| Publication | Date of Publication | Type |
|---|
| Two-grid algorithms for pricing American options by a penalty method | 2025-09-12 | Paper |
Parameter estimation inspired by temperature measurements for a chemotactic model of honeybee thermoregulation
Numerical Methods and Applications | 2023-06-12 | Paper |
Positivity-preserving finite volume difference schemes for atmospheric dispersion models with degenerate vertical diffusion
Computational and Applied Mathematics | 2023-01-25 | Paper |
| Fitted finite volume method for unsaturated flow parabolic problems with space degeneration | 2022-04-22 | Paper |
Numerical method for optimal portfolio in an exponential utility regime-switching model
International Journal of Computer Mathematics | 2022-02-17 | Paper |
Efficient finite difference method for optimal portfolio in a power utility regime-switching model
International Journal of Computer Mathematics | 2022-02-16 | Paper |
Penalty method for indifference pricing of American option in a liquidity switching market
Applied Numerical Mathematics | 2021-12-09 | Paper |
| Numerical solution of heat-conduction problems on a semi-infinite strip with nonlinear localized flow sources | 2021-06-16 | Paper |
Exponential finite difference scheme for transport equations with discontinuous coefficients in porous media
Applied Mathematics and Computation | 2021-04-14 | Paper |
Fitted finite volume method for indifference pricing in an exponential utility regime-switching model
Journal of Computational and Applied Mathematics | 2021-02-03 | Paper |
Numerical simulation of thermoelastic nonlinear waves in fluid saturated porous media with non-local Darcy law
Advances in High Performance Computing | 2020-09-03 | Paper |
A splitting numerical scheme for non-linear models of mathematical finance
Large-Scale Scientific Computing | 2020-08-25 | Paper |
Fully Implicit Time-Stepping Schemes for a Parabolic-ODE System of European Options with Liquidity Shocks
Large-Scale Scientific Computing | 2020-08-03 | Paper |
Valuation of European options with liquidity shocks switching by fitted finite volume method
Large-Scale Scientific Computing | 2020-07-20 | Paper |
Weighted Time-Semidiscretization Quasilinearization Method for Solving Rihards’ Equation
Large-Scale Scientific Computing | 2020-07-20 | Paper |
A unified numerical approach for a large class of nonlinear Black-Scholes models
Large-Scale Scientific Computing | 2020-07-20 | Paper |
Numerical analysis of one dimensional motion of magma without mass forces
Journal of Computational and Applied Mathematics | 2019-11-05 | Paper |
Two-grid Newton algorithms for a system of heat conducting gas equations
Finite Difference Methods. Theory and Applications | 2019-10-10 | Paper |
| Positivity preserving numerical method for optimal portfolio in a power utility two-dimensional regime-switching model | 2019-06-05 | Paper |
Modified barrier penalization method for pricing American options
Novel Methods in Computational Finance | 2019-02-28 | Paper |
High order compact schemes for option pricing with liquidity shocks
Novel Methods in Computational Finance | 2019-02-28 | Paper |
A two-grid penalty method for American options
Computational and Applied Mathematics | 2018-11-05 | Paper |
Fast computational approach to the delta Greek of non-linear Black-Scholes equations
Journal of Computational and Applied Mathematics | 2018-06-12 | Paper |
Numerical solution of time-fractional Black-Scholes equation
Computational and Applied Mathematics | 2018-02-23 | Paper |
Computation of Delta Greek for Non-linear Models in Mathematical Finance
Lecture Notes in Computer Science | 2017-07-07 | Paper |
A numerical study for optimal portfolio regime-switching model. I: 2D Black-Scholes equation with an exponential non-linear term.
