Désiré Yannick Tangman

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
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 PDEs Engineering Analysis with Boundary Elements	2024-05-15	Paper
Spectrally accurate option pricing under the time-fractional Black-Scholes model The ANZIAM Journal	2021-10-26	Paper
A spectral element method for option pricing under regime-switching with jumps Journal of Scientific Computing	2020-06-16	Paper
Conservative third-order central-upwind schemes for option pricing problems Vietnam Journal of Mathematics	2020-02-17	Paper
COS method for option pricing under a regime-switching model with time-changed Lévy processes Quantitative Finance	2018-11-14	Paper
RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility Engineering Analysis with Boundary Elements	2018-08-15	Paper
A high-order finite difference method for option valuation Computers & Mathematics with Applications	2018-03-14	Paper
A superconvergent partial differential equation approach to price variance swaps under regime switching models Journal of Computational and Applied Mathematics	2017-02-09	Paper
A two-factor jump-diffusion model for pricing convertible bonds with default risk International Journal of Theoretical and Applied Finance	2016-10-24	Paper
High-order computational methods for option valuation under multifactor models European Journal of Operational Research	2014-07-27	Paper
Efficient and high accuracy pricing of barrier options under the CEV diffusion Journal of Computational and Applied Mathematics	2014-07-23	Paper
A hybrid ENO reconstruction with limiters for systems of hyperbolic conservation laws Mathematical Sciences	2013-12-11	Paper
A new radial basis functions method for pricing American options under Merton's jump-diffusion model International Journal of Computer Mathematics	2013-01-22	Paper
A new fourth-order numerical scheme for option pricing under the CEV model Applied Mathematics Letters	2012-11-15	Paper
Analysis of an implicitly restarted simpler GMRES variant of augmented GMRES Computational Science and Its Applications – ICCSA 2010	2010-04-16	Paper
Exponential time integration for fast finite element solutions of some financial engineering problems Journal of Computational and Applied Mathematics	2009-02-25	Paper
A fast high-order finite difference algorithm for pricing American options Journal of Computational and Applied Mathematics	2008-11-06	Paper
Exponential time integration and Chebychev discretisation schemes for fast pricing of options Applied Numerical Mathematics	2008-09-01	Paper
Numerical pricing of options using high-order compact finite difference schemes Journal of Computational and Applied Mathematics	2008-07-11	Paper

Research outcomes over time

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