International Journal of Computer Mathematics
Collection
Collection
- ISSN: 0020-7160
Published by Taylor & Francis
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Efficient d-multigrid preconditioners for sparse-grid solution of high-dimensional partial differential equations Article
International Journal of Computer Mathematics, 1129-1147.H. bin Zubair (Hisham), C.C.W. Leentvaar and C.W. Oosterlee (Kees)
January 2007
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On the multisymplecticity of partitioned Runge-Kutta and splitting methods Article
International Journal of Computer Mathematics, 84(6), 847-869.June 2007
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The COS method for option valuation under the SABR dynamics Article
International Journal of Computer Mathematics, 95(2), 444-464.February 2017
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Quantifying credit portfolio losses under multi-factor models Article
International Journal of Computer Mathematics, 96(11), 2135-2156.G. Colldeforns-Papiol (Gemma), L. Ortiz Gracia (Luis) and C.W. Oosterlee (Kees)
March 2018 -
BENCHOP–SLV: the BENCHmarking project in Option Pricing–Stochastic and Local Volatility problems Article
International Journal of Computer Mathematics, 96(10), 1910-1923.L. von Sydow (Lina), S. Milovanović (Slobodan), E. Larsson (Elisabeth), K. In't Hout (Karel), M. Wiktorsson (Magnus), C.W. Oosterlee (Kees), V. Shcherbakov (Victor), M. Wyns (Maarten), Á. Leitao Rodriguez (Álvaro), S. Jain (Shashi), et al. T. Haentjens (Tinne) and J. Waldén (Johan)
November 2018
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Stochastic grid bundling method for backward stochastic differential equations Article
International Journal of Computer Mathematics, 96(11), 2272-2301.January 2019 -
Approximation of insurance liability contracts using radial basis functions In Proceedings
S.N. Singor (Stefan), E. Schols (Eric) and C.W. Oosterlee (Kees)
February 2019 -
Evaluation of integrals with fractional Brownian motion for different Hurst indices Article
International Journal of Computer MathematicsF. Gao (Fei), S. Liu (Shuaiqiang), C.W. Oosterlee (Kees) and N.M. Temme (Nico)
January 2023