| Publication | Date of Publication | Type |
|---|
| Rough Heston Models with Variable Vol-of-Vol and Option Pricing | 2024-03-11 | Paper |
| An implicit scheme for American put options | 2023-10-25 | Paper |
| Optimal reinsurance-investment with loss aversion under rough Heston model | 2023-06-20 | Paper |
| High-order methods for the option pricing under multivariate rough volatility models | 2023-06-05 | Paper |
| Optimal entry decision of unemployment insurance under partial information | 2023-04-20 | Paper |
| LAPLACE BOUNDS APPROXIMATION FOR AMERICAN OPTIONS | 2022-11-22 | Paper |
| Dual Control Methods for a Mixed Control Problem with Optimal Stopping Arising in Optimal Consumption and Investment | 2022-08-04 | Paper |
| Fast Laplace transform methods for the PDE system of Parisian and Parasian option pricing | 2022-05-31 | Paper |
| A fast algorithm for simulation of rough volatility models | 2022-05-05 | Paper |
| Pricing finite-maturity American capped stock loan | 2022-03-21 | Paper |
| Analysis of an adaptive remeshing algorithm with interpolations for reaction-diffusion equations with traveling heat source | 2021-12-17 | Paper |
| Convergence analysis for continuous-time Markov chain approximation of stochastic local volatility models: option pricing and greeks | 2021-12-14 | Paper |
| CTMC integral equation method for American options under stochastic local volatility models | 2021-11-16 | Paper |
| Moving Finite Element Methods for a System of Semi-Linear Fractional Diffusion Equations | 2021-09-30 | Paper |
| Convergence analysis and optimal strike choice for static hedges of general path-independent pay-offs | 2021-07-16 | Paper |
| Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates | 2021-07-14 | Paper |
| Convergence of Iterative Laplace Transform Methods for a System of Fractional PDEs and PIDEs Arising in Option Pricing | 2021-04-22 | Paper |
| Finite difference methods for the Hamilton-Jacobi-Bellman equations arising in regime switching utility maximization | 2021-01-20 | Paper |
| High-Order Methods for Exotic Options and Greeks Under Regime-Switching Jump-Diffusion Models | 2021-01-14 | Paper |
| Least-squares Monte-Carlo methods for optimal stopping investment under CEV models | 2020-12-07 | Paper |
| Second-order lattice Boltzmann methods for PDEs of Asian option pricing with regime switching | 2020-10-09 | Paper |
| A spectral element method for option pricing under regime-switching with jumps | 2020-06-16 | Paper |
| Convergence rates of moving mesh methods for moving boundary partial integro-differential equations from regime-switching jump-diffusion Asian option pricing | 2020-02-18 | Paper |
| Numerical Methods for System Parabolic Variational Inequalities from Regime-Switching American Option Pricing | 2020-01-22 | Paper |
| Dual control Monte-Carlo method for tight bounds of value function under Heston stochastic volatility model | 2019-09-18 | Paper |
| Global Closed-Form Approximation of Free Boundary for Optimal Investment Stopping Problems | 2019-08-30 | Paper |
| Optimal investment strategies for general utilities under dynamic elasticity of variance models | 2018-11-14 | Paper |
| Valuation of American strangles through an optimized lower-upper bound approach | 2018-08-10 | Paper |
| Convergence analysis of iterative Laplace transform methods for the coupled PDEs from regime-switching option pricing | 2018-07-12 | Paper |
| Connection between trinomial trees and finite difference methods for option pricing with state-dependent switching rates | 2018-05-17 | Paper |
| Hybrid Laplace transform and finite difference methods for pricing American options under complex models | 2018-03-09 | Paper |
| Fast Laplace transform methods for free-boundary problems of fractional diffusion equations | 2018-03-01 | Paper |
| Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization | 2017-12-06 | Paper |
| A new finite element analysis for inhomogeneous boundary-value problems of space fractional differential equations | 2017-03-02 | Paper |
| Convergence Rates of Moving Mesh Rannacher Methods for PDEs of Asian Options Pricing | 2017-01-06 | Paper |
| Lattice Boltzmann methods for solving partial differential equations of exotic option pricing | 2016-03-09 | Paper |
| Moving mesh methods for pricing Asian options with regime switching | 2016-02-04 | Paper |
| Stochastic areas of diffusions and applications | 2016-01-28 | Paper |
| Convergence rates of trinomial tree methods for option pricing under regime-switching models | 2015-05-06 | Paper |
| Convergence analysis of moving finite element methods for space fractional differential equations | 2014-07-23 | Paper |
| Moving finite element methods for time fractional partial differential equations | 2013-09-09 | Paper |
| Fully discretized collocation methods for nonlinear singular Volterra integral equations | 2013-04-18 | Paper |
| Spectral collocation methods for Volterra-integro differential equations with noncompact kernels | 2013-02-21 | Paper |
| Analysis of a moving collocation method for one-dimensional partial differential equations | 2012-05-31 | Paper |
| Blow-up solutions of nonlinear Volterra integro-differential equations | 2012-04-15 | Paper |
| Cascading Multilevel Finite-Element Analysis for Local and Nonlocal Parabolic Problems | 2011-07-15 | Paper |
| Moving collocation methods for time fractional differential equations and simulation of blowup | 2011-07-01 | Paper |
| High-order finite element methods for time-fractional partial differential equations | 2011-05-11 | Paper |
| On a Moving Mesh Method for Solving Patial Integro-differential Equations | 2010-11-05 | Paper |
| Convergence analysis of moving Godunov methods for dynamical boundary layers | 2010-06-28 | Paper |
| Moving mesh methods for blowup in reaction-diffusion equations with traveling heat source | 2009-10-12 | Paper |
| On a graded mesh method for a class of weakly singular Volterra integral equations | 2009-08-05 | Paper |
| Numerical simulation of blowup in nonlocal reaction-diffusion equations using a moving mesh method | 2009-06-25 | Paper |
| Finite element and DG analysis for neutral-type Volterra integro-differential equations with weakly singular kernels | 2009-06-18 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3609563 | 2009-03-06 | Paper |
| A study of moving mesh PDE methods for numerical simulation of blowup in reaction diffusion equations | 2008-07-21 | Paper |
| On the regularity of solutions to Volterra functional integro-differential equations with weakly singular kernels | 2008-03-20 | Paper |
| Abstract cascading multigrid preconditioners in Besov spaces | 2008-02-22 | Paper |
| Finite element methods for partial Volterra integro-differential equations on two-dimensional unbounded spatial domains | 2007-04-26 | Paper |
| Artificial boundary conditions for parabolic Volterra integro-differential equations on unbounded two-dimensional domains | 2006-10-30 | Paper |
| A posteriori error estimates of discontinuous Galerkin methods for non-standard Volterra integro-differential equations | 2006-03-30 | Paper |
| The numerical solution of parabolic Volterra integro-differential equations on unbounded spatial domains | 2005-09-02 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4806663 | 2003-12-08 | Paper |
