Michael D. Marcozzi
According to our database1, Michael D. Marcozzi authored at least 9 papers between 2001 and 2015.
Legend:Book In proceedings Article PhD thesis Other
Optimal control of ultradiffusion processes with application to mathematical finance.
Int. J. Comput. Math., 2015
Asset liquidity and the valuation of derivative securities.
J. Computational Applied Mathematics, 2012
An adaptive extrapolation discontinuous Galerkin method for the valuation of Asian options.
J. Computational Applied Mathematics, 2011
On the Approximation of Infinite Dimensional Optimal Stopping Problems with Application to Mathematical Finance.
J. Sci. Comput., 2008
Pricing Multi-Asset American Options: A Finite Element Method-of-Lines with Smooth Penalty.
J. Sci. Comput., 2007
A numerical analysis of variational valuation techniques for derivative securities.
Applied Mathematics and Computation, 2004
On the Valuation of Asian Options by Variational Methods.
SIAM J. Scientific Computing, 2003
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