18 citations · 96 across the 20 of their papers we have counts for
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math.NA2013★ 14 cited
An easy-to-use algorithm for simulating traffic flow on networks: numerical experiments
Gabriella Bretti, Maya Briani, Emiliano Cristiani
In this paper we propose a Godunov-based discretization of a hyperbolic system of conservation laws with discontinuous flux, modeling vehicular flow on a network. Each equation des…
q-fin.CP2013★ 18 cited
A hybrid approach for the implementation of the Heston model
Maya Briani, Lucia Caramellino, Antonino Zanette
We propose a hybrid tree-finite difference method in order to approximate the Heston model. We prove the convergence by embedding the procedure in a bivariate Markov chain and we s…