| Publication | Date of Publication | Type |
|---|
Multiperiod mean-buffered probability of exceedance in defined contribution portfolio optimization
SIAM Journal on Financial Mathematics | 2026-09-01 | Paper |
Numerical analysis of American option pricing in a two-asset jump-diffusion model
Applied Numerical Mathematics | 2025-08-05 | Paper |
Fourier neural network approximation of transition densities in finance
SIAM Journal on Scientific Computing | 2025-04-25 | Paper |
A semi-Lagrangian -monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate
Numerical Methods for Partial Differential Equations | 2024-06-17 | Paper |
A monotone numerical integration method for mean-variance portfolio optimization under jump-diffusion models
Mathematics and Computers in Simulation | 2024-04-17 | Paper |
Practical investment consequences of the scalarization parameter formulation in dynamic mean-variance portfolio optimization
International Journal of Theoretical and Applied Finance | 2021-10-20 | Paper |
The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors
European Journal of Operational Research | 2021-06-03 | Paper |
On the distribution of terminal wealth under dynamic mean-variance optimal investment strategies
SIAM Journal on Financial Mathematics | 2021-05-17 | Paper |
Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization?
SIAM Journal on Financial Mathematics | 2019-11-22 | Paper |
Pricing American-style Parisian down-and-out call options
Applied Mathematics and Computation | 2019-03-28 | Paper |
A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model
Applied Numerical Mathematics | 2018-12-19 | Paper |
Time-consistent mean-variance portfolio optimization: a numerical impulse control approach
Insurance Mathematics & Economics | 2018-11-19 | Paper |
The 4\% strategy revisited: a pre-commitment mean-variance optimal approach to wealth management
Quantitative Finance | 2018-11-19 | Paper |
Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance
Applied Mathematical Finance | 2018-09-18 | Paper |
A dimension reduction Shannon-wavelet based method for option pricing
Journal of Scientific Computing | 2018-06-01 | Paper |
A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models
Applied Mathematical Finance | 2018-04-06 | Paper |
Partial differential equation pricing of contingent claims under stochastic correlation
SIAM Journal on Scientific Computing | 2018-01-05 | Paper |
A multi-level dimension reduction Monte-Carlo method for jump-diffusion models
Journal of Computational and Applied Mathematics | 2017-07-04 | Paper |
A decomposition approach via Fourier sine transform for valuing American knock-out options with rebates
Journal of Computational and Applied Mathematics | 2017-02-09 | Paper |
Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach
European Journal of Operational Research | 2016-10-07 | Paper |
Convergence of the embedded mean-variance optimal points with discrete sampling
Numerische Mathematik | 2016-02-17 | Paper |
Continuous time mean-variance optimal portfolio allocation under jump diffusion: an numerical impulse control approach
Numerical Methods for Partial Differential Equations | 2014-04-08 | Paper |
| A parallel implementation on GPUs of ADI finite difference methods for parabolic PDEs with applications in finance | 2011-11-25 | Paper |
Quadratic spline collocation for one-dimensional linear parabolic partial differential equations
Numerical Algorithms | 2010-04-15 | Paper |
