| Publication | Date of Publication | Type |
|---|
Mathematical modeling and analysis of insolvency contagion in an interbank network
Operations Research Letters | 2019-01-15 | Paper |
A new well-posed algorithm to recover implied local volatility
Quantitative Finance | 2019-01-14 | Paper |
On pricing of corporate securities in the case of jump-diffusion
Applied Mathematics. Series B (English Edition) | 2015-02-11 | Paper |
Optimal convergence rate of the binomial tree scheme for American options and their free boundaries
Frontiers in Differential Geometry, Partial Differential Equations and Mathematical Physics | 2014-11-07 | Paper |
Pricing corporate debt with finite maturity and chapter 11 proceedings
Quantitative Finance | 2014-03-04 | Paper |
A fully non-linear PDE problem from pricing CDS with counterparty risk
Discrete and Continuous Dynamical Systems. Series B | 2012-09-12 | Paper |
The regularized implied local volatility equations -- a new model to recover the volatility of underlying asset from observed market option price
Discrete and Continuous Dynamical Systems. Series B | 2012-09-12 | Paper |
A modified structural model for credit risk
IMA Journal of Management Mathematics | 2012-08-30 | Paper |
Explicit formulas for pricing of callable mortgage-backed securities in a case of prepayment rate negatively correlated with interest rates
Journal of Mathematical Analysis and Applications | 2012-07-04 | Paper |
Intensity-based models for pricing mortgage-backed securities with repayment risk under a CIR process
International Journal of Theoretical and Applied Finance | 2012-06-25 | Paper |
Optimal decision for selling an illiquid stock
Journal of Optimization Theory and Applications | 2012-01-12 | Paper |
Finite horizon optimal investment and consumption with transaction costs
SIAM Journal on Control and Optimization | 2010-04-28 | Paper |
Basket CDS pricing with interacting intensities
Finance and Stochastics | 2010-04-22 | Paper |
Optimal convergence rate of the binomial tree scheme for American options with jump diffusion and their free boundaries
SIAM Journal on Financial Mathematics | 2010-02-03 | Paper |
Optimal convergence rate of the explicit finite difference scheme for American option valuation
Journal of Computational and Applied Mathematics | 2009-07-20 | Paper |
| scientific article; zbMATH DE number 5575320 (Why is no real title available?) | 2009-07-06 | Paper |
| scientific article; zbMATH DE number 5562046 (Why is no real title available?) | 2009-06-04 | Paper |
On a non-local curve evolution problem in the plane
Communications in Analysis and Geometry | 2008-08-18 | Paper |
CONVEXITY OF THE EXERCISE BOUNDARY OF THE AMERICAN PUT OPTION ON A ZERO DIVIDEND ASSET
Mathematical Finance | 2008-05-22 | Paper |
On the rate of convergence of the binomial tree scheme for American options
Numerische Mathematik | 2007-10-16 | Paper |
LIMITATIONS AND MODIFICATIONS OF BLACK-SCHOLES MODEL
Differential Equations and Asymptotic Theory in Mathematical Physics | 2007-09-19 | Paper |
Free boundary and American options in a jump-diffusion model
European Journal of Applied Mathematics | 2007-02-07 | Paper |
A parabolic variational inequality arising from the valuation of fixed rate mortgages
European Journal of Applied Mathematics | 2006-03-09 | Paper |
| scientific article; zbMATH DE number 2233868 (Why is no real title available?) | 2005-11-29 | Paper |
On pricing model of the reset option with \(N\) predetermined levels
Journal of Systems Science and Complexity | 2005-11-01 | Paper |
Convergence of Binomial Tree Methods for European/American Path-Dependent Options
SIAM Journal on Numerical Analysis | 2005-03-01 | Paper |
Convergence of the Binomial Tree Method for American Options in a Jump-Diffusion Model
SIAM Journal on Numerical Analysis | 2005-03-01 | Paper |
| scientific article; zbMATH DE number 2104606 (Why is no real title available?) | 2004-10-01 | Paper |
| scientific article; zbMATH DE number 2042577 (Why is no real title available?) | 2004-02-15 | Paper |
| scientific article; zbMATH DE number 1893681 (Why is no real title available?) | 2003-10-20 | Paper |
Numerical analysis on binomial tree methods for a jump-diffusion model.
