AMF-type W-methods for parabolic problems with mixed derivatives
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Publication:4683933
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Cites work
- scientific article; zbMATH DE number 1967777 (Why is no real title available?)
- scientific article; zbMATH DE number 940566 (Why is no real title available?)
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A family of three-stage third order AMF-W-methods for the time integration of advection diffusion reaction PDEs.
- ADI finite difference schemes for option pricing in the Heston model with correlation
- ADI schemes for pricing American options under the Heston model
- Accuracy and stability of splitting with stabilizing corrections
- An Attempt to Avoid Exact Jacobian and Nonlinear Equations in the Numerical Solution of Stiff Differential Equations
- An alternating-direction implicit scheme for parabolic equations with mixed derivatives
- Approximate factorization for time-dependent partial differential equations
- Convergence of the modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term
- Generalized ROW-type methods for solving semi-explicit DAEs of index-1
- High-order ADI finite difference schemes for parabolic equations in the combination technique with application in finance
- High-order ADI scheme for option pricing in stochastic volatility models
- High-order ADI schemes for convection-diffusion equations with mixed derivative terms
- High-order ADI schemes for diffusion equations with mixed derivatives in the combination technique
- High-order \(W\)-methods
- New Rosenbrock W-methods of order 3 for partial differential algebraic equations of index
- On the Numerical Solution of Heat Conduction Problems in Two and Three Space Variables
- Operator splitting and approximate factorization for taxis-diffusion-reaction models
- PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique
- PDE-W-methods for parabolic problems with mixed derivatives
- Rosenbrock Methods for Partial Differential Equations and Fractional Orders of Convergence
- Rosenbrock-type methods with inexact AMF for the time integration of advection-diffusion-reaction PDEs
- Runge-Kutta Methods for Partial Differential Equations and Fractional Orders of Convergence
- Solving Ordinary Differential Equations I
- The Numerical Solution of Parabolic and Elliptic Differential Equations
- Time integration of the shallow water equations in spherical geometry
- Unconditional stability of second-order ADI schemes applied to multi-dimensional diffusion equations with mixed derivative terms
- W-methods in optimal control
- W-methods to stabilize standard explicit Runge-Kutta methods in the time integration of advection-diffusion-reaction PDEs
Cited in
(18)- Operator splitting schemes for the two-asset Merton jump-diffusion model
- Convergence in the maximum norm of ADI-type methods for parabolic problems
- AMFR-W numerical methods for solving high-dimensional SABR/LIBOR PDE models
- W-Methods and Approximate Matrix Factorization for Parabolic PDEs with Mixed Derivative Terms
- AMFR-W-methods for parabolic problems with mixed derivates. Applications to the Heston model
- Convergence in \(\ell_2\) and \(\ell_\infty\) norm of one-stage AMF-W-methods for parabolic problems
- A unified formulation of splitting-based implicit time integration schemes
- Boundary corrections on multi-dimensional PDEs
- High order PDE-convergence of AMF-W methods for 2D-linear parabolic problems
- Alternating directions implicit integration in a general linear method framework
- PDEs for pricing interest rate derivatives under the new generalized forward market model (FMM)
- PDE-W-methods for parabolic problems with mixed derivatives
- On approximate matrix factorization and TASE W-methods for the time integration of parabolic partial differential equations
- Stability and convergence of BDF2-ADI schemes with variable step sizes for parabolic equation
- A comparison of one-step and two-step W-methods and peer methods with approximate matrix factorization
- Generalized TASE-RK methods for stiff problems
- Implicit-explicit Runge-Kutta-Rosenbrock methods with error analysis for nonlinear stiff differential equations
- PDE-convergence in euclidean norm of AMF-W methods for multidimensional linear parabolic problems
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