Numerical evaluation of complex logarithms in the Cox-Ingersoll-Ross model. - Long Teng 002; Matthias Ehrhardt 001; Michael Günther 005 (Int. J. Comput. Math., 2013)

The pricing of Quanto options under dynamic correlation. - Long Teng 002; Matthias Ehrhardt 001; Michael Günther 005 (J. Comput. Appl. Math., 2015)

A versatile approach for stochastic correlation using hyperbolic functions. - Long Teng 002; Cathrin van Emmerich; Matthias Ehrhardt 001; Michael Günther 005 (Int. J. Comput. Math., 2016)

A Multistep Scheme to Solve Backward Stochastic Differential Equations for Option Pricing on GPUs. - Lorenc Kapllani; Long Teng 002; Matthias Ehrhardt 001 (HPC, 2019)

Multistep schemes for solving backward stochastic differential equations on GPU. - Lorenc Kapllani; Long Teng 002 (CoRR, 2019)

Accelerated implementation of the ADI schemes for the Heston model with stochastic correlation. - Long Teng 002; A. Clevenhaus (J. Comput. Sci., 2019)

Deep Learning algorithms for solving high dimensional nonlinear Backward Stochastic Differential Equations. - Lorenc Kapllani; Long Teng 002 (CoRR, 2020)

High-order Combined Multi-step Scheme for Solving Forward Backward Stochastic Differential Equations. - Long Teng 002; Weidong Zhao (J. Sci. Comput., 2021)

Gradient boosting-based numerical methods for high-dimensional backward stochastic differential equations. - Long Teng 002 (Appl. Math. Comput., 2022)

Uncertainty quantification for deep learning-based schemes for solving high-dimensional backward stochastic differential equations. - Lorenc Kapllani; Long Teng 002; Matthias Rottmann (CoRR, 2023)

A backward differential deep learning-based algorithm for solving high-dimensional nonlinear backward stochastic differential equations. - Lorenc Kapllani; Long Teng 002 (CoRR, 2024)

A forward differential deep learning-based algorithm for solving high-dimensional nonlinear backward stochastic differential equations. - Lorenc Kapllani; Long Teng 002 (CoRR, 2024)