Publications (2) Publications in which a researcher has participated

filter_list Computational Finance

2021

  1. AMFR-W-methods for parabolic problems with mixed derivates. Applications to the Heston model

    Journal of Computational and Applied Mathematics, Vol. 387

  2. Amfr-w numerical methods for solving high-dimensional sabr/libor pde models

    SIAM Journal on Scientific Computing, Vol. 43, Núm. 1, pp. B30-B54