| Publication | Date of Publication | Type |
|---|
A random free-boundary diffusive logistic differential model: numerical analysis, computing and simulation
Mathematics and Computers in Simulation | 2024-07-04 | Paper |
An ETD method for multi‐asset American option pricing under jump‐diffusion model
Mathematical Methods in the Applied Sciences | 2024-01-05 | Paper |
A front‐fixing method for American option pricing on zero‐coupon bond under the Hull and White model
Mathematical Methods in the Applied Sciences | 2023-12-19 | Paper |
Numerical difference solution of moving boundary random Stefan problems
Mathematics and Computers in Simulation | 2022-12-07 | Paper |
A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems
Mathematics and Computers in Simulation | 2021-11-22 | Paper |
A local radial basis function method for high-dimensional American option pricing problems
Mathematical Modelling and Analysis | 2021-09-13 | Paper |
Solving two-phase freezing Stefan problems: stability and monotonicity
Mathematical Methods in the Applied Sciences | 2020-11-23 | Paper |
Integral transform solution of random coupled parabolic partial differential models
Mathematical Methods in the Applied Sciences | 2020-11-23 | Paper |
Numerical solutions of random mean square Fisher-KPP models with advection
Mathematical Methods in the Applied Sciences | 2020-11-23 | Paper |
A new efficient numerical method for solving American option under regime switching model
Computers & Mathematics with Applications | 2020-10-11 | Paper |
Conditional full stability of positivity-preserving finite difference scheme for diffusion-advection-reaction models
Journal of Computational and Applied Mathematics | 2019-12-16 | Paper |
Stable numerical solutions preserving qualitative properties of nonlocal biological dynamic problems
Abstract and Applied Analysis | 2019-08-16 | Paper |
A stable local radial basis function method for option pricing problem under the Bates model
Numerical Methods for Partial Differential Equations | 2019-07-25 | Paper |
Numerical analysis of novel finite difference methods
Novel Methods in Computational Finance | 2019-02-28 | Paper |
Solving American option pricing models by the front fixing method: numerical analysis and computing
Abstract and Applied Analysis | 2019-02-14 | Paper |
Unconditional positive stable numerical solution of partial integrodifferential option pricing problems
Journal of Applied Mathematics | 2019-01-14 | Paper |
Solving the random diffusion model in an infinite medium: a mean square approach
Applied Mathematical Modelling | 2018-12-18 | Paper |
2D Gauss-Hermite Quadrature Method for Jump-Diffusion PIDE Option Pricing Models
Integral Methods in Science and Engineering, Volume 2 | 2018-12-17 | Paper |
An efficient method for solving spread option pricing problem: numerical analysis and computing
Abstract and Applied Analysis | 2018-08-30 | Paper |
Numerical analysis and computing of free boundary problems for concrete carbonation chemical corrosion
Journal of Computational and Applied Mathematics | 2018-02-14 | Paper |
Computing positive stable numerical solutions of moving boundary problems for concrete carbonation
Journal of Computational and Applied Mathematics | 2017-11-03 | Paper |
Numerical valuation of two-asset options under jump diffusion models using Gauss-Hermite quadrature
Journal of Computational and Applied Mathematics | 2017-11-03 | Paper |
Computing American option price under regime switching with rationality parameter
Computers & Mathematics with Applications | 2017-04-06 | Paper |
A front-fixing numerical method for a free boundary nonlinear diffusion logistic population model
Journal of Computational and Applied Mathematics | 2016-09-12 | Paper |
Positive finite difference schemes for a partial integro-differential option pricing model
Applied Mathematics and Computation | 2016-06-21 | Paper |
Laguerre random polynomials: definition, differential and statistical properties
Utilitas Mathematica | 2016-06-10 | Paper |
A mixed derivative terms removing method in multi-asset option pricing problems
Applied Mathematics Letters | 2016-05-30 | Paper |
Closed form numerical solutions of variable coefficient linear second-order elliptic problems
Applied Mathematics and Computation | 2016-04-25 | 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 |
Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes
Journal of Computational and Applied Mathematics | 2015-12-21 | Paper |
Constructing positive reliable numerical solution for American call options: a new front-fixing approach
