Lina von Sydow

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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
BENCHOP -- SLV: the BENCHmarking project in option pricing -- stochastic and local volatility problems International Journal of Computer Mathematics	2022-02-16	Paper
A high order method for pricing of financial derivatives using radial basis function generated finite differences Mathematics and Computers in Simulation	2021-02-02	Paper
Numerical Ross recovery for diffusion processes using a PDE approach Applied Mathematical Finance	2020-10-20	Paper
Numerical option pricing without oscillations using flux limiters Computers & Mathematics with Applications	2020-10-12	Paper
The Kolmogorov forward fractional partial differential equation for the CGMY-process with applications in option pricing Computers & Mathematics with Applications	2020-10-01	Paper
Radial basis function generated finite differences for option pricing problems Computers & Mathematics with Applications	2019-03-25	Paper
Accurate and stable time stepping in ice sheet modeling Journal of Computational Physics	2019-01-31	Paper
Pricing of basket options using dimension reduction and adaptive finite differences in space, and discontinuous Galerkin in time Lecture Notes in Computational Science and Engineering	2016-12-19	Paper
Preconditioning for radial basis function partition of unity methods Journal of Scientific Computing	2016-07-05	Paper
BENCHOP -- the benchmarking project in option pricing International Journal of Computer Mathematics	2016-04-29	Paper
Adaptive finite differences and IMEX time-stepping to price options under Bates model International Journal of Computer Mathematics	2016-04-29	Paper
An IMEX-scheme for pricing options under stochastic volatility models with jumps SIAM Journal on Scientific Computing	2015-01-23	Paper
Numerical option pricing in the presence of bubbles Quantitative Finance	2013-06-27	Paper
A multigrid preconditioner for an adaptive Black-Scholes solver BIT	2011-05-04	Paper
Pricing American options using a space-time adaptive finite difference method Mathematics and Computers in Simulation	2010-07-28	Paper
A highly accurate adaptive finite difference solver for the Black-Scholes equation International Journal of Computer Mathematics	2010-01-15	Paper
Space-time adaptive finite difference method for European multi-asset options Computers & Mathematics with Applications	2008-01-30	Paper
Semi-Toeplitz preconditioning for the linearized Navier-Stokes equations BIT	2005-04-07	Paper
Preconditioned implicit solution of linear hyperbolic equations with adaptivity Journal of Computational and Applied Mathematics	2004-08-10	Paper

Research outcomes over time

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