Michael D. Marcozzi

According to our database1, Michael D. Marcozzi authored at least 9 papers between 2001 and 2015.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of four.

Timeline

Legend:

Book 
In proceedings 
Article 
PhD thesis 
Other 

Links

On csauthors.net:

Bibliography

2015
Optimal control of ultradiffusion processes with application to mathematical finance.
Int. J. Comput. Math., 2015

2012
Asset liquidity and the valuation of derivative securities.
J. Computational Applied Mathematics, 2012

2011
An adaptive extrapolation discontinuous Galerkin method for the valuation of Asian options.
J. Computational Applied Mathematics, 2011

2008
On the Approximation of Infinite Dimensional Optimal Stopping Problems with Application to Mathematical Finance.
J. Sci. Comput., 2008

2007
Pricing Multi-Asset American Options: A Finite Element Method-of-Lines with Smooth Penalty.
J. Sci. Comput., 2007

2004
A numerical analysis of variational valuation techniques for derivative securities.
Applied Mathematics and Computation, 2004

2003
On the Valuation of Asian Options by Variational Methods.
SIAM J. Scientific Computing, 2003

2001
On the Approximation of Optimal Stopping Problems with Application to Financial Mathematics.
SIAM J. Scientific Computing, 2001

On the use of boundary conditions for variational formulations arising in financial mathematics.
Applied Mathematics and Computation, 2001


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