High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids. - Bertram Düring; Michel Fournié; Christof Heuer (J. Comput. Appl. Math., 2014)

High-Order Compact Schemes for Parabolic Problems with Mixed Derivatives in Multiple Space Dimensions. - Bertram Düring; Christof Heuer (SIAM J. Numer. Anal., 2015)

High-order ADI finite difference schemes for parabolic equations in the combination technique with application in finance. - Christian Hendricks; Christof Heuer; Matthias Ehrhardt 001; Michael Günther 005 (J. Comput. Appl. Math., 2017)

Time-adaptive high-order compact finite difference schemes for option pricing in a family of stochastic volatility models. - Bertram Düring; Christof Heuer (CoRR, 2021)