5 citations · 5 across the 7 of their papers we have counts for
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q-fin.CP2016
Calibration to American Options: Numerical Investigation of the de-Americanization
Olena Burkovska, Maximilian Gaß, Kathrin Glau +3
American options are the reference instruments for the model calibration of a large and important class of single stocks. For this task, a fast and accurate pricing algorithm is in…
math.NA2016
A two-scale approach for efficient on-the-fly operator assembly in massively parallel high performance multigrid codes
Simon Bauer, Marcus Mohr, Ulrich Rüde +3
Matrix-free finite element implementations of massively parallel geometric multigrid save memory and are often significantly faster than implementations using classical sparse matr…