Lina von Sydow

18 papers Misc 1Journal 16Unranked 1
YearRankTypeTitle / Venue / Authors
2020 J jnl
A high order method for pricing of financial derivatives using Radial Basis Function generated Finite Differences.
Math. Comput. Simul.
Slobodan Milovanovic, Lina von Sydow
2019 J jnl
BENCHOP - SLV: the BENCHmarking project in Option Pricing - Stochastic and Local Volatility problems.
Int. J. Comput. Math.
Lina von Sydow, Slobodan Milovanovic, Elisabeth Larsson, Karel J. in 't Hout, Magnus Wiktorsson, Cornelis W. Oosterlee, Victor Shcherbakov, Maarten Wyns, Álvaro Leitao, Shashi Jain, Tinne Haentjens, Johan Waldén
2018 J jnl
A High Order Method for Pricing of Financial Derivatives using Radial Basis Function generated Finite Differences.
CoRR
Slobodan Milovanovic, Lina von Sydow
2018 J jnl
Forward deterministic pricing of options using Gaussian radial basis functions.
J. Comput. Sci.
Jamal Amani Rad, Lars Josef Höök, Elisabeth Larsson, Lina von Sydow
2018 J jnl
Radial Basis Function generated Finite Differences for option pricing problems.
Comput. Math. Appl.
Slobodan Milovanovic, Lina von Sydow
2018 J jnl
Special issue - Computational and algorithmic finance.
J. Comput. Sci.
Karel J. in 't Hout, Andrey Itkin, Lina von Sydow, Jari Toivanen
2018 J jnl
The Kolmogorov forward fractional partial differential equation for the CGMY-process with applications in option pricing.
Comput. Math. Appl.
Lars Josef Höök, Gustav Ludvigsson, Lina von Sydow
2017 J jnl
Accurate and stable time stepping in ice sheet modeling.
J. Comput. Phys.
Gong Cheng, Per Lötstedt, Lina von Sydow
2016 J jnl
Preconditioning for Radial Basis Function Partition of Unity Methods.
J. Sci. Comput.
Alfa R. H. Heryudono, Elisabeth Larsson, Alison Ramage, Lina von Sydow
2015 J jnl
Adaptive finite differences and IMEX time-stepping to price options under Bates model.
Int. J. Comput. Math.
Lina von Sydow, Jari Toivanen, C. Zhang
2015 J jnl
BENCHOP - The BENCHmarking project in option pricing.
Int. J. Comput. Math.
Lina von Sydow, Lars Josef Höök, Elisabeth Larsson, Erik Lindström, Slobodan Milovanovic, Jonas Persson, Victor Shcherbakov, Yuri Shpolyanskiy, Samuel Sirén, Jari Toivanen, Johan Waldén, Magnus Wiktorsson, Jeremy Levesley, Juxi Li, Cornelis W. Oosterlee, Maria J. Ruijter, Alexander Toropov, Yangzhang Zhao
2015 J jnl
Numerical option pricing without oscillations using flux limiters.
Comput. Math. Appl.
Per Lötstedt, Lina von Sydow
2015 — conf
Pricing of Basket Options Using Dimension Reduction and Adaptive Finite Differences in Space, and Discontinuous Galerkin in Time.
ENUMATH
Lina von Sydow, Paria Ghafari, Erik Lehto, Mats Wångersjö
2014 J jnl
An IMEX-Scheme for Pricing Options under Stochastic Volatility Models with Jumps.
SIAM J. Sci. Comput.
Santtu Salmi, Jari Toivanen, Lina von Sydow
2013 Misc conf
Iterative Methods for Pricing American Options under the Bates Model.
ICCS
Santtu Salmi, Jari Toivanen, Lina von Sydow
2010 J jnl
Pricing American options using a space-time adaptive finite difference method.
Math. Comput. Simul.
Jonas Persson, Lina von Sydow
2009 J jnl
A highly accurate adaptive finite difference solver for the Black-Scholes equation.
Int. J. Comput. Math.
Gunilla Linde, Jonas Persson, Lina von Sydow
2007 J jnl
Space-time adaptive finite difference method for European multi-asset options.
Comput. Math. Appl.
Per Lötstedt, Jonas Persson, Lina von Sydow, Johan Tysk