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AIP Conference Proceedings, ISSN 0094-243X, 11/2019, Volume 2172, Issue 1
We study the numerical approximation of the implied volatility for models in option pricing that generalize the Black–Scholes equation when the processes which... 
Time dependence | Mathematical models | Algorithms | Volatility
Journal Article
2017, Lecture Notes in Computer Science, ISBN 3319570994, Volume 10187
This book constitutes thoroughly revised selected papers of the 6th International Conference on Numerical Analysis and Its Applications, NAA 2016, held in... 
Computer science | Numerical analysis
Web Resource
AIP Conference Proceedings, ISSN 0094-243X, 11/2019, Volume 2172, Issue 1
This work deals with numerical solution of option pricing Heston model. We propose a new transformation of the independent variables to remove the mixed... 
Mathematical models | Computer simulation | Independent variables | Numerical methods | Pricing | Finite difference method
Journal Article
Numerical Algorithms, ISSN 1017-1398, 9/2015, Volume 70, Issue 1, pp. 171 - 189
A new approach is proposed for the numerical solution of boundary value one-dimensional problem of advection-diffusion equation which arises, among others, in... 
Advection-diffusion equation | Numeric Computing | Maximum principle | Finite volume method | Theory of Computation | Log-transformation | Degeneracy | Algorithms | Algebra | Numerical Analysis | Computer Science | Infinite domain | Conservation of non-negativity | MATHEMATICS, APPLIED | Environmental aspects | Air pollution | Models | Analysis
Journal Article
Journal of Computational and Applied Mathematics, ISSN 0377-0427, 11/2019, p. 112596
Journal Article
AIP Conference Proceedings, ISSN 0094-243X, 12/2018, Volume 2048, Issue 1
This paper is devoted to develop a robust numerical algorithm to solve inverse problems of determining the right boundary conditions according to measurements... 
Inverse problems | Numerical analysis | Robustness (mathematics) | Boundary conditions | Options trading | Mathematical models | Switching
Journal Article
AIP Conference Proceedings, ISSN 0094-243X, 12/2018, Volume 2048, Issue 1
Coupled system of parabolic equations on unbounded domain arises in many branches of applied sciences especially in atmosphere modeling. We use transformation... 
Atmospheric models | Finite volume method | Independent variables
Journal Article
AIP Conference Proceedings, ISSN 0094-243X, 12/2018, Volume 2048, Issue 1
In this work we study numerically penalty methods for pricing the two-factor American put option. We implement three penalty functions to transform the... 
Penalty function | Mathematical analysis | Numerical methods | Pricing | Finite difference method
Journal Article
AIP Conference Proceedings, ISSN 0094-243X, 12/2018, Volume 2048, Issue 1
In this work we propose a numerical method for the two-dimensional elliptic Monge-Ampère equation to compute the velocities of the incompressible fluid from... 
Incompressible flow | Numerical analysis | Monge-Ampere equation | Computational fluid dynamics | Numerical methods | Fluid flow | Finite difference method | Incompressible fluids
Journal Article
Journal of Computational and Applied Mathematics, ISSN 0377-0427, 09/2019, p. 112493
Journal Article
Journal of Computational Science, ISSN 1877-7503, 01/2020, Volume 39, p. 101054
In this paper robust algorithms for numerical identification of time dependent volatility by integral observations of one- and two-asset Black⬜Scholes models... 
Finite difference scheme | Integral observation | Implied volatility | Black⬜Scholes equation | Inverse problem
Journal Article
AIP Conference Proceedings, ISSN 0094-243X, 12/2017, Volume 1910, Issue 1
In this work we report the development of an algorithm to solve inverse problems of determining the right boundary condition according to a measurement inside... 
Boundary conditions | Inverse problems
Journal Article
Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics), ISSN 0302-9743, 2017, Volume 10187, pp. 500 - 507
Conference Proceeding
2015, Lecture Notes in Computer Science, ISBN 3319202391, Volume 9045
This book constitutes the thoroughly refereed post-conference proceedings of the 6th International Conference on Finite Difference Methods, FDM 2014, held in... 
Computer science | Computer software | Computer Communication Networks | Computational complexity | Software engineering
Web Resource
2015, Lecture Notes in Computer Science, ISBN 3319202391, Volume 9045
This book constitutes the thoroughly refereed post-conference proceedings of the 6th International Conference on Finite Difference Methods, FDM 2014, held in... 
Computer science | Computer software | Computer Communication Networks | Computational complexity | Software engineering
Web Resource
Computational and Applied Mathematics, ISSN 0101-8205, 12/2017, Volume 36, Issue 4, pp. 1699 - 1715
Journal Article
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