CWI Institutional Repository
Scholarly works by researchers at Centrum Wiskunde & Informatica (CWI), the national research institute for mathematics and computer science in the Netherlands-
Demo Light Software
January 2011 -
A Fourier-based valuation method for Bermudan and barrier options under Heston's model Article
SIAM Journal on Financial Mathematics, 439-463.January 2011
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A local Fourier analysis framework for finite-element discretizations of systems of PDEs Article
Numerical Linear Algebra with Applications, 751-774.January 2011
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On the Heston model with stochastic interest rates Article
SIAM Journal on Financial Mathematics, 255-286.January 2011
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The Researcher’s Guide to the Data Deluge: Querying a Scientific Database in Just a Few Seconds In Proceedings
M.L. Kersten (Martin), S. Idreos (Stratos), S. Manegold (Stefan) and E. Liarou (Erietta)
January 2011
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Equivariant Gröbner bases and the two-factor model Article
Mathematics of Computation, 80(0908.1530), 1123-1133.January 2011
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January 2011
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January 2011