Mathematics – Numerical Analysis
Scientist
Mathematics
Numerical Analysis
Scientist
A Penalty Method for the Numerical Solution of Hamilton-Jacobi-Bellman (HJB) Equations in Finance
Analysis of Linear Difference Schemes in the Sparse Grid Combination Technique
Modelling Bonds & Credit Default Swaps using a Structural Model with Contagion
On the Penalisation Error for American Options in a Jump Model
On the Use of Policy Iteration as an Easy Way of Pricing American Options
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