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  • 1. Amani Rad, Jamal
    et al.
    Höök, Josef
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Larsson, Elisabeth
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    von Sydow, Lina
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Forward deterministic pricing of options using Gaussian radial basis functions2018In: Journal of Computational Science, ISSN 1877-7503, E-ISSN 1877-7511, Vol. 24, p. 209-217Article in journal (Refereed)
  • 2. Bernal, Francisco
    et al.
    Heryudono, Alfa R. H.
    Larsson, Elisabeth
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Numerical solution of the viscous flow past a cylinder with a non-global yet spectrally convergent meshless collocation method2017In: Spectral and High Order Methods for Partial Differential Equations: ICOSAHOM 2016, Springer, 2017, p. 495-507Conference paper (Refereed)
  • 3. Buhmann, Martin D.
    et al.
    Dinew, Slawomir
    Larsson, Elisabeth
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    A note on radial basis function interpolant limits2010In: IMA Journal of Numerical Analysis, ISSN 0272-4979, E-ISSN 1464-3642, Vol. 30, p. 543-554Article in journal (Refereed)
  • 4. Fornberg, Bengt
    et al.
    Larsson, Elisabeth
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Flyer, Natasha
    Stable computations with Gaussian radial basis functions2011In: SIAM Journal on Scientific Computing, ISSN 1064-8275, E-ISSN 1095-7197, Vol. 33, p. 869-892Article in journal (Refereed)
  • 5. Fornberg, Bengt
    et al.
    Larsson, Elisabeth
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Flyer, Natasha
    Stable computations with Gaussian radial basis functions in 2-D2009Report (Other academic)
  • 6. Fornberg, Bengt
    et al.
    Larsson, Elisabeth
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Wright, Grady
    A new class of oscillatory radial basis functions2006In: Computers and Mathematics with Applications, ISSN 0898-1221, E-ISSN 1873-7668, Vol. 51, p. 1209-1222Article in journal (Refereed)
  • 7. Fornberg, Bengt
    et al.
    Wright, Grady
    Larsson, Elisabeth
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Some observations regarding interpolants in the limit of flat radial basis functions2004In: Computers and Mathematics with Applications, ISSN 0898-1221, E-ISSN 1873-7668, Vol. 47, p. 37-55Article in journal (Refereed)
  • 8. Heryudono, Alfa
    et al.
    Larsson, Elisabeth
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Ramage, Alison
    von Sydow, Lina
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Preconditioning for radial basis function partition of unity methods2016In: Journal of Scientific Computing, ISSN 0885-7474, E-ISSN 1573-7691, Vol. 67, p. 1089-1109Article in journal (Refereed)
  • 9.
    Kormann, Katharina
    et al.
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Computational Science.
    Larsson, Elisabeth
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    A Galerkin radial basis function method for the Schrödinger equation2013In: SIAM Journal on Scientific Computing, ISSN 1064-8275, E-ISSN 1095-7197, Vol. 35, p. A2832-A2855Article in journal (Refereed)
  • 10.
    Kormann, Katharina
    et al.
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Computational Science.
    Larsson, Elisabeth
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    An RBF–Galerkin approach to the time-dependent Schrödinger equation2012Report (Other academic)
  • 11.
    Kormann, Katharina
    et al.
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Computational Science.
    Larsson, Elisabeth
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Radial basis functions for the time-dependent Schrödinger equation2011In: Numerical Analysis and Applied Mathematics: ICNAAM 2011, Melville, NY: American Institute of Physics (AIP), 2011, p. 1323-1326Conference paper (Refereed)
  • 12.
    Kowalewski, Markus
    et al.
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Computational Science.
    Larsson, Elisabeth
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Heryudono, Alfa
    An adaptive interpolation scheme for molecular potential energy surfaces2016In: Journal of Chemical Physics, ISSN 0021-9606, E-ISSN 1089-7690, Vol. 145, p. 084104:1-10, article id 084104Article in journal (Refereed)
  • 13.
    Larsson, Elisabeth
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    A domain decomposition method for the Helmholtz equation in a multilayer domain1999In: SIAM Journal on Scientific Computing, ISSN 1064-8275, E-ISSN 1095-7197, Vol. 20, p. 1713-1731Article in journal (Refereed)
  • 14.
    Larsson, Elisabeth
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Book Review: A Primer on Radial Basis Functions with Applications to the Geosciences2017In: SIAM Review, ISSN 0036-1445, E-ISSN 1095-7200, Vol. 59, p. 688-689Article, book review (Other academic)
  • 15.
    Larsson, Elisabeth
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Domain Decomposition and Preconditioned Iterative Methods for the Helmholtz Equation2000Doctoral thesis, comprehensive summary (Other academic)
    Abstract [en]

    New preconditioned iterative solution methods for the Helmholtz equation are constructed. To evaluate the performance of the methods, two-dimensional problems with a waveguide geometry are used as model problems. Second- and fourth-order accurate finite difference discretizations are used. By introducing a domain decomposition framework, problems where the physical domain consists of a number of layers of different materials can be solved. The new algorithms are shown to perform well compared with standard methods.

