Michael D. Marcozzi

Publication Activity (10 Years)

Years Active: 2001-2015
Publications (10 Years): 1

Top Topics

Multiresolution

Portfolio Theory

Optimal Control

Top Venues

J. Comput. Appl. Math.

Int. J. Comput. Math.

Publications

Michael D. Marcozzi
Optimal control of ultradiffusion processes with application to mathematical finance. Int. J. Comput. Math. 92 (2) (2015)
Yanan Jiang, Michael D. Marcozzi
Asset liquidity and the valuation of derivative securities. J. Comput. Appl. Math. 236 (17) (2012)
Michael D. Marcozzi
An adaptive extrapolation discontinuous Galerkin method for the valuation of Asian options. J. Comput. Appl. Math. 235 (12) (2011)
Michael D. Marcozzi
On the Approximation of Infinite Dimensional Optimal Stopping Problems with Application to Mathematical Finance. J. Sci. Comput. 34 (3) (2008)
Pavlo Kovalov, Vadim Linetsky, Michael D. Marcozzi
Pricing Multi-Asset American Options: A Finite Element Method-of-Lines with Smooth Penalty. J. Sci. Comput. 33 (3) (2007)
I. Sapariuc, Michael D. Marcozzi, J. E. Flaherty
A numerical analysis of variational valuation techniques for derivative securities. Appl. Math. Comput. 159 (1) (2004)
Michael D. Marcozzi
On the Valuation of Asian Options by Variational Methods. SIAM J. Sci. Comput. 24 (4) (2003)
Michael D. Marcozzi
On the Approximation of Optimal Stopping Problems with Application to Financial Mathematics. SIAM J. Sci. Comput. 22 (5) (2001)
Michael D. Marcozzi, Seungmook Choi, C. S. Chen
On the use of boundary conditions for variational formulations arising in financial mathematics. Appl. Math. Comput. 124 (2) (2001)