Publications in collaboration with researchers from Indian Institute of Science Bangalore (2)

2019

  1. BENCHOP–SLV: the BENCHmarking project in Option Pricing–Stochastic and Local Volatility problems

    International Journal of Computer Mathematics, Vol. 96, Núm. 10, pp. 1910-1923

  2. Rolling Adjoints: Fast Greeks along Monte Carlo scenarios for early-exercise options

    Journal of Computational Science, Vol. 33, pp. 95-112