| Publication | Date of Publication | Type |
|---|
Breaking consensus in kinetic opinion formation models on graphons
Journal of Nonlinear Science | 2024-08-15 | Paper |
Steady states of an Elo-type rating model for players of varying strength
Kinetic and Related Models | 2024-07-31 | Paper |
Time-Adaptive High-Order Compact Finite Difference Schemes for Option Pricing in a Family of Stochastic Volatility Models
Mathematics in Industry | 2023-09-15 | Paper |
Kinetic models for optimal control of wealth inequalities
The European Physical Journal B. Condensed Matter and Complex Systems | 2023-07-26 | Paper |
Continuum and thermodynamic limits for a simple random-exchange model
Stochastic Processes and their Applications | 2022-05-16 | Paper |
| Continuum and thermodynamic limits for a wealth-distribution model | 2021-12-02 | Paper |
High-order compact finite difference scheme for option pricing in stochastic volatility with contemporaneous jump models
(available as arXiv preprint) | 2021-09-14 | Paper |
Stability analysis of line patterns of an anisotropic interaction model
SIAM Journal on Applied Dynamical Systems | 2020-01-03 | Paper |
| Equilibria of an anisotropic nonlocal interaction equation: Analysis and numerics | 2019-12-19 | Paper |
Boltzmann and Fokker-Planck equations modelling the Elo rating system with learning effects
Journal of Nonlinear Science | 2019-07-08 | Paper |
High-order compact finite difference scheme for option pricing in stochastic volatility jump models
Journal of Computational and Applied Mathematics | 2019-06-20 | Paper |
High-order compact finite difference scheme for option pricing in stochastic volatility jump models
Journal of Computational and Applied Mathematics | 2019-06-20 | Paper |
| Efficient hedging in Bates model using high-order compact finite differences | 2019-06-11 | Paper |
Efficient hedging in Bates model using high-order compact finite differences
(available as arXiv preprint) | 2019-06-11 | Paper |
An anisotropic interaction model for simulating fingerprints
Journal of Mathematical Biology | 2019-06-06 | Paper |
Sparse grid high-order ADI scheme for option pricing in stochastic volatility models
Novel Methods in Computational Finance | 2019-02-28 | Paper |
Essentially high-order compact schemes with application to stochastic volatility models on non-uniform grids
Novel Methods in Computational Finance | 2019-02-28 | Paper |
A Lagrangian scheme for the solution of nonlinear diffusion equations using moving simplex meshes
Journal of Scientific Computing | 2018-07-12 | Paper |
Pattern formation of a nonlocal, anisotropic interaction model
M\(^3\)AS. Mathematical Models & Methods in Applied Sciences | 2018-02-15 | Paper |
High-order ADI scheme for option pricing in stochastic volatility models
Journal of Computational and Applied Mathematics | 2017-10-05 | Paper |
High-order ADI scheme for option pricing in stochastic volatility models
Journal of Computational and Applied Mathematics | 2017-10-05 | Paper |
Opinion dynamics: inhomogeneous Boltzmann-type equations modelling opinion leadership and political segregation
Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences | 2017-09-29 | Paper |
A kinetic equation for economic value estimation with irrationality and herding
Kinetic and Related Models | 2016-12-19 | Paper |
| A stylized model for wealth distribution | 2016-09-28 | Paper |
High-order compact schemes for parabolic problems with mixed derivatives in multiple space dimensions
SIAM Journal on Numerical Analysis | 2015-09-14 | Paper |
High-order compact schemes for parabolic problems with mixed derivatives in multiple space dimensions
SIAM Journal on Numerical Analysis | 2015-09-14 | Paper |
| A higher-order gradient flow scheme for a singular one-dimensional diffusion equation | 2015-09-01 | Paper |
High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids
Journal of Computational and Applied Mathematics | 2015-08-26 | Paper |
A primal-dual approach for a total variation Wasserstein flow
Lecture Notes in Computer Science | 2014-04-16 | Paper |
High-order ADI schemes for convection-diffusion equations with mixed derivative terms
Lecture Notes in Computational Science and Engineering | 2014-01-31 | Paper |
ADI splitting schemes for a fourth-order nonlinear partial differential equation from image processing
Discrete and Continuous Dynamical Systems | 2013-11-11 | Paper |
A high-contrast fourth-order PDE from imaging: numerical solution by ADI splitting
Multi-Scale and High-Contrast PDE | 2013-07-12 | Paper |
On the stability of a compact finite difference scheme for option pricing
Mathematics in Industry | 2012-08-27 | Paper |
High-order compact finite difference scheme for option pricing in stochastic volatility models
Journal of Computational and Applied Mathematics | 2012-08-03 | Paper |
A mathematical theory for wealth distribution
Mathematical Modeling of Collective Behavior in Socio-Economic and Life Sciences | 2011-03-25 | Paper |
A gradient flow scheme for nonlinear fourth order equations
Discrete and Continuous Dynamical Systems. Series B | 2010-12-16 | Paper |
Boltzmann and Fokker-Planck equations modelling opinion formation in the presence of strong leaders
Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences | 2010-10-02 | Paper |
| A Boltzmann-type approach to the formation of wealth distribution curves | 2010-02-08 | Paper |
| Multi-species models in econo- and sociophysics | 2010-02-05 | Paper |
Exponential and algebraic relaxation in kinetic models for wealth distribution
Waves and Stability in Continuous Media | 2010-02-05 | Paper |
Asset pricing under information with stochastic volatility
Review of Derivatives Research | 2009-11-23 | Paper |
Sequential quadratic programming method for volatility estimation in option pricing
Journal of Optimization Theory and Applications | 2009-04-24 | Paper |
International and domestic trading and wealth distribution
Communications in Mathematical Sciences | 2009-04-14 | Paper |
Option prices under generalized pricing kernels
Review of Derivatives Research | 2006-01-23 | Paper |
Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation
ESAIM: Mathematical Modelling and Numerical Analysis | 2005-09-08 | Paper |
Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation
ESAIM: Mathematical Modelling and Numerical Analysis | 2005-09-08 | Paper |
Existence and uniqueness of solutions to a quasilinear parabolic equation with quadratic gradients in financial markets
Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods | 2005-08-05 | Paper |
High Order Compact Finite Difference Schemes for a Nonlinear Black-Scholes Equation
International Journal of Theoretical and Applied Finance | 2004-09-07 | Paper |
Steady states of an Elo-type rating model for players of varying strength
(available as arXiv preprint) | N/A | Paper |
