Items for Heuer, Christof

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Number of items: 4.

Article

Düring, Bertram and Heuer, Christof (2015) High-order compact schemes for parabolic problems with mixed derivatives in multiple space dimensions. SIAM Journal on Numerical Analysis, 53 (5). pp. 2113-2134. ISSN 0036-1429

Düring, Bertram, Fournié, Michel and Heuer, Christof (2014) High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids. Journal of Computational and Applied Mathematics, 271. pp. 247-266. ISSN 0377-0427

Book Section

Düring, Bertram and Heuer, Christof (2015) High-order compact schemes for Black-Scholes basket options. In: Progress in industrial mathematics at ECMI 2014. Mathematics in industry . Springer. ISBN 9783642427596

Thesis

Heuer, Christof (2014) High-order compact finite difference schemes for parabolic partial differential equations with mixed derivative terms and applications in computational finance. Doctoral thesis (PhD), University of Sussex.

This list was generated on Tue Aug 22 02:48:27 2017 BST.