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High-order finite element methods for time-fractional partial differential equations

Journal of computational and applied mathematics, 2011-04, Vol.235 (11), p.3285-3290

2011

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Fast Laplace transform methods for the PDE system of Parisian and Parasian option pricing

Science China. Mathematics, 2022, Vol.65 (6), p.1229-1246

2022

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Finite Difference Methods for the Hamilton–Jacobi–Bellman Equations Arising in Regime Switching Utility Maximization

Journal of scientific computing, 2020-12, Vol.85 (3), p.55, Article 55

2020

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Blow-up solutions of nonlinear Volterra integro-differential equations

Mathematical and computer modelling, 2011-12, Vol.54 (11), p.2551-2559

Ma, Jingtang

2011

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Convergence Analysis of Iterative Laplace Transform Methods for the Coupled PDEs from Regime-Switching Option Pricing

Journal of scientific computing, 2018-06, Vol.75 (3), p.1656-1674

2018

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Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates

Mathematical methods of operations research (Heidelberg, Germany), 2021-04, Vol.93 (2), p.359-412

2021

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Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization

European journal of operational research, 2017-11, Vol.262 (3), p.851-862

2017

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CONVERGENCE RATES OF MOVING MESH RANNACHER METHODS FOR PDES OF ASIAN OPTIONS PRICING

Journal of computational mathematics, 2016-05, Vol.34 (3), p.240-261

2016

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Moving finite element methods for time fractional partial differential equations

Science China. Mathematics, 2013-06, Vol.56 (6), p.1287-1300

2013

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Convergence rates of moving mesh methods for moving boundary partial integro–differential equations from regime-switching jump–diffusion Asian option pricing

Journal of computational and applied mathematics, 2020-05, Vol.370, p.112598, Article 112598

2020

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A study of moving mesh PDE methods for numerical simulation of blowup in reaction diffusion equations

Journal of computational physics, 2008-06, Vol.227 (13), p.6532-6552

2008

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A fast algorithm for simulation of rough volatility models

Quantitative finance, 2022-03, Vol.22 (3), p.447-462

2022

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Moving mesh methods for blowup in reaction–diffusion equations with traveling heat source

Journal of computational physics, 2009-10, Vol.228 (18), p.6977-6990

2009

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Finite element methods for partial Volterra integro-differential equations on two-dimensional unbounded spatial domains

Applied mathematics and computation, 2007-03, Vol.186 (1), p.598-609

Ma, Jingtang

2007

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Spectral collocation methods for Volterra-integro differential equations with noncompact kernels

Journal of computational and applied mathematics, 2013-05, Vol.244, p.115-124

2013

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Finite element and DG analysis for neutral-type Volterra integro-differential equations with weakly singular kernels

Journal of mathematical analysis and applications, 2009-08, Vol.356 (2), p.674-688

Ma, Jingtang

2009

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An efficient and provable sequential quadratic programming method for American and swing option pricing

European journal of operational research, 2024-07, Vol.316 (1), p.19-35

2024

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A New Finite Element Analysis for Inhomogeneous Boundary-Value Problems of Space Fractional Differential Equations

Journal of scientific computing, 2017, Vol.70 (1), p.342-354

Ma, Jingtang

2017

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Numerical methods for a partial differential equation with spatial delay arising in option pricing under hard-to-borrow model

Computers & mathematics with applications (1987), 2018-11, Vol.76 (9), p.2129-2140

2018

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On a graded mesh method for a class of weakly singular Volterra integral equations

Journal of computational and applied mathematics, 2009-09, Vol.231 (2), p.807-814

2009

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High-order methods for the option pricing under multivariate rough volatility models

Computers & mathematics with applications (1987), 2023-06, Vol.139, p.173-183

2023

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Convergence rates of the numerical methods for the delayed PDEs from option pricing under regime switching hard-to-borrow models

International journal of computer mathematics, 2020-11, Vol.97 (11), p.2210-2232

2020

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Dual control Monte-Carlo method for tight bounds of value function under Heston stochastic volatility model

European journal of operational research, 2020-01, Vol.280 (2), p.428-440

2020

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Convergence analysis for continuous-time Markov chain approximation of stochastic local volatility models: Option pricing and Greeks

Journal of computational and applied mathematics, 2022-04, Vol.404, p.113901, Article 113901

2022

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Cascading Multilevel Finite-Element Analysis for Local and Nonlocal Parabolic Problems

Numerical functional analysis and optimization, 2011-03, Vol.32 (4), p.436-452

Ma, Jingtang

2011

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High-order finite element methods for time-fractional partial differential equations

Fast Laplace transform methods for the PDE system of Parisian and Parasian option pricing

Finite Difference Methods for the Hamilton–Jacobi–Bellman Equations Arising in Regime Switching Utility Maximization

Blow-up solutions of nonlinear Volterra integro-differential equations

Convergence Analysis of Iterative Laplace Transform Methods for the Coupled PDEs from Regime-Switching Option Pricing

Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates

Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization

CONVERGENCE RATES OF MOVING MESH RANNACHER METHODS FOR PDES OF ASIAN OPTIONS PRICING

Moving finite element methods for time fractional partial differential equations

Convergence rates of moving mesh methods for moving boundary partial integro–differential equations from regime-switching jump–diffusion Asian option pricing

A study of moving mesh PDE methods for numerical simulation of blowup in reaction diffusion equations

A fast algorithm for simulation of rough volatility models

Moving mesh methods for blowup in reaction–diffusion equations with traveling heat source

Finite element methods for partial Volterra integro-differential equations on two-dimensional unbounded spatial domains

Spectral collocation methods for Volterra-integro differential equations with noncompact kernels

Finite element and DG analysis for neutral-type Volterra integro-differential equations with weakly singular kernels

An efficient and provable sequential quadratic programming method for American and swing option pricing

A New Finite Element Analysis for Inhomogeneous Boundary-Value Problems of Space Fractional Differential Equations

Numerical methods for a partial differential equation with spatial delay arising in option pricing under hard-to-borrow model

On a graded mesh method for a class of weakly singular Volterra integral equations

High-order methods for the option pricing under multivariate rough volatility models

Convergence rates of the numerical methods for the delayed PDEs from option pricing under regime switching hard-to-borrow models

Dual control Monte-Carlo method for tight bounds of value function under Heston stochastic volatility model

Convergence analysis for continuous-time Markov chain approximation of stochastic local volatility models: Option pricing and Greeks

Cascading Multilevel Finite-Element Analysis for Local and Nonlocal Parabolic Problems

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