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A Fitted Multi-point Flux Approximation Method for Pricing Two Options

Computational economics, 2020-02, Vol.55 (2), p.597-628

2020

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Weak convergence of the finite element method for semilinear parabolic SPDEs driven by additive noise

Results in applied mathematics, 2023-02, Vol.17, p.100351, Article 100351

2023

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Novel numerical techniques based on mimetic finite difference method for pricing two dimensional options

Results in applied mathematics, 2022-02, Vol.13, p.100229, Article 100229

2022

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Bayesian parameter estimation in glacier mass-balance modelling using observations with distinct temporal resolutions and uncertainties

Journal of glaciology, 2023-08, p.1-20

2023

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A fitted finite volume method for stochastic optimal control problems in finance

AIMS mathematics, 2021-01, Vol.6 (4), p.3053-3079

2021

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An exponential integrator for finite volume discretization of a reaction–advection–diffusion equation

Computers & mathematics with applications (1987), 2016-05, Vol.71 (9), p.1875-1897

Tambue, Antoine

2016

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Convergence of the Two Point Flux Approximation method and the fitted Two Point Flux Approximation method for options pricing with local volatility function

Communications in nonlinear science & numerical simulation, 2024-12, Vol.139, p.108291, Article 108291

2024

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Convergence of the mimetic finite difference and fitted mimetic finite difference method for options pricing

Applied mathematics and computation, 2021-07, Vol.401, p.126060, Article 126060

2021

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Convergence of a fitted finite volume method for pricing two dimensional assets with stochastic volatilities

Mathematics and computers in simulation, 2023-05, Vol.207, p.388-416

2023

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Exponential time integrators for stochastic partial differential equations in 3D reservoir simulation

Computational geosciences, 2012-03, Vol.16 (2), p.323-334

2012

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A modified semi–implicit Euler–Maruyama scheme for finite element discretization of SPDEs with additive noise

Applied mathematics and computation, 2018-09, Vol.332, p.105-122

2018

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Strong convergence of the linear implicit Euler method for the finite element discretization of semilinear SPDEs driven by multiplicative or additive noise

Applied mathematics and computation, 2019-04, Vol.346, p.23-40

2019

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A note on exponential Rosenbrock–Euler method for the finite element discretization of a semilinear parabolic partial differential equation

Computers & mathematics with applications (1987), 2018-10, Vol.76 (7), p.1719-1738

2018

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Optimal strong convergence rates of numerical methods for semilinear parabolic SPDE driven by Gaussian noise and Poisson random measure

Computers & mathematics with applications (1987), 2019-05, Vol.77 (10), p.2786-2803

2019

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Weak Convergence of the Rosenbrock Semi-implicit Method for Semilinear Parabolic SPDEs Driven by Additive Noise

Journal of computational methods in applied mathematics, 2024-04, Vol.24 (2), p.467-493

2024

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Optimal strong convergence rates of some Euler-type timestepping schemes for the finite element discretization SPDEs driven by additive fractional Brownian motion and Poisson random measure

Numerical algorithms, 2021-09, Vol.88 (1), p.315-363

2021

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Strong Convergence Analysis of the Stochastic Exponential Rosenbrock Scheme for the Finite Element Discretization of Semilinear SPDEs Driven by Multiplicative and Additive Noise

Journal of scientific computing, 2018-02, Vol.74 (2), p.937-978

2018

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A Fitted L-Multi-Point Flux Approximation Method for Pricing Options

Computational economics, 2022-08, Vol.60 (2), p.633-663

2022

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Strong convergence of a stochastic Rosenbrock-type scheme for the finite element discretization of semilinear SPDEs driven by multiplicative and additive noise

Stochastic processes and their applications, 2020-08, Vol.130 (8), p.4968-5005

2020

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Higher order stable schemes for stochastic convection–reaction–diffusion equations driven by additive Wiener noise

Mathematical methods in the applied sciences, 2021-11, Vol.44 (17), p.12860-12880

2021

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Null controllability and numerical method for Crocco equation with incomplete data based on an exponential integrator and finite difference-finite element method

Computers & mathematics with applications (1987), 2017-09, Vol.74 (5), p.1043-1058

2017

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Strong convergence of the linear implicit Euler method for the finite element discretization of semilinear non-autonomous SPDEs driven by multiplicative or additive noise

Applied numerical mathematics, 2020-01, Vol.147, p.222-253

2020

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Strong convergence of a fractional exponential integrator scheme for finite element discretization of time-fractional SPDE driven by fractional and standard Brownian motions

Communications in nonlinear science & numerical simulation, 2023-10, Vol.125, p.107371, Article 107371

2023

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Stochastic exponential integrators for a finite element discretisation of SPDEs with additive noise

Applied numerical mathematics, 2019-02, Vol.136, p.163-182

2019

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Semi‐Lagrangian discontinuous Galerkin methods for scalar hyperbolic conservation laws

International journal for numerical methods in fluids, 2022-05, Vol.94 (5), p.482-503

2022

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A Fitted Multi-point Flux Approximation Method for Pricing Two Options

Weak convergence of the finite element method for semilinear parabolic SPDEs driven by additive noise

Novel numerical techniques based on mimetic finite difference method for pricing two dimensional options

Bayesian parameter estimation in glacier mass-balance modelling using observations with distinct temporal resolutions and uncertainties

A fitted finite volume method for stochastic optimal control problems in finance

An exponential integrator for finite volume discretization of a reaction–advection–diffusion equation

Convergence of the Two Point Flux Approximation method and the fitted Two Point Flux Approximation method for options pricing with local volatility function

Convergence of the mimetic finite difference and fitted mimetic finite difference method for options pricing

Convergence of a fitted finite volume method for pricing two dimensional assets with stochastic volatilities

Exponential time integrators for stochastic partial differential equations in 3D reservoir simulation

A modified semi–implicit Euler–Maruyama scheme for finite element discretization of SPDEs with additive noise

Strong convergence of the linear implicit Euler method for the finite element discretization of semilinear SPDEs driven by multiplicative or additive noise

A note on exponential Rosenbrock–Euler method for the finite element discretization of a semilinear parabolic partial differential equation

Optimal strong convergence rates of numerical methods for semilinear parabolic SPDE driven by Gaussian noise and Poisson random measure

Weak Convergence of the Rosenbrock Semi-implicit Method for Semilinear Parabolic SPDEs Driven by Additive Noise

Optimal strong convergence rates of some Euler-type timestepping schemes for the finite element discretization SPDEs driven by additive fractional Brownian motion and Poisson random measure

Strong Convergence Analysis of the Stochastic Exponential Rosenbrock Scheme for the Finite Element Discretization of Semilinear SPDEs Driven by Multiplicative and Additive Noise

A Fitted L-Multi-Point Flux Approximation Method for Pricing Options

Strong convergence of a stochastic Rosenbrock-type scheme for the finite element discretization of semilinear SPDEs driven by multiplicative and additive noise

Higher order stable schemes for stochastic convection–reaction–diffusion equations driven by additive Wiener noise

Null controllability and numerical method for Crocco equation with incomplete data based on an exponential integrator and finite difference-finite element method

Strong convergence of the linear implicit Euler method for the finite element discretization of semilinear non-autonomous SPDEs driven by multiplicative or additive noise

Strong convergence of a fractional exponential integrator scheme for finite element discretization of time-fractional SPDE driven by fractional and standard Brownian motions

Stochastic exponential integrators for a finite element discretisation of SPDEs with additive noise

Semi‐Lagrangian discontinuous Galerkin methods for scalar hyperbolic conservation laws

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