Christina Christara

University of Toronto - Department of Computer Science

Associate Professor

Department of Computer Science

University of Toronto

Toronto, Ontario M5S 3G4

Canada

SCHOLARLY PAPERS

11

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Scholarly Papers (11)

1.

A Parallel Implementation on GPUs of ADI Finite Difference Methods for Parabolic PDEs with Applications in Finance

Number of pages: 21 Posted: 03 Apr 2010 Last Revised: 02 Jan 2011
Duy-Minh Dang, Christina Christara and Kenneth R. Jackson
University of Queensland - School of Mathematics and Physics, University of Toronto - Department of Computer Science and University of Toronto - Department of Computer Science
Downloads 1,197 (16,544)
Citation 11

Abstract:

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Alternating Direction Implicit, ADI, Partial Differential Equation, PDE, Graphics Processing Units, GPUs, parallel computing, finite difference, multi-asset options

2.

A PDE Pricing Framework for Cross-Currency Interest Rate Derivatives

Number of pages: 11 Posted: 10 Nov 2009 Last Revised: 02 May 2010
Duy-Minh Dang, Christina Christara, Kenneth R. Jackson and Asif Lakhany
University of Queensland - School of Mathematics and Physics, University of Toronto - Department of Computer Science, University of Toronto - Department of Computer Science and Algorithmics Inc.
Downloads 1,180 (16,893)
Citation 4

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Power Reverse Dual Currency swaps, Bermudan cancelable, Partial Differential Equation PDE, Alternating Direction Implicit, Generalized Minimal Residual GMRES, Fast Fourier Transform FFT

3.

GPU Pricing of Exotic Cross-Currency Interest Rate Derivatives with a Foreign Exchange Volatility Skew Model

Number of pages: 16 Posted: 08 Feb 2010 Last Revised: 26 Feb 2011
Duy-Minh Dang, Christina Christara and Kenneth R. Jackson
University of Queensland - School of Mathematics and Physics, University of Toronto - Department of Computer Science and University of Toronto - Department of Computer Science
Downloads 745 (32,778)
Citation 1

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Power Reverse Dual Currency (PRDC) Swaps, Bermudan Cancelable, Partial Differential Equation (PDE), Alternating Direction Implicit (ADI), Finite Differences, Graphics Processing Units (GPUs), Parallel Computing

4.

An Efficient Numerical PDE Approach for Pricing Foreign Exchange Interest Rate Hybrid Derivatives

Number of pages: 38 Posted: 26 Mar 2012 Last Revised: 05 May 2013
Duy-Minh Dang, Christina Christara, Kenneth R. Jackson and Asif Lakhany
University of Queensland - School of Mathematics and Physics, University of Toronto - Department of Computer Science, University of Toronto - Department of Computer Science and Algorithmics Inc.
Downloads 696 (36,005)
Citation 3

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Power-Reverse Dual-Currency (PRDC) swaps, Target Redemption (TARN), knockout, Partial Differential Equation (PDE), finite differences,non-uniform grids

5.

An Efficient GPU-Based Parallel Algorithm for Pricing Multi-Asset American Options

Number of pages: 15 Posted: 08 Sep 2010 Last Revised: 02 Apr 2011
Duy-Minh Dang, Christina Christara and Kenneth R. Jackson
University of Queensland - School of Mathematics and Physics, University of Toronto - Department of Computer Science and University of Toronto - Department of Computer Science
Downloads 595 (44,411)

Abstract:

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American Option, Multi-Asset, Penalty Method, Alternating Direction Implicit Approximate Factorization (ADI-AF), time adaptivity, Graphics Processing Units, GPUs, Parallel Computing, Finite Difference

6.

A PDE Pricing Framework for Cross-Currency Interest Rate Derivatives with Target Redemption Features

International Conference of Numerical Analysis and Applied Mathematics, Symposium on Computational Finance, 2010
Number of pages: 4 Posted: 19 Jul 2010
Christina Christara, Duy-Minh Dang, Kenneth R. Jackson and Asif Lakhany
University of Toronto - Department of Computer Science, University of Queensland - School of Mathematics and Physics, University of Toronto - Department of Computer Science and Algorithmics Inc.
Downloads 521 (52,587)

Abstract:

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Alternating Direction Implicit, ADI, Power Reverse Dual Currency Swap, PRDC

7.

Adaptive and High-Order Methods for Valuing American Options

Journal of Computational Finance, Forthcoming
Number of pages: 25 Posted: 02 May 2010
Christina Christara and Duy-Minh Dang
University of Toronto - Department of Computer Science and University of Queensland - School of Mathematics and Physics
Downloads 324 (92,642)

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Adaptive Mesh Selection, Error Equidistribution, Quadratic Splines, Collocation, Finite Differences, European Option, American Option, Penalty Method

8.

Quadratic Spline Collocation for One-Dimensional Linear Parabolic Partial Differential Equations

Journal of Numerical Algorithms, July 2009
Number of pages: 31 Posted: 04 Oct 2009 Last Revised: 07 Apr 2010
Christina Christara, Tong Chen and Duy-Minh Dang
University of Toronto - Department of Computer Science, University of Toronto - Department of Computer Science and University of Queensland - School of Mathematics and Physics
Downloads 207 (146,991)

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Quadratic splines, Collocation, Parabolic PDEs, Crank-Nicolson, Stability, Optimal order of convergence, Adaptivity, American options

9.

A Highly Efficient Implementation on GPU Clusters of PDE-Based Pricing Methods for Path-Dependent Foreign Exchange Interest Rate Derivatives

Number of pages: 17 Posted: 23 Mar 2013 Last Revised: 28 Apr 2013
Duy-Minh Dang, Christina Christara and Kenneth R. Jackson
University of Queensland - School of Mathematics and Physics, University of Toronto - Department of Computer Science and University of Toronto - Department of Computer Science
Downloads 170 (175,892)

Abstract:

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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

10.

Partial Differential Equation Pricing of Contingent Claims Under Stochastic Correlation

SIAM Journal on Scientific Computing, Forthcoming
Number of pages: 32 Posted: 27 Nov 2017 Last Revised: 08 Dec 2017
Nat Leung, Christina Christara and Duy-Minh Dang
University of Toronto - Department of Computer Science, University of Toronto - Department of Computer Science and University of Queensland - School of Mathematics and Physics
Downloads 48 (395,332)

Abstract:

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Stochastic Correlation, Option Pricing, Numerical Solution, Asymptotic Solution, Partial Differential Equation

11.

An Efficient Numerical Partial Differential Equation Approach for Pricing Foreign Exchange Interest Rate Hybrid Derivatives

Journal of Computational Finance, Vol. 18, No. 4, Pages 39–93, 2015
Number of pages: 56 Posted: 15 Jun 2016
Duy-Minh Dang, Christina Christara, Kenneth R. Jackson and Asif Lakhany
University of Queensland - School of Mathematics and Physics, University of Toronto - Department of Computer Science, University of Toronto - Department of Computer Science and IBM Corporation
Downloads 0 (670,106)
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Abstract:

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Power-Reverse Dual-Currency Swaps, Target Redemption, Knockout, Partial Differential Equation, Finite Differences, Alternating Direction Implicit