    First, a discretization of the Helmholtz equation in a curvilinear waveguide with smoothly varying material properties is studied. Nonlocal radiation boundary conditions are constructed for the artificial in- and outflow boundaries. A preconditioner that can be applied using fast transform methods is constructed. Experiments show that the total arithmetic complexity is much less with the fast transform preconditioner than when using a standard symmetric successive over-relaxation preconditioner. Compared with band Gaussian elimination, the gain is large both in arithmetic complexity and memory requirements.

    Next, an application with layers of different materials is considered. It is shown that nonlocal radiation boundary conditions can be constructed also in this case. A domain decomposition formulation is employed, where the fast transform preconditioner is used as a subdomain preconditioner. The performance is excellent compared with band Gaussian elimination.

    The multilayer solver is used for an investigation of the properties of the solutions of a number of underwater acoustics problems. The quality of the solutions obtained by a widely used approximation, the parabolic wave equation, is evaluated. For some problems the agreement is excellent, whereas in other cases the approximation cannot replace the full Helmholtz solution.

    A parallel version of the solver is implemented, where the algorithms are modified for increased parallel performance. With the parallel code larger problems can be solved in less computational time.

  • 16.
    Larsson, Elisabeth
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Skors skönhet ur en matematikers perspektiv2013In: Skor är huvudsaken: Sjutton kvinnliga forskares funderingar om skor / [ed] Eriksson Lindvall, Carin; Rydbeck, Kerstin; Rügheimer, Louise, Uppsala universitet, 2013, p. 30-31Chapter in book (Other (popular science, discussion, etc.))
  • 17.
    Larsson, Elisabeth
    et al.
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Abrahamsson, Leif
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Helmholtz and parabolic equation solutions to a benchmark problem in ocean acoustics2003In: Journal of the Acoustical Society of America, ISSN 0001-4966, E-ISSN 1520-8524, Vol. 113, p. 2446-2454Article in journal (Refereed)
  • 18.
    Larsson, Elisabeth
    et al.
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Fornberg, Bengt
    A numerical study of some radial basis function based solution methods for elliptic PDEs2003In: Computers and Mathematics with Applications, ISSN 0898-1221, E-ISSN 1873-7668, Vol. 46, p. 891-902Article in journal (Refereed)
  • 19.
    Larsson, Elisabeth
    et al.
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Fornberg, Bengt
    Theoretical and computational aspects of multivariate interpolation with increasingly flat radial basis functions2005In: Computers and Mathematics with Applications, ISSN 0898-1221, E-ISSN 1873-7668, Vol. 49, p. 103-130Article in journal (Refereed)
  • 20.
    Larsson, Elisabeth
    et al.
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Fornberg, Bengt
    Theoretical and Computational Aspects of Multivariate Interpolation with Increasingly Flat Radial Basis Functions2003Report (Other academic)
  • 21.
    Larsson, Elisabeth
    et al.
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Gomes, Sônia M.
    Heryudono, Alfa
    Safdari-Vaighani, Ali
    Radial basis function methods in computational finance2013In: Proc. 13th International Conference on Computational and Mathematical Methods in Science and Engineering: Volume III, Spain: Universidad de Almería , 2013, p. 895-906Conference paper (Refereed)
  • 22.
    Larsson, Elisabeth
    et al.
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Holmgren, Sverker
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    A parallel domain decomposition method for the Helmholtz equation2000Report (Other academic)
  • 23.
    Larsson, Elisabeth
    et al.
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Holmgren, Sverker
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Parallel solution of the Helmholtz equation in a multilayer domain2003In: BIT Numerical Mathematics, ISSN 0006-3835, E-ISSN 1572-9125, Vol. 43, p. 387-411Article in journal (Refereed)
  • 24.
    Larsson, Elisabeth
    et al.
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Lehto, Erik
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Heryudono, Alfa
    Fornberg, Bengt
    Stable computation of differentiation matrices and scattered node stencils based on Gaussian radial basis functions2012Report (Other academic)
  • 25.
    Larsson, Elisabeth
    et al.
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Lehto, Erik
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Heryudono, Alfa
    Fornberg, Bengt
    Stable computation of differentiation matrices and scattered node stencils based on Gaussian radial basis functions2013In: SIAM Journal on Scientific Computing, ISSN 1064-8275, E-ISSN 1095-7197, Vol. 35, p. A2096-A2119Article in journal (Refereed)
  • 26.
    Larsson, Elisabeth
    et al.
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Pålsson, Stefan
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Rantakokko, Jarmo
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Computational Science.
    von Sydow, Lina
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Thuné, Michael
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Computational Science.
    Gender-aware course reform in Scientific Computing2013In: International journal of engineering education, ISSN 0949-149X, Vol. 29, no 2, p. 403-414Article in journal (Refereed)
  • 27.
    Larsson, Elisabeth
    et al.
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Shcherbakov, Victor
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Heryudono, Alfa
    A least squares radial basis function partition of unity method for solving PDEs2017In: SIAM Journal on Scientific Computing, ISSN 1064-8275, E-ISSN 1095-7197, Vol. 39, p. A2538-A2563Article in journal (Refereed)
  • 28.
    Larsson, Elisabeth
    et al.
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Åhlander, Krister
