Désiré Yannick Tangman

Available identifiers

zbMath Open tangman.desire-yannickMaRDI QIDQ387110

List of research outcomes

Publication	Date of Publication	Type
SPECTRALLY ACCURATE OPTION PRICING UNDER THE TIME-FRACTIONAL BLACK–SCHOLES MODEL	2021-10-26	Paper
A spectral element method for option pricing under regime-switching with jumps	2020-06-16	Paper
Conservative third-order central-upwind schemes for option pricing problems	2020-02-17	Paper
COS method for option pricing under a regime-switching model with time-changed Lévy processes	2018-11-14	Paper
RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility	2018-08-15	Paper
A high-order finite difference method for option valuation	2018-03-14	Paper
A superconvergent partial differential equation approach to price variance swaps under regime switching models	2017-02-09	Paper
A TWO-FACTOR JUMP-DIFFUSION MODEL FOR PRICING CONVERTIBLE BONDS WITH DEFAULT RISK	2016-10-24	Paper
High-order computational methods for option valuation under multifactor models	2014-07-27	Paper
Efficient and high accuracy pricing of barrier options under the CEV diffusion	2014-07-23	Paper
A hybrid ENO reconstruction with limiters for systems of hyperbolic conservation laws	2013-12-11	Paper
A new radial basis functions method for pricing American options under Merton's jump-diffusion model	2013-01-22	Paper
A new fourth-order numerical scheme for option pricing under the CEV model	2012-11-15	Paper
Analysis of an Implicitly Restarted Simpler GMRES Variant of Augmented GMRES	2010-04-16	Paper
Exponential time integration for fast finite element solutions of some financial engineering problems	2009-02-25	Paper
A fast high-order finite difference algorithm for pricing American options	2008-11-06	Paper
Exponential time integration and Chebychev discretisation schemes for fast pricing of options	2008-09-01	Paper
Numerical pricing of options using high-order compact finite difference schemes	2008-07-11	Paper

Research outcomes over time

Doctoral students

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