Désiré Yannick Tangman

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Person:387110

Available identifiers

zbMath Open tangman.desire-yannickMaRDI QIDQ387110

List of research outcomes





PublicationDate of PublicationType
A new analytical approach for the local radial point interpolation discretisation in space and applications to high-order in time schemes for two-dimensional fractional PDEs2024-05-15Paper
Spectrally accurate option pricing under the time-fractional Black-Scholes model2021-10-26Paper
A spectral element method for option pricing under regime-switching with jumps2020-06-16Paper
Conservative third-order central-upwind schemes for option pricing problems2020-02-17Paper
COS method for option pricing under a regime-switching model with time-changed Lévy processes2018-11-14Paper
RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility2018-08-15Paper
A high-order finite difference method for option valuation2018-03-14Paper
A superconvergent partial differential equation approach to price variance swaps under regime switching models2017-02-09Paper
A two-factor jump-diffusion model for pricing convertible bonds with default risk2016-10-24Paper
High-order computational methods for option valuation under multifactor models2014-07-27Paper
Efficient and high accuracy pricing of barrier options under the CEV diffusion2014-07-23Paper
A hybrid ENO reconstruction with limiters for systems of hyperbolic conservation laws2013-12-11Paper
A new radial basis functions method for pricing American options under Merton's jump-diffusion model2013-01-22Paper
A new fourth-order numerical scheme for option pricing under the CEV model2012-11-15Paper
Analysis of an implicitly restarted simpler GMRES variant of augmented GMRES2010-04-16Paper
Exponential time integration for fast finite element solutions of some financial engineering problems2009-02-25Paper
A fast high-order finite difference algorithm for pricing American options2008-11-06Paper
Exponential time integration and Chebychev discretisation schemes for fast pricing of options2008-09-01Paper
Numerical pricing of options using high-order compact finite difference schemes2008-07-11Paper

Research outcomes over time

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