Haiming Song

Available identifiers

zbMath Open song.haimingMaRDI QIDQ387448

List of research outcomes

Publication	Date of Publication	Type
Projection and contraction method for the valuation of American options under regime switching	2024-04-30	Paper
Error analysis of finite difference scheme for American option pricing under regime-switching with jumps	2023-10-17	Paper
A splitting algorithm for constrained optimization problems with parabolic equations	2023-06-22	Paper
Block mirror stochastic gradient method for stochastic optimization	2023-06-20	Paper
Primal-dual active-set method for solving the unilateral pricing problem of American better-of options on two assets	2022-04-20	Paper
Semi-implicit FEM for the valuation of American options under the Heston model	2022-03-15	Paper
An Alternating Direction Method of Multipliers for the Optimization Problem Constrained with a Stationary Maxwell System	2021-10-29	Paper
An Alternating Direction Method of Multipliers for Optimal Control Problems Constrained with Elliptic Equations	2021-10-12	Paper
An Efficient Numerical Method for the Valuation of American Better-of Options Based on the Front-Fixing Transform and the Far Field Truncation	2021-10-12	Paper
Primal-dual active set method for pricing American better-of option on two assets	2020-10-20	Paper
An efficient numerical method for the valuation of American multi-asset options	2020-10-15	Paper
Efficient numerical methods for elliptic optimal control problems with random coefficient	2020-07-14	Paper
Finite Element and Discontinuous Galerkin Methods with Perfect Matched Layers for American Options	2018-07-18	Paper
Primal-Dual Active Set Method for American Lookback Put Option Pricing	2018-02-27	Paper
https://portal.mardi4nfdi.de/entity/Q2987385	2017-05-17	Paper
https://portal.mardi4nfdi.de/entity/Q5257277	2015-06-29	Paper
Front-fixing FEMs for the pricing of American options based on a PML technique	2015-05-13	Paper
https://portal.mardi4nfdi.de/entity/Q5498113	2015-02-11	Paper
https://portal.mardi4nfdi.de/entity/Q5499338	2015-02-11	Paper
Collocation methods for nonlinear convolution Volterra integral equations with multiple proportional delays	2013-12-23	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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MaRDI profile type	MaRDI person profile
instance of	human

This page was built for person: Haiming Song