Article

Düring, Bertram and Miles, James (2016) High-order ADI scheme for option pricing in stochastic volatility models. Journal of Computational and Applied Mathematics, 316. pp. 109-121. ISSN 0377-0427

Book Section

Düring, Bertram, Miles, James and Hendricks, Christian (2017) Sparse grid high-order ADI scheme for option pricing in stochastic volatility models. In: Erhhardt, Matthias, Gunther, Michael and ter Maten, E. Jan W. (eds.) Novel Methods of Computational Finance. The European Consortium of Mathematics in Industry, 25 . Springer International, pp. 295-312. ISBN 9783319612829

Thesis

Miles, James (2019) Numerical and optimal control methods for partial differential equations arising in computational finance. Doctoral thesis (PhD), University of Sussex.