| Publication | Date of Publication | Type |
|---|
| Efficient numerical valuation of European options under the two-asset Kou jump-diffusion model | 2022-07-20 | Paper |
| ADI finite difference schemes for option pricing in the Heston model with correlation | 2022-03-07 | Paper |
| Numerical valuation of Bermudan basket options via partial differential equations | 2022-02-18 | Paper |
| BENCHOP – SLV: the BENCHmarking project in Option Pricing – Stochastic and Local Volatility problems | 2022-02-16 | Paper |
| Numerical valuation of American basket options via partial differential complementarity problems | 2021-06-02 | Paper |
| Operator splitting schemes for the two-asset Merton jump-diffusion model | 2021-02-03 | Paper |
| Operator splitting schemes for American options under the two-asset Merton jump-diffusion model | 2020-04-07 | Paper |
| Numerical Study of Splitting Methods for American Option Valuation | 2019-02-28 | Paper |
| ADI Schemes for Pricing American Options under the Heston Model | 2018-09-18 | Paper |
| On Multistep Stabilizing Correction Splitting Methods with Applications to the Heston Model | 2018-06-05 | Paper |
| ADI schemes for valuing European options under the Bates model | 2018-05-11 | Paper |
| Application of Operator Splitting Methods in Finance | 2017-09-01 | Paper |
| Modified Douglas splitting methods for reaction-diffusion equations | 2017-06-22 | Paper |
| Analytic models for parameter dependency in option price modelling | 2016-09-14 | Paper |
| An adjoint method for the exact calibration of Stochastic Local Volatility models | 2016-09-01 | Paper |
| Convergence of the modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term | 2015-12-21 | Paper |
| Stability and convergence analysis of discretizations of the Black-Scholes PDE with the linear boundary condition | 2014-02-28 | Paper |
| Stability of central finite difference schemes for the Heston PDE | 2012-05-08 | Paper |
| A Contour Integral Method for the Black–Scholes and Heston Equations | 2011-10-28 | Paper |
| Stability of central finite difference schemes on non-uniform grids for the Black-Scholes equation | 2009-08-07 | Paper |
| Unconditional stability of second-order ADI schemes applied to multi-dimensional diffusion equations with mixed derivative terms | 2009-03-20 | Paper |
| ADI Schemes in the Numerical Solution of the Heston PDE | 2009-01-22 | Paper |
| Stability of ADI schemes applied to convection--diffusion equations with mixed derivative terms | 2006-12-14 | Paper |
| The stability of Radau IIA collocation processes for delay differential equations | 2005-08-17 | Paper |
| Analysis of error growth via stability regions in numerical initial value problems | 2003-12-04 | Paper |
| On the contractivity of implicit-explicit linear multistep methods | 2002-08-22 | Paper |
| Convergence of Runge-Kutta methods for delay differential equations | 2001-08-28 | Paper |
| Collocation methods for the computation of periodic solutions of delay differential equations | 2001-03-19 | Paper |
| Periodic orbits of delay differential equations under discretization | 1999-01-19 | Paper |
| Stability analysis of Runge-Kutta methods for systems of delay differential equations | 1997-08-04 | Paper |
| On the stability of adaptations of Runge-Kutta methods to systems of delay differential equations | 1997-04-21 | Paper |
| A Note on Unconditional Maximum Norm Contractivity of Diagonally Split Runge–Kutta Methods | 1996-07-23 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4839883 | 1996-05-27 | Paper |
| On the convergence of waveform relaxation methods for stiff nonlinear ordinary differential equations | 1996-01-07 | Paper |
| A new interpolation procedure for adapting Runge-Kutta methods to delay differential equations | 1993-01-26 | Paper |
| The stability of a class of Runge-Kutta methods for delay differential equations | 1992-09-26 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3975512 | 1992-06-26 | Paper |
| Stability analysis of numerical methods for delay differential equations | 1991-01-01 | Paper |
| A note on the numerical approximation of Greeks for American-style options | N/A | Paper |
