Items for Miles, James

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Number of items: 3.

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.

This list was generated on Mon Dec 9 08:53:53 2019 GMT.