Kenneth R. Jackson

University of Toronto - Department of Computer Science

Sandford Fleming Building

10 King's College Road, Room 3302

Toronto, Ontario M5S 3G4

Canada

SCHOLARLY PAPERS

13

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Scholarly Papers (13)

1.

Fourier Space Time-Stepping for Option Pricing With Levy Models

Journal of Computational Finance, Vol. 12, No. 2, pp. 1-29, 2008
Number of pages: 30 Posted: 10 Oct 2007 Last Revised: 01 Jul 2009
Kenneth R. Jackson, Sebastian Jaimungal and Vladimir Surkov
University of Toronto - Department of Computer Science, University of Toronto - Department of Statistics and RBC Capital Markets
Downloads 1,756 (8,991)
Citation 13

Abstract:

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Fourier space time-stepping, option pricing, Levy processes, multi-asset options

2.

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 1,198 (16,546)
Citation 11

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

3.

A PDE Pricing Framework for Cross-Currency Interest Rate Derivatives

Number of pages: 11 Posted: 10 Nov 2009 Last Revised: 02 May 2010
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 (16,898)
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

4.

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 746 (32,790)
Citation 1

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), Parallel Computing

5.

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
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 (36,015)
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

6.

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 (44,426)

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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

7.

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
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 (52,600)

Abstract:

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

8.

Mixing LSMC and PDE Methods to Price Bermudan Options

Number of pages: 49 Posted: 18 Nov 2016 Last Revised: 04 Mar 2019
David Farahany, Kenneth R. Jackson and Sebastian Jaimungal
University of Toronto - Department of Statistics, University of Toronto - Department of Computer Science and University of Toronto - Department of Statistics
Downloads 201 (151,097)

Abstract:

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least-squares Monte Carlo, bermudan options, stochastic volatility, variance reduction, dimension reduction

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 (175,927)

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.

Dimension and Variance Reduction for Monte Carlo Methods for High-Dimensional Models in Finance

Number of pages: 27 Posted: 21 Jan 2015 Last Revised: 13 Dec 2015
Duy-Minh Dang, Kenneth R. Jackson and Mohammadreza Mohammadi
University of Queensland - School of Mathematics and Physics, University of Toronto - Department of Computer Science and University of Toronto - Department of Statistics
Downloads 149 (196,626)

Abstract:

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conditional Monte Carlo, variance reduction, dimension reduction, cross-currency, Fourier transform, partial differential equations

11.

A Dimension and Variance Reduction Monte-Carlo Method for Option Pricing under Jump-Diffusion Models

Number of pages: 35 Posted: 09 Sep 2017
Duy-Minh Dang, Kenneth R. Jackson and Scott Sues
University of Queensland - School of Mathematics and Physics, University of Toronto - Department of Computer Science and University of Queensland - School of Mathematics and Physics
Downloads 76 (314,689)
Citation 1

Abstract:

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conditional Monte Carlo, variance reduction, dimension reduction, partial-integro~differential~equations, jump diffusions, fast Fourier transform, normal, double-exponential

12.

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
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 (670,354)
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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

13.

Fast Valuation of Forward-Starting Basket Default Swaps

International Journal of Theoretical and Applied Finance (IJTAF), 2010
Posted: 15 Jun 2010 Last Revised: 21 Jun 2010
Kenneth R. Jackson, Alexander Kreinin and Wanhe Zhang
University of Toronto - Department of Computer Science, affiliation not provided to SSRN and Department of Computer Science, University of Toronto

Abstract:

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Credit derivatives, forward-starting basket default swaps, conditional independence, hybrid methods