Journal of Computational and Applied Mathematics | 2017-02-09 | Paper |
Fourth-order compact schemes for a parabolic-ordinary system of European option pricing liquidity shocks model
Numerical Algorithms | 2017-01-12 | Paper |
On splitting-based numerical methods for nonlinear models of European options
International Journal of Computer Mathematics | 2016-07-19 | Paper |
Two-grid decoupled method for a Black-Scholes increased market volatility model
Numerical Methods and Applications | 2016-06-22 | Paper |
| Stability of difference schemes with variable weights for a parabolic interface problem | 2016-04-05 | Paper |
A second-order positivity preserving numerical method for gamma equation
Applied Mathematics and Computation | 2016-01-18 | Paper |
A positive flux limited difference scheme for the uncertain correlation 2D Black-Scholes problem
Journal of Computational and Applied Mathematics | 2015-10-19 | Paper |
Efficient Application of the Two-Grid Technique for Solving Time-Fractional Non-linear Parabolic Problem
Finite Difference Methods,Theory and Applications | 2015-08-20 | Paper |
| A splitting flux limiter finite difference scheme for the nonlinear Black-Scholes equation | 2015-04-24 | Paper |
Operator splitting kernel based numerical method for a generalized Leland's model
Journal of Computational and Applied Mathematics | 2014-09-29 | Paper |
Quasilinearization numerical scheme for fully nonlinear parabolic problems with applications in models of mathematical finance
Mathematical and Computer Modelling | 2014-05-14 | Paper |
Positivity Preserving Numerical Method for Non-linear Black-Scholes Models
Lecture Notes in Computer Science | 2013-11-06 | Paper |
Two positivity preserving flux limited, second-order numerical methods for a haptotaxis model
Numerical Methods for Partial Differential Equations | 2013-09-05 | Paper |
A kernel-based algorithm for numerical solution of nonlinear PDEs in finance
Large-Scale Scientific Computing | 2012-07-16 | Paper |
Numerical solution via transformation methods of nonlinear models in option pricing
AIP Conference Proceedings | 2012-01-30 | Paper |
Convergence of a FEM and two-grid algorithms for elliptic problems on disjoint domains
Journal of Computational and Applied Mathematics | 2011-11-10 | Paper |
A numerical study of a parabolic Monge-Ampère equation in mathematical finance
Numerical Methods and Applications | 2011-02-11 | Paper |
Numerical solution of a nonlinear evolution equation for the risk preference
Numerical Methods and Applications | 2011-02-11 | Paper |
Two-grid decoupling method for elliptic problems on disjoint domains
Large-Scale Scientific Computing | 2011-01-18 | Paper |
Two-grid quasilinearization approach to ODEs with applications to model problems in physics and mechanics
Computer Physics Communications | 2011-01-05 | Paper |
| Finite element solution of 1D boundary value linear and nonlinear problems with nonlocal jump conditions | 2009-12-16 | Paper |
A two-grid algorithm for implementation of fully conservative difference schemes of the gas dynamics equations
AIP Conference Proceedings | 2009-12-15 | Paper |
A Second-Order Cartesian Grid Finite Volume Technique for Elliptic Interface Problems
Large-Scale Scientific Computing | 2009-03-26 | Paper |
Immersed Interface Difference Schemes for a Parabolic-Elliptic Interface Problem
Large-Scale Scientific Computing | 2009-03-26 | Paper |
A Two-Grid Approximation of an Interface Problem for the Nonlinear Poisson-Boltzmann Equation
Lecture Notes in Computer Science | 2009-03-24 | Paper |
FINITE ELEMENT SOLUTION OF BOUNDARY VALUE PROBLEMS WITH NONLOCAL JUMP CONDITIONS
Mathematical Modelling and Analysis | 2009-02-12 | Paper |
Large-Scale Scientific Computing
Lecture Notes in Computer Science | 2007-11-15 | Paper |
Numerical Analysis of Blow-Up Weak Solutions to Semilinear Hyperbolic Equations
Numerical Methods and Applications | 2007-09-03 | Paper |
Blow-up of continuous and semidiscrete solutions to elliptic equations with semilinear dynamical boundary conditions of parabolic type
Journal of Computational and Applied Mathematics | 2007-04-13 | Paper |
Numerical solution of the heat equation with nonlinear boundary conditions in unbounded domains
Numerical Methods for Partial Differential Equations | 2007-03-30 | Paper |
Large-Scale Scientific Computing
Lecture Notes in Computer Science | 2006-11-21 | Paper |
Numerical Analysis and Its Applications
Lecture Notes in Computer Science | 2005-12-02 | Paper |
On the blow up of finite difference solutions to the heat-diffusion equation with semilinear dynamical boundary conditions
Applied Mathematics and Computation | 2005-02-22 | Paper |
