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von Sydow, Lina, ProfessorORCID iD iconorcid.org/0000-0002-4835-2350
Alternative names
Publications (10 of 50) Show all publications
Cheng, G., Lötstedt, P. & von Sydow, L. (2020). A full Stokes subgrid scheme in two dimensions for simulation of grounding line migration in ice sheets using Elmer/ICE (v8.3). Geoscientific Model Development, 13, 2245-2258
Open this publication in new window or tab >>A full Stokes subgrid scheme in two dimensions for simulation of grounding line migration in ice sheets using Elmer/ICE (v8.3)
2020 (English)In: Geoscientific Model Development, ISSN 1991-959X, E-ISSN 1991-9603, Vol. 13, p. 2245-2258Article in journal (Refereed) Published
National Category
Computational Mathematics Geosciences, Multidisciplinary
Identifiers
urn:nbn:se:uu:diva-392197 (URN)10.5194/gmd-13-2245-2020 (DOI)000535190100002 ()
Projects
eSSENCE
Available from: 2020-05-13 Created: 2019-08-30 Last updated: 2021-01-08Bibliographically approved
Milovanović, S. & von Sydow, L. (2020). A high order method for pricing of financial derivatives using radial basis function generated finite differences. Mathematics and Computers in Simulation, 174, 205-217
Open this publication in new window or tab >>A high order method for pricing of financial derivatives using radial basis function generated finite differences
2020 (English)In: Mathematics and Computers in Simulation, ISSN 0378-4754, E-ISSN 1872-7166, Vol. 174, p. 205-217Article in journal (Refereed) Published
National Category
Computational Mathematics
Identifiers
urn:nbn:se:uu:diva-357217 (URN)10.1016/j.matcom.2020.02.005 (DOI)000529311000013 ()
Projects
eSSENCE
Available from: 2020-03-10 Created: 2018-08-14 Last updated: 2020-07-02Bibliographically approved
von Sydow, L. & Waldén, J. (2020). Numerical Ross Recovery for Diffusion Processes Using a PDE Approach. Applied Mathematical Finance, 46-66
Open this publication in new window or tab >>Numerical Ross Recovery for Diffusion Processes Using a PDE Approach
2020 (English)In: Applied Mathematical Finance, ISSN 1350-486X, E-ISSN 1433-4313, p. 46-66Article in journal (Refereed) Published
Abstract [en]

We develop and analyse a numerical method for solving the Ross recovery problem for a diffusion problem with unbounded support, with a transition independent pricing kernel. Asset prices are assumed to only be available on a bounded subinterval B=[−N,N]. Theoretical error bounds on the recovered pricing kernel are derived, relating the convergence rate as a function of NN to the rate of mean reversion of the diffusion process. Our suggested numerical method for finding the pricing kernel employs finite differences, and we apply Sturm–Liouville theory to make use of inverse iteration on the resulting discretized eigenvalue problem. We numerically verify the derived error bounds on a test bench of three model problems.

