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1

NUMERICAL SCHEMES FOR OPTION PRICING IN REGIME-SWITCHING JUMP DIFFUSION MODELS

FLORESCU, IONUT, LIU, RUIHUA, MARIANI, MARIA CRISTINA, SEWELL, GRANVILLE

Journal:

International Journal of Theoretical and Applied Finance

Year:

2013

Language:

english

File:

PDF, 654 KB

english, 2013

2

Derivation of the Black–Scholes Equation from Basic Principles

Sewell, Granville

Journal:

College Mathematics Journal

Year:

2018

Language:

english

File:

PDF, 906 KB

english, 2018

3

Numerical methods applied to option pricing models with transaction costs and stochastic volatility

Mariani, Maria C., SenGupta, Indranil, Sewell, Granville

Journal:

Quantitative Finance

Year:

2015

Language:

english

File:

PDF, 455 KB

english, 2015

4

People or Penguins: The Case for Optimal Pollutionby William F. Baxter

Review by: Granville H. Sewell

Journal:

Technology and Culture

Year:

1975

Language:

english

File:

PDF, 125 KB

english, 1975

5

Numerical solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Levy market

Florescu, Ionuţ, Mariani, Maria Cristina, Sewell, Granville

Journal:

Quantitative Finance

Year:

2014

Language:

english

File:

PDF, 1.36 MB

english, 2014

6

The Numerical Solution of Ordinary and Partial Differential Equations (Sewell/Numerical ODE/PDE 2E) || Appendix A - Solving PDEs with PDE2D

Sewell, Granville

Year:

2005

Language:

english

File:

PDF, 3.35 MB

english, 2005

7

The Numerical Solution of Ordinary and Partial Differential Equations (Sewell/Numerical ODE/PDE 2E) || Appendix C - MATLAB Programs

Sewell, Granville

Year:

2005

Language:

english

File:

PDF, 1.81 MB

english, 2005

8

Numerical schemes for pricing Asian options under state-dependent regime-switching jump–diffusion models

Dang, Duy-Minh, Nguyen, Duy, Sewell, Granville

Journal:

Computers & Mathematics with Applications

Year:

2015

Language:

english

File:

PDF, 515 KB

english, 2015

9

Solving PDEs in non-rectangular 3D regions using a collocation finite element method

Granville Sewell

Journal:

Advances in Engineering Software (Thomson Reuters)

Year:

2010

Language:

english

File:

PDF, 1015 KB

english, 2010

10

The Numerical Solution of Ordinary and Partial Differential Equations (Sewell/Numerical ODE/PDE 2E) || The Initial Value Diffusion Problem

Sewell, Granville

Year:

2005

Language:

english

File:

PDF, 2.39 MB

english, 2005

11

The influence of underload time on crack growth retardation of aluminum alloys

Granville Sewell, H. L. Marcus

Journal:

International Journal of Fracture

Year:

1977

Language:

english

File:

PDF, 126 KB

english, 1977

12

Conflicting beliefs: National implementation of the United Nations Framework Convention on Climate Change

Granville C. Sewell

Journal:

Environmental Impact Assessment Review

Year:

1996

Language:

english

File:

PDF, 854 KB

english, 1996

13

Analysis of a Finite Element Method ||

Sewell, Granville

Year:

1985

Language:

english

File:

PDF, 2.00 MB

english, 1985

14

Solving Partial Differential Equation Applications with PDE2D || Appendix D: Problem 5.7 Local Solvers

Sewell, Granville

Year:

2018

Language:

english

File:

PDF, 71 KB

english, 2018

15

Remark on “Algorithm 657: Software for Plotting Contour Surfaces of a Function of Three Variables”

Sewell, Granville

Journal:

ACM Transactions on Mathematical Software

Year:

1990

File:

PDF, 24 KB

1990

16

The Numerical Solution of Ordinary and Partial Differential Equations || Appendixes

Sewell, Granville

Year:

2015

Language:

english

File:

PDF, 1.76 MB

english, 2015

17

Computational Methods of Linear Algebra (Sewell/Computational) || Pure and Applied Mathematics

Sewell, Granville

Year:

2005

Language:

english

File:

PDF, 877 KB

english, 2005

18

Solving Partial Differential Equation Applications with PDE2D || Index

Sewell, Granville

Year:

2018

Language:

english

File:

PDF, 57 KB

english, 2018

19

Solving Partial Differential Equation Applications with PDE2D || Front Matter

Sewell, Granville

Year:

2018

File:

PDF, 80 KB

2018

20

Solving Partial Differential Equation Applications with PDE2D ||

Sewell, Granville

Year:

2018

File:

PDF, 15.08 MB

2018

21

Solving Partial Differential Equation Applications with PDE2D || References

Sewell, Granville

Year:

2018

Language:

english

File:

PDF, 55 KB

english, 2018

22

Solving Partial Differential Equation Applications with PDE2D || Index

Sewell, Granville

Year:

2018

File:

PDF, 57 KB

2018

23

Opinion

Granville Sewell

Journal:

The Mathematical Intelligencer

Year:

2000

Language:

english

File:

PDF, 1.71 MB

english, 2000

24

Solving Partial Differential Equation Applications with PDE2D || The Damped Spring and Pendulum Problems

Sewell, Granville

Year:

2018

Language:

english

File:

PDF, 242 KB

english, 2018

25

Solving Partial Differential Equation Applications with PDE2D || References

Sewell, Granville

Year:

2018

File:

PDF, 55 KB

2018

26

Computational Methods of Linear Algebra (Sewell/Computational) || Frontmatter

Sewell, Granville

Year:

2005

Language:

english

File:

