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Maarten Wyns
Publication Activity (10 Years)
Years Active: 2016-2023
Publications (10 Years): 5
Top Topics
Path Queries
Diffusion Processes
Laplacian Operator
Black Scholes
Top Venues
Int. J. Comput. Math.
CoRR
J. Comput. Appl. Math.
J. Comput. Sci.
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Publications
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Emiel Lemahieu
,
Kris Boudt
,
Maarten Wyns
Generating drawdown-realistic financial price paths using path signatures.
CoRR
(2023)
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)
Maarten Wyns
,
Karel J. in 't Hout
An adjoint method for the exact calibration of stochastic local volatility models.
J. Comput. Sci.
24 (2018)
Maarten Wyns
,
Jacques Du Toit
A finite volume - alternating direction implicit approach for the calibration of stochastic local volatility models.
Int. J. Comput. Math.
94 (11) (2017)
Karel J. in 't Hout
,
Maarten Wyns
Convergence of the Modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term.
J. Comput. Appl. Math.
296 (2016)