Christina C. Christara

Publication Activity (10 Years)

Years Active: 1990-2023
Publications (10 Years): 6

Top Topics

Finite Difference

Black Scholes Model

Mumford Shah Model

Top Venues

Appl. Math. Comput.

SIAM J. Numer. Anal.

J. Comput. Appl. Math.

Publications

Dawei Wang, Kirill Serkh, Christina C. Christara
A high-order deferred correction method for the solution of free boundary problems using penalty iteration, with an application to American option pricing. J. Comput. Appl. Math. 432 (2023)
Dawei Wang, Kirill Serkh, Christina C. Christara
A high-order deferred correction method for the solution of free boundary problems using penalty iteration, with an application to American option pricing. CoRR (2022)
Christina C. Christara, Ruining Wu
Penalty and penalty-like methods for nonlinear HJB PDEs. Appl. Math. Comput. 425 (2022)
Nat Chun-Ho Leung, Christina C. Christara, Duy-Minh Dang
Partial Differential Equation Pricing of Contingent Claims under Stochastic Correlation. SIAM J. Sci. Comput. 40 (1) (2018)
Christina C. Christara, Nat Chun-Ho Leung
Analysis of Quantization Error in Financial Pricing via Finite Difference Methods. SIAM J. Numer. Anal. 56 (3) (2018)
Christina C. Christara, Nat Chun-Ho Leung
Option pricing in jump diffusion models with quadratic spline collocation. Appl. Math. Comput. 279 (2016)
Duy Minh Dang, Christina C. Christara, Kenneth R. Jackson
Graphics processing unit pricing of exotic cross-currency interest rate derivatives with a foreign exchange volatility skew model. Concurr. Comput. Pract. Exp. 26 (9) (2014)
Duy Minh Dang, Christina C. Christara, Kenneth R. Jackson
A Highly Efficient Implementation on GPU Clusters of PDE-Based Pricing Methods for Path-Dependent Foreign Exchange Interest Rate Derivatives. ICCSA (5) (2013)
Duy Minh Dang, Christina C. Christara, Kenneth R. Jackson
An efficient graphics processing unit-based parallel algorithm for pricing multi-asset American options. Concurr. Comput. Pract. Exp. 24 (8) (2012)
Christina C. Christara, Tong Chen, Duy Minh Dang
Quadratic spline collocation for one-dimensional linear parabolic partial differential equations. Numer. Algorithms 53 (4) (2010)
Duy Minh Dang, Christina C. Christara, Kenneth R. Jackson, Asif Lakhany
A PDE pricing framework for cross-currency interest rate derivatives. ICCS (1) (2010)
Anita T. Layton, Christina C. Christara, Kenneth R. Jackson
Quadratic spline methods for the shallow water equations on the sphere: Collocation. Math. Comput. Simul. 71 (3) (2006)
Anita T. Layton, Christina C. Christara, Kenneth R. Jackson
Quadratic spline methods for the shallow water equations on the sphere: Galerkin. Math. Comput. Simul. 71 (3) (2006)
Christina C. Christara
Schur complement preconditioned conjugate gradient methods for spline collocation equations. ICS (1990)