Lina von Sydow

Publication Activity (10 Years)

Years Active: 2007-2020
Publications (10 Years): 9

Top Topics

Black Scholes Model

Radial Basis Function

Top Venues

Comput. Math. Appl.

Int. J. Comput. Math.

J. Comput. Sci.

Publications

Slobodan Milovanovic, Lina von Sydow
A high order method for pricing of financial derivatives using Radial Basis Function generated Finite Differences. Math. Comput. Simul. 174 (2020)
Lina von Sydow, Slobodan Milovanovic, Elisabeth Larsson, Karel J. in 't Hout, Magnus Wiktorsson, Cornelis W. Oosterlee, Victor Shcherbakov, Maarten Wyns, Álvaro Leitao, Shashi Jain, Tinne Haentjens, Johan Waldén
BENCHOP - SLV: the BENCHmarking project in Option Pricing - Stochastic and Local Volatility problems. Int. J. Comput. Math. 96 (10) (2019)
Slobodan Milovanovic, Lina von Sydow
Radial Basis Function generated Finite Differences for option pricing problems. Comput. Math. Appl. 75 (4) (2018)
Karel J. in 't Hout, Andrey Itkin, Lina von Sydow, Jari Toivanen
Special issue - Computational and algorithmic finance. J. Comput. Sci. 24 (2018)
Jamal Amani Rad, Lars Josef Höök, Elisabeth Larsson, Lina von Sydow
Forward deterministic pricing of options using Gaussian radial basis functions. J. Comput. Sci. 24 (2018)
Slobodan Milovanovic, Lina von Sydow
A High Order Method for Pricing of Financial Derivatives using Radial Basis Function generated Finite Differences. CoRR (2018)
Lars Josef Höök, Gustav Ludvigsson, Lina von Sydow
The Kolmogorov forward fractional partial differential equation for the CGMY-process with applications in option pricing. Comput. Math. Appl. 76 (10) (2018)
Gong Cheng, Per Lötstedt, Lina von Sydow
Accurate and stable time stepping in ice sheet modeling. J. Comput. Phys. 329 (2017)
Alfa R. H. Heryudono, Elisabeth Larsson, Alison Ramage, Lina von Sydow
Preconditioning for Radial Basis Function Partition of Unity Methods. J. Sci. Comput. 67 (3) (2016)
Per Lötstedt, Lina von Sydow
Numerical option pricing without oscillations using flux limiters. Comput. Math. Appl. 70 (1) (2015)
Lina von Sydow, Paria Ghafari, Erik Lehto, Mats Wångersjö
Pricing of Basket Options Using Dimension Reduction and Adaptive Finite Differences in Space, and Discontinuous Galerkin in Time. ENUMATH (2015)
Lina von Sydow, Lars Josef Höök, Elisabeth Larsson, Erik Lindström, Slobodan Milovanovic, Jonas Persson, Victor Shcherbakov, Yuri Shpolyanskiy, Samuel Sirén, Jari Toivanen, Johan Waldén, Magnus Wiktorsson, Jeremy Levesley, Juxi Li, Cornelis W. Oosterlee, Maria J. Ruijter, Alexander Toropov, Yangzhang Zhao
BENCHOP - The BENCHmarking project in option pricing. Int. J. Comput. Math. 92 (12) (2015)
Lina von Sydow, Jari Toivanen, C. Zhang
Adaptive finite differences and IMEX time-stepping to price options under Bates model. Int. J. Comput. Math. 92 (12) (2015)
Santtu Salmi, Jari Toivanen, Lina von Sydow
An IMEX-Scheme for Pricing Options under Stochastic Volatility Models with Jumps. SIAM J. Sci. Comput. 36 (5) (2014)
Santtu Salmi, Jari Toivanen, Lina von Sydow
Iterative Methods for Pricing American Options under the Bates Model. ICCS (2013)
Jonas Persson, Lina von Sydow
Pricing American options using a space-time adaptive finite difference method. Math. Comput. Simul. 80 (9) (2010)
Gunilla Linde, Jonas Persson, Lina von Sydow
A highly accurate adaptive finite difference solver for the Black-Scholes equation. Int. J. Comput. Math. 86 (12) (2009)
Per Lötstedt, Jonas Persson, Lina von Sydow, Johan Tysk
Space-time adaptive finite difference method for European multi-asset options. Comput. Math. Appl. 53 (8) (2007)