Journal of Computational and Applied Mathematics | 2003-07-29 | Paper |
Identifying the volatility of underlying assets from option prices
Inverse Problems | 2002-11-14 | Paper |
Local exponentially fitted finite element schemes for singularly perturbed convection-diffusion problems
Journal of Computational and Applied Mathematics | 2002-07-15 | Paper |
Analysis of pricing American options on the maximum (minimum) of two risk assets
Interfaces and Free Boundaries | 2002-06-04 | Paper |
| scientific article; zbMATH DE number 1512729 (Why is no real title available?) | 2002-02-01 | Paper |
| Convergence of binomial tree method for American options | 2001-12-18 | Paper |
| scientific article; zbMATH DE number 1383434 (Why is no real title available?) | 2001-02-14 | Paper |
| scientific article; zbMATH DE number 1180438 (Why is no real title available?) | 1999-03-04 | Paper |
| Models of superconducting-normal-superconducting junctions | 1998-10-27 | Paper |
| scientific article; zbMATH DE number 1089754 (Why is no real title available?) | 1998-06-18 | Paper |
| scientific article; zbMATH DE number 790944 (Why is no real title available?) | 1997-04-21 | Paper |
A PDE problem arising from calculation of the model for continuous casting of steel
Applied Mathematics. Series B (English Edition) | 1995-06-14 | Paper |
A free boundary problem arising in oil production
Meccanica | 1994-01-31 | Paper |
| scientific article; zbMATH DE number 243519 (Why is no real title available?) | 1993-08-10 | Paper |
Mathematical Modeling of Semiconductor Lasers
SIAM Journal on Applied Mathematics | 1993-06-29 | Paper |
| scientific article; zbMATH DE number 123440 (Why is no real title available?) | 1993-02-18 | Paper |
| scientific article; zbMATH DE number 31030 (Why is no real title available?) | 1992-06-28 | Paper |
Optimal control of a phase field model for solidification
Numerical Functional Analysis and Optimization | 1992-01-01 | Paper |
A class of diffraction problems in diffusive absorption phenomena
Annali di Matematica Pura ed Applicata. Serie Quarta | 1990-01-01 | Paper |
| scientific article; zbMATH DE number 4192289 (Why is no real title available?) | 1990-01-01 | Paper |
| scientific article; zbMATH DE number 4163431 (Why is no real title available?) | 1990-01-01 | Paper |
Periodic solutions for a thermostat control problem
Communications in Partial Differential Equations | 1988-01-01 | Paper |
| scientific article; zbMATH DE number 4136478 (Why is no real title available?) | 1986-01-01 | Paper |
| scientific article; zbMATH DE number 4144484 (Why is no real title available?) | 1986-01-01 | Paper |
Fixed stream-tube method for solving two-phase plane flow problems and its theoretical analysis
Applied Mathematics and Mechanics. (English Edition) | 1986-01-01 | Paper |
| scientific article; zbMATH DE number 4021734 (Why is no real title available?) | 1986-01-01 | Paper |
| scientific article; zbMATH DE number 3971296 (Why is no real title available?) | 1986-01-01 | Paper |
| scientific article; zbMATH DE number 4046291 (Why is no real title available?) | 1986-01-01 | Paper |
| scientific article; zbMATH DE number 3953413 (Why is no real title available?) | 1985-01-01 | Paper |
| scientific article; zbMATH DE number 3960093 (Why is no real title available?) | 1985-01-01 | Paper |
| scientific article; zbMATH DE number 4105448 (Why is no real title available?) | 1985-01-01 | Paper |
On an elastic-plastic problem
Journal of Differential Equations | 1984-01-01 | Paper |
Nonlinear Optimal Control Problems in Heat Conduction
SIAM Journal on Control and Optimization | 1983-01-01 | Paper |
| scientific article; zbMATH DE number 3842393 (Why is no real title available?) | 1983-01-01 | Paper |
| scientific article; zbMATH DE number 3853607 (Why is no real title available?) | 1983-01-01 | Paper |
| scientific article; zbMATH DE number 3818211 (Why is no real title available?) | 1983-01-01 | Paper |
| scientific article; zbMATH DE number 3847889 (Why is no real title available?) | 1982-01-01 | Paper |
| scientific article; zbMATH DE number 3836574 (Why is no real title available?) | 1982-01-01 | Paper |
| scientific article; zbMATH DE number 3760672 (Why is no real title available?) | 1982-01-01 | Paper |
| scientific article; zbMATH DE number 3740916 (Why is no real title available?) | 1981-01-01 | Paper |
| scientific article; zbMATH DE number 3764398 (Why is no real title available?) | 1981-01-01 | Paper |
| scientific article; zbMATH DE number 3700491 (Why is no real title available?) | 1980-01-01 | Paper |
| scientific article; zbMATH DE number 3694728 (Why is no real title available?) | 1980-01-01 | Paper |
| scientific article; zbMATH DE number 3597817 (Why is no real title available?) | 1977-01-01 | Paper |
| scientific article; zbMATH DE number 3234811 (Why is no real title available?) | 1962-01-01 | Paper |