Journal of Computational and Applied Mathematics | 2015-08-24 | Paper |
Removing the correlation term in option pricing Heston model: numerical analysis and computing
Abstract and Applied Analysis | 2014-06-23 | Paper |
Positive solutions of European option pricing with CGMY process models using double discretization difference schemes
Abstract and Applied Analysis | 2014-06-23 | Paper |
Double discretization difference schemes for partial integrodifferential option pricing jump diffusion models
Abstract and Applied Analysis | 2013-02-04 | Paper |
A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets
Mathematics and Computers in Simulation | 2012-11-15 | Paper |
Numerical solution of random differential models
Mathematical and Computer Modelling | 2012-04-15 | Paper |
Solving Riccati time-dependent models with random quadratic coefficients
Applied Mathematics Letters | 2011-12-28 | Paper |
Numerical analysis and computing of a non-arbitrage liquidity model with observable parameters for derivatives
Computers & Mathematics with Applications | 2011-08-28 | Paper |
Numerical analysis and computing for option pricing models in illiquid markets
Mathematical and Computer Modelling | 2011-02-13 | Paper |
Numerical analysis and simulation of option pricing problems modeling illiquid markets
Computers & Mathematics with Applications | 2010-08-26 | Paper |
Computing option pricing models under transaction costs
Computers & Mathematics with Applications | 2010-06-28 | Paper |
A numerical method for European option pricing with transaction costs nonlinear equation
Mathematical and Computer Modelling | 2010-05-08 | Paper |
A second order numerical method for solving advection-diffusion models
Mathematical and Computer Modelling | 2010-05-08 | Paper |
Consistent stable difference schemes for nonlinear Black-Scholes equations modelling option pricing with transaction costs
ESAIM: Mathematical Modelling and Numerical Analysis | 2009-11-23 | Paper |
A Stable CE—SE Numerical Method for Time-Dependent Advection—Diffusion Equation
Progress in Industrial Mathematics at ECMI 2006 | 2009-03-31 | Paper |
Numerical solution of linear and nonlinear Black-Scholes option pricing equations
Computers & Mathematics with Applications | 2009-03-12 | Paper |
An efficient method for option pricing with discrete dividend payment
Computers & Mathematics with Applications | 2009-03-12 | Paper |
| Numerical solution of Black-Scholes option pricing with variable yield discrete dividend payment | 2008-11-04 | Paper |
Explicit solution of Black-Scholes option pricing mathematical models with an impulsive payoff function
Mathematical and Computer Modelling | 2008-02-22 | Paper |
The complementary error matrix function and its role solving coupled diffusion mathematical models
Mathematical and Computer Modelling | 2006-02-16 | Paper |
A collocation method to compute one-dimensional flow models in intake and exhaust systems of internal combustion engines
Mathematical and Computer Modelling | 2005-05-12 | Paper |
Analytic solution of mixed problems for the generalized diffusion equation with delay
Mathematical and Computer Modelling | 2005-02-22 | Paper |
Exact and analytic numerical solution of coupled parabolic mixed problems in a semi-infinite medium
Computers & Mathematics with Applications | 2004-06-15 | Paper |
Accurate numerical solution of initial value problems for the time dependent convection-diffusion equation
Applied Mathematics Letters | 2004-06-11 | Paper |
A quantitative measure of well-conditioning for linear two-point boundary value problems
Mathematical and Computer Modelling | 2002-06-13 | Paper |
Orthogonal matrix polynomials and systems of second order differential equations
Differential Equations and Dynamical Systems | 1997-05-28 | Paper |
| scientific article; zbMATH DE number 920009 (Why is no real title available?) | 1996-08-25 | Paper |
| scientific article; zbMATH DE number 799614 (Why is no real title available?) | 1996-05-13 | Paper |
Laguerre matrix polynomials and systems of second-order differential equations
Applied Numerical Mathematics | 1995-09-25 | Paper |
| scientific article; zbMATH DE number 749303 (Why is no real title available?) | 1995-05-01 | Paper |
Solving higher order Fuchs type differential systems avoiding the increase of the problem dimension
International Journal of Mathematics and Mathematical Sciences | 1994-12-05 | Paper |
Bessel matrix differential equations: explicit solutions of initial and two-point boundary value problems
Applicationes Mathematicae | 1994-10-05 | Paper |
