[HTML][HTML] Convergence of the Modified Craig–Sneyd scheme for two-dimensional convection–diffusion equations with mixed derivative term
M Wyns - Journal of Computational and Applied Mathematics, 2016 - Elsevier
Abstract We consider the Modified Craig–Sneyd (MCS) scheme which forms a prominent
time stepping method of the Alternating Direction Implicit type for multidimensional time …
time stepping method of the Alternating Direction Implicit type for multidimensional time …
Convergence analysis of the Modified Craig–Sneyd scheme for two-dimensional convection–diffusion equations with nonsmooth initial data
M Wyns - IMA Journal of Numerical Analysis, 2017 - academic.oup.com
In this article we consider the Modified Craig–Sneyd (MCS) scheme which forms a
prominent time-stepping method of the Alternating Direction Implicit type for …
prominent time-stepping method of the Alternating Direction Implicit type for …
An adjoint method for the exact calibration of stochastic local volatility models
M Wyns, KJ In't Hout - Journal of computational science, 2018 - Elsevier
This paper deals with the exact calibration of semidiscretized stochastic local volatility (SLV)
models to their underlying semidiscretized local volatility (LV) models. Under an SLV model …
models to their underlying semidiscretized local volatility (LV) models. Under an SLV model …
[PDF][PDF] High-Order Methods for Parabolic Equations in Multiple Space Dimensions for Option Pricing Problems
C Hendricks, M Ehrhardt, M Günther - 2017 - cerfacs.fr
High-Order Methods for Parabolic Equations in Multiple Space Dimensions for Option
Pricing Problems Page 1 CERFACS, Toulouse High-Order Methods for Parabolic Equations …
Pricing Problems Page 1 CERFACS, Toulouse High-Order Methods for Parabolic Equations …
[PDF][PDF] Convergence analysis and application of ADI schemes for partial differential equations from financial mathematics
M Wyns - 2017 - repository.uantwerpen.be
Summary Convergence Analysis and Application of ADI Schemes for Partial Differential
Equations from Financial Mathematics In the contemporary international financial markets …
Equations from Financial Mathematics In the contemporary international financial markets …