28 citations · 213 across the 31 of their papers we have counts for
4 papers · 1 filter
Reduced-Order Modeling for Heston Stochastic Volatility Model
Sinem Kozpınar, Murat Uzunca, Bülent Karasözen
In this paper, we compare the intrusive proper orthogonal decomposition (POD) with Galerkin projection and the data-driven dynamic mode decomposition (DMD), for Heston's option pri…
Energy stable model order reduction for the Allen-Cahn equation
Murat Uzunca, Bülent Karasözen
The Allen-Cahn equation is a gradient system, where the free-energy functional decreases monotonically in time. We develop an energy stable reduced order model (ROM) for a gradient…
Pricing European and American Options under Heston Model using Discontinuous Galerkin Finite Elements
Sinem Kozpınar, Murat Uzunca, Bülent Karasözen
This paper deals with pricing of European and American options, when the underlying asset price follows Heston model, via the interior penalty discontinuous Galerkin finite element…
Moving Mesh Discontinuous Galerkin Methods for PDEs with Traveling Waves
Murat Uzunca, Bülent Karasözen, Tuğba Küçükseyhan
In this paper, a moving mesh discontinuous Galerkin (dG) method is developed for nonlinear partial differential equations (PDEs) with traveling wave solutions. The moving mesh stra…