Keywords
Ross recovery, diffusion process, numerical method
National Category
Computational Mathematics
Identifiers
urn:nbn:se:uu:diva-428525 (URN)10.1080/1350486X.2020.1730202 (DOI)
Available from: 2020-12-14 Created: 2020-12-14 Last updated: 2020-12-15Bibliographically approved
von Sydow, L., Milovanović, S., Larsson, E., In't Hout, K., Wiktorsson, M., Oosterlee, C. W., . . . Waldén, J. (2019). BENCHOP–SLV: The BENCHmarking project in Option Pricing – Stochastic and local volatility problems. International Journal of Computer Mathematics, 96, 1910-1923
Open this publication in new window or tab >>BENCHOP–SLV: The BENCHmarking project in Option Pricing – Stochastic and local volatility problems
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2019 (English)In: International Journal of Computer Mathematics, ISSN 0020-7160, E-ISSN 1029-0265, Vol. 96, p. 1910-1923Article in journal (Refereed) Published
National Category
Computational Mathematics
Identifiers
urn:nbn:se:uu:diva-357218 (URN)10.1080/00207160.2018.1544368 (DOI)000475440700002 ()
Projects
eSSENCE
Available from: 2018-11-07 Created: 2018-08-14 Last updated: 2019-08-29Bibliographically approved
van Dongen, E. C. H., Kirchner, N., van Gijzen, M. B., van de Wal, R. S. W., Zwinger, T., Cheng, G., . . . von Sydow, L. (2018). Dynamically coupling full Stokes and shallow shelf approximation for marine ice sheet flow using Elmer/Ice (v8.3). Geoscientific Model Development, 11, 4563-4576
Open this publication in new window or tab >>Dynamically coupling full Stokes and shallow shelf approximation for marine ice sheet flow using Elmer/Ice (v8.3)
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2018 (English)In: Geoscientific Model Development, ISSN 1991-959X, E-ISSN 1991-9603, Vol. 11, p. 4563-4576Article in journal (Refereed) Published
National Category
Computational Mathematics
Identifiers
urn:nbn:se:uu:diva-363123 (URN)10.5194/gmd-11-4563-2018 (DOI)000450295700001 ()
Projects
eSSENCE
Available from: 2018-11-16 Created: 2018-10-12 Last updated: 2019-01-24Bibliographically approved
Amani Rad, J., Höök, J., Larsson, E. & von Sydow, L. (2018). Forward deterministic pricing of options using Gaussian radial basis functions. Journal of Computational Science, 24, 209-217
Open this publication in new window or tab >>Forward deterministic pricing of options using Gaussian radial basis functions
2018 (English)In: Journal of Computational Science, ISSN 1877-7503, E-ISSN 1877-7511, Vol. 24, p. 209-217Article in journal (Refereed) Published
National Category
Computational Mathematics
Identifiers
urn:nbn:se:uu:diva-323003 (URN)10.1016/j.jocs.2017.05.016 (DOI)000426412200021 ()
Projects
eSSENCE
Available from: 2017-05-25 Created: 2017-06-01 Last updated: 2018-05-17Bibliographically approved
Milovanović, S. & von Sydow, L. (2018). Radial basis function generated finite differences for option pricing problems. Computers and Mathematics with Applications, 75, 1462-1481
Open this publication in new window or tab >>Radial basis function generated finite differences for option pricing problems
2018 (English)In: Computers and Mathematics with Applications, ISSN 0898-1221, E-ISSN 1873-7668, Vol. 75, p. 1462-1481Article in journal (Refereed) Published
National Category
Computational Mathematics
Identifiers
urn:nbn:se:uu:diva-336813 (URN)10.1016/j.camwa.2017.11.015 (DOI)000428100600024 ()
Projects
eSSENCE
Available from: 2017-12-01 Created: 2017-12-18 Last updated: 2018-08-21Bibliographically approved
in't Hout, K., Itkin, A., von Sydow, L. & Toivanen, J. (2018). Special issue-Computational and algorithmic finance. Journal of Computational Science, 24, 180-181
Open this publication in new window or tab >>Special issue-Computational and algorithmic finance
2018 (English)In: Journal of Computational Science, ISSN 1877-7503, E-ISSN 1877-7511, Vol. 24, p. 180-181Article in journal (Refereed) Published
Abstract [en]

This special issue on computational and algorithmic finance showcases contemporary developments ranging from advanced numerical methods to machine learning techniques and efficient parallel implementations in finance and insurance. This, in particular, includes: calibration of various asset pricing models (local volatility, stochastic volatility, jumps) to market data; development of new approaches in constructing efficient finite difference and radial basis function methods; study of models and machine learning techniques, like Bayesian and neural networks, for asset liability management and limit order books; analysis of bond quote inconsistencies; and also implementation issues on GPU of a Monte Carlo insurance balance sheet projection. (C) 2017 Published by Elsevier B.V.

Place, publisher, year, edition, pages
Elsevier BV, 2018
National Category
Probability Theory and Statistics Computer Sciences
Identifiers
urn:nbn:se:uu:diva-477231 (URN)10.1016/j.jocs.2017.12.009 (DOI)000426412200018 ()
Available from: 2022-06-17 Created: 2022-06-17 Last updated: 2022-06-17Bibliographically approved
Höök, L. J., Ludvigsson, G. & von Sydow, L. (2018). The Kolmogorov forward fractional partial differential equation for the CGMY-process with applications in option pricing. Computers and Mathematics with Applications, 76, 2330-2344
Open this publication in new window or tab >>The Kolmogorov forward fractional partial differential equation for the CGMY-process with applications in option pricing
2018 (English)In: Computers and Mathematics with Applications, ISSN 0898-1221, E-ISSN 1873-7668, Vol. 76, p. 2330-2344Article in journal (Refereed) Published
National Category
Computational Mathematics
Identifiers
urn:nbn:se:uu:diva-366099 (URN)10.1016/j.camwa.2018.08.028 (DOI)000449135900002 ()
Projects
eSSENCE
Available from: 2018-10-01 Created: 2018-11-16 Last updated: 2019-06-26Bibliographically approved
Cheng, G., Lötstedt, P. & von Sydow, L. (2017). Accurate and stable time stepping in ice sheet modeling. Journal of Computational Physics, 329, 29-47
Open this publication in new window or tab >>Accurate and stable time stepping in ice sheet modeling
2017 (English)In: Journal of Computational Physics, ISSN 0021-9991, E-ISSN 1090-2716, Vol. 329, p. 29-47Article in journal (Refereed) Published
National Category
Computational Mathematics
Identifiers
urn:nbn:se:uu:diva-309278 (URN)10.1016/j.jcp.2016.10.060 (DOI)000390511500003 ()
Projects
eSSENCE
Available from: 2016-11-02 Created: 2016-12-02 Last updated: 2019-09-01Bibliographically approved
Organisations
Identifiers
ORCID iD: ORCID iD iconorcid.org/0000-0002-4835-2350

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