Maarten Wyns

According to our database, Maarten Wyns authored at least 5 papers between 2016 and 2023.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2023

Generating drawdown-realistic financial price paths using path signatures.

Emiel Lemahieu, Kris Boudt, Maarten Wyns

CoRR, 2023

2019

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

Lina von Sydow, Slobodan Milovanovic, Elisabeth Larsson, Karel J. in 't Hout, Magnus Wiktorsson, Cornelis W. Oosterlee, Victor Shcherbakov, Maarten Wyns, Álvaro Leitao, Shashi Jain, Tinne Haentjens, Johan Waldén

Int. J. Comput. Math., 2019

2018

An adjoint method for the exact calibration of stochastic local volatility models.

Maarten Wyns, Karel J. in 't Hout

J. Comput. Sci., 2018

2017

A finite volume - alternating direction implicit approach for the calibration of stochastic local volatility models.

Maarten Wyns, Jacques Du Toit

Int. J. Comput. Math., 2017

2016

Convergence of the Modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term.

Karel J. in 't Hout, Maarten Wyns

J. Comput. Appl. Math., 2016