages with prepayment and default options
Nonlinear Analysis. Real World Applications | 2017-11-17 | Paper |
Stochastic modeling and numerical simulation of gene regulatory networks with protein bursting
Journal of Theoretical Biology | 2017-09-12 | Paper |
Pricing pension plans under jump-diffusion models for the salary
Computers & Mathematics with Applications | 2017-08-30 | Paper |
CVA computing by PDE models
Lecture Notes in Computer Science | 2017-07-07 | Paper |
Computing American option price under regime switching with rationality parameter
Computers & Mathematics with Applications | 2017-04-06 | Paper |
A numerical strategy for telecommunications networks capacity planning under demand and price uncertainty
Journal of Computational and Applied Mathematics | 2017-02-09 | Paper |
Stratified regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs
SIAM Journal on Scientific Computing | 2016-11-18 | Paper |
Modeling and optimization techniques with applications in food processes, bio-processes and bio-systems
SEMA SIMAI Springer Series | 2016-10-13 | Paper |
A direct LU solver for pricing American bond options under Hull-White model
Journal of Computational and Applied Mathematics | 2016-09-12 | Paper |
A new numerical method for pricing fixed-rate mortgages with prepayment and default options
International Journal of Computer Mathematics | 2016-07-19 | Paper |
SABR/LIBOR market models: pricing and calibration for some interest rate derivatives
Applied Mathematics and Computation | 2016-04-28 | Paper |
Finite difference methods for pricing American put option with rationality parameter: numerical analysis and computing
Journal of Computational and Applied Mathematics | 2016-04-22 | Paper |
Enthalpy balance methods \textit{versus} temperature models in ice sheets
Communications in Nonlinear Science and Numerical Simulation | 2016-01-26 | Paper |
A new parameterization for the drift-free simulation in the Libor market model
Revista de la Real Academia de Ciencias Exactas, Físicas y Naturales. Serie A: Matemáticas. RACSAM | 2015-04-21 | Paper |
Numerical methods to solve PDE models for pricing business companies in different regimes and implementation in GPUs
Applied Mathematics and Computation | 2015-01-28 | Paper |
A nonlinear bilaplacian equation with hinged boundary conditions and very weak solutions: analysis and numerical solution
Revista de la Real Academia de Ciencias Exactas, Físicas y Naturales. Serie A: Matemáticas. RACSAM | 2014-09-09 | Paper |
Homogenization of the layer-structured dam problem with isotropic permeability
Nonlinear Analysis. Real World Applications | 2014-07-24 | Paper |
Mathematical analysis and numerical methods for a PDE model of a stock loan pricing problem
Journal of Mathematical Analysis and Applications | 2014-01-28 | Paper |
Mathematical analysis and numerical methods for pricing pension plans allowing early retirement
SIAM Journal on Applied Mathematics | 2014-01-27 | Paper |
Drift-free simulation methods for pricing cross-market derivatives with LIBOR market model
Recent Developments in Computational Finance | 2013-09-24 | Paper |
A survey on mathematical aspects of lubrication problems
Boletín de la Sociedad Española de Matemática Aplicada. S\(\vec{\text{e}}\)MA | 2012-07-16 | Paper |
Numerical solution of a PDE model for a ratchet-cap pricing with BGM interest rate dynamics
Applied Mathematics and Computation | 2012-06-11 | Paper |
Numerical solution of an optimal investment problem with proportional transaction costs
Journal of Computational and Applied Mathematics | 2012-05-11 | Paper |
Mathematical analysis and numerical methods for a partial differential equations model governing a ratchet cap pricing in the LIBOR market model
M\(^3\)AS. Mathematical Models & Methods in Applied Sciences | 2011-08-17 | Paper |
| An introduction to Black-Scholes modeling and numerical methods in derivatives pricing | 2011-02-23 | Paper |
A numerical method for pricing spread options on LIBOR rates with a PDE model
Mathematical and Computer Modelling | 2011-02-13 | Paper |
A characteristics-finite differences method for the Hobson-Rogers uncertain volatility model
Mathematical and Computer Modelling | 2010-12-14 | Paper |
Temperature-dependent shear flow and the absence of thermal runaway in valley glaciers
Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences | 2010-10-02 | Paper |
Numerical solution of a free boundary problem associated to investments with instantaneous irreversible environmental effects
Applied Mathematics and Computation | 2010-02-09 | Paper |
Numerical solution of a 1-d elastohydrodynamic problem in magnetic storage devices
ESAIM: Mathematical Modelling and Numerical Analysis | 2008-09-01 | Paper |
Numerical Analysis of Convection‐Diffusion‐Reaction Problems with Higher Order Characteristics/Finite Elements. Part I: Time Discretization
SIAM Journal on Numerical Analysis | 2007-10-22 | Paper |
Numerical Analysis of Convection‐Diffusion‐Reaction Problems with Higher Order Characteristics/Finite Elements. Part II: Fully Discretized Scheme and Quadrature Formulas
SIAM Journal on Numerical Analysis | 2007-10-22 | Paper |
About a generalized Buckley-Leverett equation and lubrication multifluid flow
European Journal of Applied Mathematics | 2007-10-22 | Paper |
A coupled multivalued model for ice streams and its numerical simulation
IMA Journal of Applied Mathematics | 2007-07-02 | Paper |
| scientific article; zbMATH DE number 5165508 (Why is no real title available?) | 2007-06-19 | Paper |
| scientific article; zbMATH DE number 5152211 (Why is no real title available?) | 2007-05-11 | Paper |
Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange--Galerkin methods
Applied Numerical Mathematics | 2006-10-05 | Paper |
Sensitivity and approximation of coupled fluid-structure equations by virtual control method
Applied Mathematics and Optimization | 2006-06-12 | Paper |
HOMOGENIZATION OF A NONLOCAL ELASTOHYDRODYNAMIC LUBRICATION PROBLEM: A NEW FREE BOUNDARY MODEL
M\(^3\)AS. Mathematical Models & Methods in Applied Sciences | 2006-02-07 | Paper |
| scientific article; zbMATH DE number 2230897 (Why is no real title available?) | 2005-11-21 | Paper |
Anisotropic effects by homogenization in a free boundary problem.
