On the use of boundary conditions for variational formulations arising in financial mathematics. - Michael D. Marcozzi; Seungmook Choi; C. S. Chen (Appl. Math. Comput., 2001)

On the Approximation of Optimal Stopping Problems with Application to Financial Mathematics. - Michael D. Marcozzi (SIAM J. Sci. Comput., 2001)

On the Valuation of Asian Options by Variational Methods. - Michael D. Marcozzi (SIAM J. Sci. Comput., 2003)

A numerical analysis of variational valuation techniques for derivative securities. - I. Sapariuc; Michael D. Marcozzi; J. E. Flaherty (Appl. Math. Comput., 2004)

Pricing Multi-Asset American Options: A Finite Element Method-of-Lines with Smooth Penalty. - Pavlo Kovalov; Vadim Linetsky; Michael D. Marcozzi (J. Sci. Comput., 2007)

On the Approximation of Infinite Dimensional Optimal Stopping Problems with Application to Mathematical Finance. - Michael D. Marcozzi (J. Sci. Comput., 2008)

An adaptive extrapolation discontinuous Galerkin method for the valuation of Asian options. - Michael D. Marcozzi (J. Comput. Appl. Math., 2011)

Asset liquidity and the valuation of derivative securities. - Yanan Jiang; Michael D. Marcozzi (J. Comput. Appl. Math., 2012)

Optimal control of ultradiffusion processes with application to mathematical finance. - Michael D. Marcozzi (Int. J. Comput. Math., 2015)