D�ring, Bertram - Department of Mathematics, University of Sussex

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D�ring, Bertram - Department of Mathematics, University of Sussex

Proceedings in Applied Mathematics and Mechanics, 2 October 2007 A semi-smooth Newton method for an inverse problem in option pricing
Option Prices under Generalized Pricing BERTRAM D URING Duering@uni-mainz.de
Compact finite difference scheme for option pricing in Heston's model
Hydrodynamics from kinetic models of conservative economies
November 23, 2007 14:26 WSPC -Proceedings Trim Size: 9in x 6in proceed EXPONENTIAL AND ALGEBRAIC RELAXATION
A GRADIENT FLOW SCHEME FOR NONLINEAR FOURTH ORDER EQUATIONS
On the stability of a compact finite difference scheme for option pricing
A high-contrast fourth-order PDE from imaging: numerical solution by ADI splitting