PDF, 886 KB

english, 2005

27

Solution of Ground Water Flow Problems with General Purpose and Special Purpose Computer Codes

Molly M. Gribb, Granville Sewell

Journal:

Year:

1998

File:

PDF, 739 KB

1998

28

Analysis of a Finite Element Method || || Front_matter

Sewell, Granville

Year:

1985

Language:

english

File:

PDF, 2.00 MB

english, 1985

29

The Struggle to Bring Technology to Citiesby Urban Institute

Review by: Granville H. Sewell

Journal:

Technology and Culture

Year:

1972

Language:

english

File:

PDF, 106 KB

english, 1972

30

Quantitative Risk Assessment for Environmental and Occupational Healthby W. H. Hallenbeck; K. M. Cunningham

Review by: Granville H. Sewell

Journal:

American Scientist

Year:

1989

Language:

english

File:

PDF, 351 KB

english, 1989

31

Plotting contour surfaces of a function of three variables

Sewell, Granville

Journal:

ACM Transactions on Mathematical Software

Year:

1988

Language:

english

File:

PDF, 663 KB

english, 1988

32

Computational Methods of Linear Algebra (Sewell/Computational) || References

Sewell, Granville

Year:

2005

Language:

english

File:

PDF, 1.10 MB

english, 2005

33

The Numerical Solution of Ordinary and Partial Differential Equations (Sewell/Numerical ODE/PDE 2E) || Appendix B - The Fourier Stability Method

Sewell, Granville

Year:

2005

Language:

english

File:

PDF, 1.60 MB

english, 2005

34

Non-Fraunhofer Interference Pattern in Inhomogeneous Ferromagnetic Josephson Junctions

Alidoust, Mohammad, Sewell, Granville, Linder, Jacob

Journal:

Physical Review Letters

Year:

2012

Language:

english

File:

PDF, 640 KB

english, 2012

35

The Numerical Solution of Ordinary and Partial Differential Equations || The Initial Value Transport and Wave Problems

Sewell, Granville

Year:

2015

Language:

english

File:

PDF, 362 KB

english, 2015

36

The Numerical Solution of Ordinary and Partial Differential Equations (Sewell/Numerical ODE/PDE 2E) || Appendix D - Can “ANYTHING” Happen in an Open System?

Sewell, Granville

Year:

2005

Language:

english

File:

PDF, 1.11 MB

english, 2005

37

Computational Methods of Linear Algebra (Sewell/Computational) || Appendix A - MATLAB Programs

Sewell, Granville

Year:

2005

Language:

english

File:

PDF, 2.02 MB

english, 2005

38

The Numerical Solution of Ordinary and Partial Differential Equations (Sewell/Numerical ODE/PDE 2E) || Appendix E - Answers to Selected Exercises

Sewell, Granville

Year:

2005

Language:

english

File:

PDF, 1.62 MB

english, 2005

39

WAVEGIDE—An interactive waveguide program

Granville Sewell, Srba Cvetkovic

Journal:

Advances in Engineering Software (Barking)(1978)

Year:

1978

Language:

english

File:

PDF, 462 KB

english, 1978

40

Computational Methods of Linear Algebra || FRONT MATTER

Sewell, Granville

Year:

2014

Language:

english

File:

PDF, 1.05 MB

english, 2014

41

The Numerical Solution of Ordinary and Partial Differential Equations (Sewell/Numerical ODE/PDE 2E) || Direct Solution of Linear Systems

Sewell, Granville

Year:

2005

Language:

english

File:

PDF, 2.40 MB

english, 2005

42

Full vectorial simulation for characterizing loss or gain in optical devices with an accurate and automated finite-element program

Tzolov, Velko P., Fontaine, Marie, Sewell, Granville, Delâge, Andr

Journal:

Year:

1997

Language:

english

File:

PDF, 451 KB

english, 1997

43

Algorithm 657: software for plotting contour surfaces of a function of three var

Sewell, Granville

Journal:

ACM Transactions on Mathematical Software

Year:

1988

Language:

english

File:

PDF, 143 KB

english, 1988

44

Read the Label: Reducing Risk by Providing Informationby Susan G. Hadden

Review by: Granville H. Sewell

Journal:

American Scientist

Year:

1987

Language:

english

File:

PDF, 548 KB

english, 1987

45

Solving Partial Differential Equation Applications with PDE2D || Minimal Surface and Membrane Wave Equations

Sewell, Granville

Year:

2018

Language:

english

File:

PDF, 686 KB

english, 2018

46

The Numerical Solution of Ordinary and Partial Differential Equations (Sewell/Numerical ODE/PDE 2E) || Initial Value Ordinary Differential Equations

Sewell, Granville

Year:

2005

Language:

english

File:

PDF, 2.85 MB

english, 2005

47

Computational Methods of Linear Algebra (Sewell/Computational) || Reference Material

Sewell, Granville

Year:

2005

Language:

english

File:

PDF, 1.86 MB

english, 2005

48

[WORLD SCIENTIFIC Proceedings of the Symposium - Cornell University, USA (31 May – 3 June 2011)] Biological Information - Entropy, Evolution and Open Systems

Sewell, Granville

Language:

english

File:

PDF, 98 KB

english

49

Letters to the editor

A. Shen, Jason Rosenhouse, Granville Sewell

Journal:

The Mathematical Intelligencer

Year:

2001

Language:

english

File:

PDF, 2.81 MB

english, 2001

50

A model for fatigue crack closure based on surface roughness and residual strain

Granville Sewell, H.L. Marcus

Journal:

Scripta Metallurgica

Year:

1977

Language:

english

File:

PDF, 244 KB

english, 1977

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