18 citations · 20 across the 4 of their papers we have counts for
4 papers
Anisotropic Radial Basis Function Methods for Continental Size Ice Sheet Simulations
Gong Cheng, Victor Shcherbakov
In this paper we develop and implement anisotropic radial basis function methods for simulating the dynamics of ice sheets and glaciers. We test the methods on two problems: the we…
Influence of jump-at-default in IR and FX on Quanto CDS prices
A. Itkin, V. Shcherbakov, A. Veygman
We propose a new model for pricing Quanto CDS and risky bonds. The model operates with four stochastic factors, namely: hazard rate, foreign exchange rate, domestic interest rate,…
Pricing Derivatives under Multiple Stochastic Factors by Localized Radial Basis Function Methods
Slobodan Milovanović, Victor Shcherbakov
We propose two localized Radial Basis Function (RBF) methods, the Radial Basis Function Partition of Unity method (RBF-PUM) and the Radial Basis Function generated Finite Differenc…
A Least Squares Radial Basis Function Partition of Unity Method for Solving PDEs
Elisabeth Larsson, Victor Shcherbakov, Alfa Heryudono
Recently, collocation based radial basis function (RBF) partition of unity methods (PUM) for solving partial differential equations have been formulated and investigated numericall…