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Publications in Numerical Analysis

Short Communication: Inversion of Convex Ordering: Local Volatility Does Not Maximize the Price of VIX Futures

SIAM Journal on Financial Mathematics
Applied MathematicsNumerical AnalysisFinance
2020English

Merton Problem With Taxes: Characterization, Computation, and Approximation

SIAM Journal on Financial Mathematics
Applied MathematicsNumerical AnalysisFinance
2010English

Entropy Stable Discontinuous Galerkin Schemes on Moving Meshes for Hyperbolic Conservation Laws

Journal of Scientific Computing
Numerical AnalysisApplied MathematicsComputational TheoryEngineeringComputational MathematicsMathematicsTheoretical Computer ScienceSoftware
2020English

Higher Order Cut Finite Elements for the Wave Equation

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

Optimal Penalty Parameters for Symmetric Discontinuous Galerkin Discretisations of the Time-Harmonic Maxwell Equations

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

A Well-Balanced Path-Integral F-Wave Method for Hyperbolic Problems With Source Terms

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

An Option to Reduce Transaction Costs

SIAM Journal on Financial Mathematics
Applied MathematicsNumerical AnalysisFinance
2011English

Fully Discrete Approximations to the Time-Dependent Navier–Stokes Equations With a Projection Method in Time and Grad-Div Stabilization

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

Exact and Efficient Simulation of Correlated Defaults

SIAM Journal on Financial Mathematics
Applied MathematicsNumerical AnalysisFinance
2010English

A Reduced Basis for Option Pricing

SIAM Journal on Financial Mathematics
Applied MathematicsNumerical AnalysisFinance
2011English

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