Pricing Credit Default Swaps Under Multifactor Reduced-Form Models: A Differential Quadrature Approach

A new radial basis functions method for pricing American options under Merton's jump-diffusion model

(2012) A. A.E.F. Saib et al.   INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS

Enhancing credit default swap valuation with meshfree methods

(2011) Alexander Guarin et al.   EUROPEAN JOURNAL OF OPERATIONAL RESEARCH

Modelling the evolution of credit spreads using the Cox process within the HJM framework: A CDS option pricing model

(2010) Carl Chiarella et al.   EUROPEAN JOURNAL OF OPERATIONAL RESEARCH

Operator splitting methods for pricing American options under stochastic volatility

(2009) Samuli Ikonen et al.   NUMERISCHE MATHEMATIK

Exponential time integration for fast finite element solutions of some financial engineering problems

(2008) N. Rambeerich et al.   JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

Modeling the Dynamics of Credit Spreads with Stochastic Volatility

(2008) Kris Jacobs et al.   MANAGEMENT SCIENCE