Christof Heuer

Publication Activity (10 Years)

Years Active: 2014-2021
Publications (10 Years): 2

Top Topics

Hamilton Jacobi

Numerical Analysis

Finite Difference

Top Venues

J. Comput. Appl. Math.

SIAM J. Numer. Anal.

Publications

Bertram Düring, Christof Heuer
Time-adaptive high-order compact finite difference schemes for option pricing in a family of stochastic volatility models. CoRR (2021)
Christian Hendricks, Christof Heuer, Matthias Ehrhardt, Michael Günther
High-order ADI finite difference schemes for parabolic equations in the combination technique with application in finance. J. Comput. Appl. Math. 316 (2017)
Bertram Düring, Christof Heuer
High-Order Compact Schemes for Parabolic Problems with Mixed Derivatives in Multiple Space Dimensions. SIAM J. Numer. Anal. 53 (5) (2015)
Bertram Düring, Michel Fournié, Christof Heuer
High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids. J. Comput. Appl. Math. 271 (2014)