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Software Frameworks in Quantitative Finance Part II: Developing C++ Applications for the Finite Difference Method (FDM)
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Software Frameworks in Quantitative Finance Part I: Fundamental Principles and Applications to Monte Carlo Methods
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Requirements Analysis of a Financial Risk Management System
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Numerical Analysis of Jump Diffusion Models
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The Datasim Design Patterns Self-Test
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The Datasim C++ Self-Test
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Financial Instrument Pricing using C++. Part I: Using C++ for European Option Pricing and Sensitivities
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Effectiveness of several FDM's for solving SDE's
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Fully Discrete Schemes
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Performance and Accuracy Analysis of Integration Schemes for the Black-Scholes Equation (Slides)
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Performance and Accuracy Analysis of Integration Schemes for the Black-Scholes Equation (Paper)
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Robust and Accurate Finite Difference Methods in Option Pricing. One Factor Models
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The Black-Scholes Equation
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Options: Approach for Parallel Implementation of Boyle's Monte Carlo Method
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The Accuracy and Efficiency of the Fitted Methods for solving the Black-Scholes Equation for European and American Options
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The Application of Duffy's Finite Difference Method to Barrier Options
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