13 citations · 13 across the 2 of their papers we have counts for
4 papers · 1 filter
Symbol-based residual certification of reduced and neural surrogates for tempered-fractional CGMY pricing
Davood Damircheli
We certify reduced and neural approximations of European-put price trajectories under the Carr--Geman--Madan--Yor model by residual bounds for the spline Galerkin discretisation of…
A B-Spline Galerkin Method for Option Pricing under the CGMY Tempered Stable Process
Davood Damircheli
We develop and analyze a B-spline scaling-function Galerkin method for the tempered fractional partial differential equation governing European and American option prices under the…
On Meshfree Collocation to Compute the Probability of Default under a Regime-Switching Synchronous-Jump Tempered Stable Lévy Model
Davood Damircheli, Mohsen Razzaghi, Seyed-Mohammad-Mahdi Kazemi +1
In the paper [Hainaut, D. and Colwell, D.B., {\rm A structural model for credit risk with switching processes and synchronous jumps}, The European Journal of Finance 22(11) (2016):…
On Adaptive Multiple-Shooting Method for Stochastic Multi-Point Boundary Value Problems
Ali Foroush Bastani, Davood Damircheli
This paper presents an adaptive multiple-shooting method to solve stochastic multi-point boundary value problems. The heuristic to choose the shooting points is based on separating…