Asif Lakhany

Algorithmics Inc.

Toronto, Ontario M5T 2C6

Canada

  • Algorithmics Inc.

SCHOLARLY PAPERS

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Scholarly Papers (3)

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1.

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 1,259 (28,486)
Citation 6

Abstract:

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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

2.

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 796 (54,228)
Citation 4

Abstract:

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

3.

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 630 (73,767)

Abstract:

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