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Efficient pricing of Asian options under Lévy processes based on Fourier cosine expansions Part I: European-style products
An equity-interest rate hybrid model with stochastic volatility and the interest rate smile
Nonnegative matrix factorization of a correlation matrix
Multigrid schemes for time-dependent incompressible Navier-Stokes equations
On an option pricing method based on Fourier-Cosine series expansions
An efficient pricing algorithm for swing options based on fourier cosine expansions
Incorporating an Interest Rate Smile in an Equity Local Volatility Model
Multigrid for high dimensional elliptic partial differential equations on non-equidistant grids
Extension of stochastic volatility models with Hull-White interest rate process
A fast nonlinear conjugate gradient based method for 3D frictional contact problems
On the robustness of a Multiple Semi-coarsened Grid method
Efficient pricing of commodity options with early-exercise under the Ornstein–Uhlenbeck process
Extending the BEM for elastic contact problems beyond the half-space approach
A multigrid method for an invariant formulation of the incompressible Navier-Stokes equations in general coordinates
Acceleration of option pricing technique on graphics processing units
Higher order saddlepoint approximations in the Vasicek portfolio credit loss model
Adaptive integration for multi-factor portfolio credit loss models
On cross-currency models with stochastic volatility and correlated interest rates
A geometric multigrid method based on L-shaped coarsening for PDEs on stretched grids
Multi-asset option pricing using a parallel Fourier-based technique
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