114 citations
Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.
- Institute for Nuclear Research and Nuclear EnergyBG5 papers
- Bulgarian Academy of SciencesBG4 papers
- Consejo Superior de Investigaciones CientíficasES2 papers
- Instituto de Estructura de la MateriaES2 papers
- Joint Institute for Nuclear ResearchRU2 papers
- Universidad Complutense de MadridES2 papers
- Aristotle University of ThessalonikiGR1 paper
- Comenius University BratislavaSK1 paper
- Copenhagen Business SchoolDK1 paper
- Czech Academy of SciencesCZ1 paper
- Eötvös Loránd UniversityHU1 paper
- Institute of Chemistry of the Slovak Academy of SciencesSK1 paper
Showing 2015Show all
3 papers · 1 filter
q-fin.CP2015
IMEX schemes for a Parabolic-ODE system of European Options with Liquidity Shocks
W. Mudzimbabwe, Lubin G. Vulkov
The coupled system, where one is a degenerate parabolic equation and the other has not a diffusion term arises in the modeling of European options with liquidity shocks. Two implic…
q-fin.MF2015
Well-Posedness and Comparison Principle for Option Pricing with Switching Liquidity
Tihomir Gyulov, Lyuben Valkov
We consider an integro-differential equation derived from a system of coupled parabolic PDE and an ODE which describes an European option pricing with liquidity shocks. We study th…
math.NA2015★ 15 cited
A Second Order Approximation for the Caputo Fractional Derivative
Yuri Dimitrov
When , the approximation for the Caputo derivative where $σ_0^{(α)} = 1, σ_n^{(α)} =…