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Publications in Numerical Analysis

Option Pricing for Stochastic Volatility Models: Vol-Of-Vol Expansion

SIAM Journal on Financial Mathematics
Applied MathematicsNumerical AnalysisFinance
2014English

Multifactor Approximation of Rough Volatility Models

SIAM Journal on Financial Mathematics
Applied MathematicsNumerical AnalysisFinance
2019English

An Example of High Order Residual Distribution Scheme Using Non-Lagrange Elements

Journal of Scientific Computing
Numerical AnalysisApplied MathematicsComputational TheoryEngineeringComputational MathematicsMathematicsTheoretical Computer ScienceSoftware
2010English

The Stokes Complex for Virtual Elements With Application to Navier–Stokes Flows

Journal of Scientific Computing
Numerical AnalysisApplied MathematicsComputational TheoryEngineeringComputational MathematicsMathematicsTheoretical Computer ScienceSoftware
2019English

Asymptotic-Preserving Exponential Methods for the Quantum Boltzmann Equation With High-Order Accuracy

Journal of Scientific Computing
Numerical AnalysisApplied MathematicsComputational TheoryEngineeringComputational MathematicsMathematicsTheoretical Computer ScienceSoftware
2014English

Generalized Arbitrage-Free SVI Volatility Surfaces

SIAM Journal on Financial Mathematics
Applied MathematicsNumerical AnalysisFinance
2016English

General DG-Methods for Highly Indefinite Helmholtz Problems

Journal of Scientific Computing
Numerical AnalysisApplied MathematicsComputational TheoryEngineeringComputational MathematicsMathematicsTheoretical Computer ScienceSoftware
2013English

Discontinuous Galerkin Methods for Second-Order Elliptic PDE With Low-Regularity Solutions

Journal of Scientific Computing
Numerical AnalysisApplied MathematicsComputational TheoryEngineeringComputational MathematicsMathematicsTheoretical Computer ScienceSoftware
2010English

Approximation for Option Prices Under Uncertain Volatility

SIAM Journal on Financial Mathematics
Applied MathematicsNumerical AnalysisFinance
2014English

OpenCL Based Parallel Algorithm for RBF-PUM Interpolation

Journal of Scientific Computing
Numerical AnalysisApplied MathematicsComputational TheoryEngineeringComputational MathematicsMathematicsTheoretical Computer ScienceSoftware
2017English

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