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2005-04-28 | Paper |
A duality method for the compressible Reynolds equation. application to simulation of read/write processes in magnetic storage devices
Journal of Computational and Applied Mathematics | 2005-02-23 | Paper |
Numerical techniques for pricing callable bonds with notice
Applied Mathematics and Computation | 2005-02-22 | Paper |
On the existence of solution for a nonhomogeneous Stokes-rod coupled problem
Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods | 2004-11-22 | Paper |
| scientific article; zbMATH DE number 2092119 (Why is no real title available?) | 2004-08-17 | Paper |
TWO-SCALE HOMOGENIZATION STUDY OF A REYNOLDS-ROD ELASTOHYDRODYNAMIC MODEL
M\(^3\)AS. Mathematical Models & Methods in Applied Sciences | 2004-08-06 | Paper |
| scientific article; zbMATH DE number 2034452 (Why is no real title available?) | 2004-01-28 | Paper |
Mathematical analysis and numerical simulation of a Reynolds-Koiter model for the elastohydrodynamic journal-bearing device
ESAIM: Mathematical Modelling and Numerical Analysis | 2003-08-25 | Paper |
Mathematical analysis and numerical simulation of a Reynolds-Koiter model for the elastohydrodynamic journal-bearing device
ESAIM: Mathematical Modelling and Numerical Analysis | 2003-08-25 | Paper |
Finite element solution of a Reynolds-Koiter coupled problem for the elastic journal-bearing
Computer Methods in Applied Mechanics and Engineering | 2003-07-06 | Paper |
Mathematical analysis of a Stefan problem with Dirichlet-Signorini boundary conditions appearing in polythermic ice sheet modeling
Journal of Mathematical Analysis and Applications | 2002-07-02 | Paper |
Existence of solution of an elastohydrodynamic Reynolds-Koiter model
Comptes Rendus de l'Académie des Sciences. Série I. Mathématique | 2002-05-20 | Paper |
Numerical simulation of a lubricated Hertzian contact problem under imposed load.
Finite Elements in Analysis and Design | 2002-03-03 | Paper |
Efficient parallel numerical solver for the elastohydrodynamic Reynolds--Hertz problem
Parallel Computing | 2002-03-03 | Paper |
| scientific article; zbMATH DE number 1424574 (Why is no real title available?) | 2001-12-10 | Paper |
Mathematical analysis of some new Reynolds-rod elastohydrodynamic models.
Mathematical Methods in the Applied Sciences | 2001-01-01 | Paper |
Characteristics method for the formulation and computation of a free boundary cavitation problem
Journal of Computational and Applied Mathematics | 1999-09-12 | Paper |
An elastohydrodynamic coupled problem between a piezoviscous Reynolds equation and a hinged plate model
ESAIM: Mathematical Modelling and Numerical Analysis | 1998-01-29 | Paper |
| scientific article; zbMATH DE number 1023533 (Why is no real title available?) | 1997-06-16 | Paper |
A mixed dirichlet-neumann problem for a nonlinear reynolds equation in elastohydrodynamic piezoviscous lubrication
Proceedings of the Edinburgh Mathematical Society | 1997-03-09 | Paper |
Numerical computation of free boundary problems in elastohydrodynamic lubrication
Applied Mathematical Modelling | 1996-12-02 | Paper |
Existence of solutions for elastohydrodynamic piezoviscous lubrication problems with a new model of cavitation
European Journal of Applied Mathematics | 1996-11-07 | Paper |
Mathematical analysis of an elastohy-drodynamic lubrication problem with cavitation
Applicable Analysis | 1996-04-24 | Paper |
Existence of a solution for a lubrication problem in elastic journal‐bearing devices with thin bearing
Mathematical Methods in the Applied Sciences | 1995-09-21 | Paper |
| scientific article; zbMATH DE number 713719 (Why is no real title available?) | 1995-01-19 | Paper |
An upwind method for solving transport-diffusion-reaction systems
International Journal for Numerical Methods in Engineering | 1989-01-01 | Paper |
