Brisbane, Queesland 4067
University of Queensland - School of Mathematics and Physics
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Alternating Direction Implicit, ADI, Partial Differential Equation, PDE, Graphics Processing Units, GPUs, parallel computing, finite difference, multi-asset options
Power Reverse Dual Currency swaps, Bermudan cancelable, Partial Differential Equation PDE, Alternating Direction Implicit, Generalized Minimal Residual GMRES, Fast Fourier Transform FFT
Power Reverse Dual Currency (PRDC) Swaps, Bermudan Cancelable, Partial Differential Equation (PDE), Alternating Direction Implicit (ADI), Finite Differences, Graphics Processing Units (GPUs), Parallel Computing
American Option, Multi-Asset, Penalty Method, Alternating Direction Implicit Approximate Factorization (ADI-AF), time adaptivity, Graphics Processing Units, GPUs, Parallel Computing, Finite Difference
Power-Reverse Dual-Currency (PRDC) swaps, Target Redemption (TARN), knockout, Partial Differential Equation (PDE), finite differences,non-uniform grids
Power Reverse Dual Currency swaps, Bermudan cancelable, Partial Differential Equation, Alternating Direction Implicit, finite differences, Graphics Processing Units, parallel computing
Alternating Direction Implicit, ADI, Power Reverse Dual Currency Swap, PRDC
Adaptive Mesh Selection, Error Equidistribution, Quadratic Splines, Collocation, Finite Differences, European Option, American Option, Penalty Method
Quadratic splines, Collocation, Parabolic PDEs, Crank-Nicolson, Stability, Optimal order of convergence, Adaptivity, American options
Power Reverse Dual Currency (PRDC) Swaps, Bermudan Cancelable, Partial Differential Equation (PDE), Alternating Direction Implicit (ADI), Finite Differences, Graphics Processing Units (GPUs), GPU Clusters, MPI, Parallel Computing
mean-variance, impulse control, HJB equation, finite difference, viscosity solution
mean-variance, HJB equation, finite difference, viscosity solution, self-financing, continuous re-balancing, discrete re-balancing portfolio allocation
mean-variance, scalarization optimization, embedding, Pareto optimal, asset-liability, Hamilton-Jacobi-Bellman (HJB) equation, jump diffusion
multi-period mean-variance optimal, endowment, pension de-accumulation
conditional Monte Carlo, variance reduction, dimension reduction, partial-integro~differential~equations, jump diffusions, fast Fourier transform, normal, double-exponential
hybrid Monte Carlo Partial Differential Equation approach, Shannon wavelet, foreign exchange, multi-factor Cox-Ingersoll-Ross, dimension reduction
Shannon wavelets, dimension reduction, jump diffusions
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Power-Reverse Dual-Currency Swaps, Target Redemption, Knockout, Partial Differential Equation, Finite Differences, Alternating Direction Implicit
Monte Carlo, variance reduction, dimension reduction, multi-level, jump-diffusions, Lamperti-Backward-Euler, Milstein
Asian options, regime-switching, jump-diffusion, system of partial integro-differential equations, parallel computing
conditional Monte Carlo, variance reduction, dimension reduction, cross-currency, Fourier transform, partial differential equations
Monte Carlo, multilevel, conditional Monte Carlo, dimension reduction, variance reduction
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