Extending the BEM for elastic contact problems beyond the half-space approach

Extending the BEM for elastic contact problems beyond the half-space approach

A fast nonlinear conjugate gradient based method for 3D frictional contact problems

Efficient pricing of Asian options under Lévy processes based on Fourier cosine expansions. Part II. Early-exercise features and GPU implementation

Efficient pricing of Asian options under Lévy processes based on Fourier cosine expansions Part I: European-style products

On cross-currency models with stochastic volatility and correlated interest rates

Efficient pricing of commodity options with early-exercise under the Ornstein–Uhlenbeck process

An efficient pricing algorithm for swing options based on fourier cosine expansions

Acceleration of option pricing technique on graphics processing units

An equity-interest rate hybrid model with stochastic volatility and the interest rate smile

Efficient option pricing with multi-factor equity-interest rate hybrid models

Saddlepoint approximations for expectations

On the Heston Model with stochastic interest rates

Incorporating an Interest Rate Smile in an Equity Local Volatility Model

Nonnegative matrix factorization of a correlation matrix

On an option pricing method based on Fourier-Cosine series expansions

Extension of stochastic volatility models with Hull-White interest rate process

A geometric multigrid method based on L-shaped coarsening for PDEs on stretched grids

Pricing early-exercise and discrete barrier options by Fourier-Cosine series expansions

Generalized beta regression models for random loss-given-default