Kenneth R. Jackson

22 papers Misc 1Journal 18Unranked 2
YearRankTypeTitle / Venue / Authors
2020 J jnl
Mixing LSMC and PDE Methods to Price Bermudan Options.
SIAM J. Financial Math.
David Farahany, Kenneth R. Jackson, Sebastian Jaimungal
2017 J jnl
Correlated multivariate Poisson processes and extreme measures.
Model. Assist. Stat. Appl.
Michael Chiu, Kenneth R. Jackson, Alexander Kreinin
2017 J jnl
Efficient valuation of SCR via a neural network approach.
J. Comput. Appl. Math.
Seyed Amir Hejazi, Kenneth R. Jackson
2015 J jnl
Adaptive time-stepping for the strong numerical solution of stochastic differential equations.
Numer. Algorithms
Silvana Ilie, Kenneth R. Jackson, Wayne H. Enright
2014 J jnl
Graphics processing unit pricing of exotic cross-currency interest rate derivatives with a foreign exchange volatility skew model.
Concurr. Comput. Pract. Exp.
Duy Minh Dang, Christina C. Christara, Kenneth R. Jackson
2013 — conf
A Highly Efficient Implementation on GPU Clusters of PDE-Based Pricing Methods for Path-Dependent Foreign Exchange Interest Rate Derivatives.
ICCSA (5)
Duy Minh Dang, Christina C. Christara, Kenneth R. Jackson
2012 J jnl
An efficient graphics processing unit-based parallel algorithm for pricing multi-asset American options.
Concurr. Comput. Pract. Exp.
Duy Minh Dang, Christina C. Christara, Kenneth R. Jackson
2010 Misc conf
A PDE pricing framework for cross-currency interest rate derivatives.
ICCS
Duy Minh Dang, Christina C. Christara, Kenneth R. Jackson, Asif Lakhany
2007 J jnl
A Fast Shadowing Algorithm for High-Dimensional ODE Systems.
SIAM J. Sci. Comput.
Wayne B. Hayes, Kenneth R. Jackson
2007 J jnl
On Taylor Model Based Integration of ODEs.
SIAM J. Numer. Anal.
Markus Neher, Kenneth R. Jackson, Nedialko S. Nedialkov
2007 J jnl
Option Valuation using Fourier Space Time Stepping
CoRR
Kenneth R. Jackson, Sebastian Jaimungal, Vladimir Surkov
2006 J jnl
Quadratic spline methods for the shallow water equations on the sphere: Collocation.
Math. Comput. Simul.
Anita T. Layton, Christina C. Christara, Kenneth R. Jackson
2006 J jnl
Quadratic spline methods for the shallow water equations on the sphere: Galerkin.
Math. Comput. Simul.
Anita T. Layton, Christina C. Christara, Kenneth R. Jackson
2003 J jnl
PMIRKDC: a parallel mono-implicit Runge-Kutta code with defect control for boundary value ODEs.
Parallel Comput.
P. H. Muir, R. N. Pancer, Kenneth R. Jackson
2003 J jnl
Rigorous Shadowing of Numerical Solutions of Ordinary Differential Equations by Containment.
SIAM J. Numer. Anal.
Wayne B. Hayes, Kenneth R. Jackson
2001 — ch.
A New Perspective on the Wrapping Effect in Interval Methods for Initial Value Problems for Ordinary Differential Equations.
Perspectives on Enclosure Methods
Nedialko S. Nedialkov, Kenneth R. Jackson
2001 J jnl
An Effective High-Order Interval Method for Validating Existence and Uniqueness of the Solution of an IVP for an ODE.
Reliab. Comput.
Nedialko S. Nedialkov, Kenneth R. Jackson, John D. Pryce
1999 J jnl
An Interval Hermite-Obreschkoff Method for Computing Rigorous Bounds on the Solution of an Initial Value Problem for an Ordinary Differential Equation.
Reliab. Comput.
Nedialko S. Nedialkov, Kenneth R. Jackson
1999 J jnl
Validated solutions of initial value problems for ordinary differential equations.
Appl. Math. Comput.
Nedialko S. Nedialkov, Kenneth R. Jackson, George F. Corliss
1998 — conf
An Interval Hermite-Obreschkoff Method for Computing Rigorous Bounds on the Solution of an Initial Value Problem for an Ordinary Differential Equation.
SCAN
Nedialko S. Nedialkov, Kenneth R. Jackson
1997 J jnl
DIMSEMs - diagonally implicit single-eigenvalue methods for the numerical solution of stiff ODEs on parallel computers.
Adv. Comput. Math.
Robert F. Enenkel, Kenneth R. Jackson
1986 J jnl
Interpolants for Runge-Kutta formulas.
ACM Trans. Math. Softw.
Wayne H. Enright, Kenneth R. Jackson, Syvert P. Nørsett, Per Grove Thomsen