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Hall, Andreas
    Multi-dimensional option pricing using radial basis functions and the generalized Fourier transform2008In: Journal of Computational and Applied Mathematics, ISSN 0377-0427, E-ISSN 1879-1778, Vol. 222, p. 175-192Article in journal (Refereed)
  • 29.
    Larsson, Elisabeth
    et al.
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Åhlander, Krister
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Hall, Andreas
    Multi-dimensional option pricing using radial basis functions and the generalized Fourier transform2006Report (Other academic)
  • 30.
    Ljungkvist, Karl
    et al.
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Computational Science.
    Tillenius, Martin
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Computational Science.
    Black-Schaffer, David
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Computer Systems.
    Holmgren, Sverker
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Computational Science.
    Karlsson, Martin
    Larsson, Elisabeth
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Computational Science.
    Using hardware transactional memory for high-performance computing2011In: Proc. 25th International Symposium on Parallel and Distributed Processing Workshops and PhD Forum, Piscataway, NJ: IEEE , 2011, p. 1660-1667Conference paper (Refereed)
  • 31. Ljungkvist, Karl
    et al.
    Tillenius, Martin
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Computational Science.
    Holmgren, Sverker
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Computational Science.
    Karlsson, Martin
    Larsson, Elisabeth
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Computational Science.
    Early results using hardware transactional memory for high-performance computing applications2010In: Proc. 3rd Swedish Workshop on Multi-Core Computing, Göteborg, Sweden: Chalmers University of Technology , 2010, p. 93-97Conference paper (Other academic)
  • 32.
    Otto, Kurt
    et al.
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Larsson, Elisabeth
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    A flexible solver of the Helmholtz equation for layered media2006In: Proc. ECCOMAS CFD Conference 2006, The Netherlands: Tech. Univ. Delft , 2006, p. 8-Conference paper (Refereed)
  • 33.
    Otto, Kurt
    et al.
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Larsson, Elisabeth
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Iterative solution of the Helmholtz equation by a second-order method1999In: SIAM Journal on Matrix Analysis and Applications, ISSN 0895-4798, E-ISSN 1095-7162, Vol. 21, p. 209-229Article in journal (Refereed)
  • 34.
    Pettersson, Ulrika
    et al.
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Larsson, Elisabeth
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Marcusson, Gunnar
    Persson, Jonas
    Improved radial basis function methods for multi-dimensional option pricing2008In: Journal of Computational and Applied Mathematics, ISSN 0377-0427, E-ISSN 1879-1778, Vol. 222, p. 82-93Article in journal (Refereed)
  • 35.
    Pettersson, Ulrika
    et al.
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Larsson, Elisabeth
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Marcusson, Gunnar
    Persson, Jonas
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Improved radial basis function methods for multi-dimensional option pricing2006Report (Other academic)
  • 36.
    Pettersson, Ulrika
    et al.
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Larsson, Elisabeth
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Marcusson, Gunnar
    Persson, Jonas
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Option pricing using radial basis functions2005In: Proc. ECCOMAS Thematic Conference on Meshless Methods, Lisboa, Portugal: Departamento de Matemática, Instituto Superior Técnico , 2005, p. C24.1-6Conference paper (Refereed)
  • 37. Safdari-Vaighani, Ali
    et al.
    Heryudono, Alfa
    Larsson, Elisabeth
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    A radial basis function partition of unity collocation method for convection-diffusion equations2013Report (Other academic)
  • 38. Safdari-Vaighani, Ali
    et al.
    Heryudono, Alfa
    Larsson, Elisabeth
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    A radial basis function partition of unity collocation method for convection–diffusion equations arising in financial applications2015In: Journal of Scientific Computing, ISSN 0885-7474, E-ISSN 1573-7691, Vol. 64, p. 341-367Article in journal (Refereed)
  • 39. Safdari-Vaighani, Ali
    et al.
    Larsson, Elisabeth
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Heryudono, Alfa
    Radial basis function methods for the Rosenau equation and other higher order PDEs2018In: Journal of Scientific Computing, ISSN 0885-7474, E-ISSN 1573-7691, Vol. 75, p. 1555-1580Article in journal (Refereed)
  • 40.
    Shcherbakov, Victor
    et al.
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Larsson, Elisabeth
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Radial basis function partition of unity methods for pricing vanilla basket options2015Report (Other academic)
  • 41.
    Shcherbakov, Victor
    et al.
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Larsson, Elisabeth
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Radial basis function partition of unity methods for pricing vanilla basket options2016In: Computers and Mathematics with Applications, ISSN 0898-1221, E-ISSN 1873-7668, Vol. 71, p. 185-200Article in journal (Refereed)
  • 42.
    Sundkvist, Elena
    et al.
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Larsson, Elisabeth
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Implementation of a collocated boundary element method for acoustic wave propagation in multilayered fluid media2011Report (Other academic)
  • 43.
    Tillenius, Martin
    et al.
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Computational Science.
    Larsson, Elisabeth
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Computational Science.
    An efficient task-based approach for solving the n-body problem on multicore architectures2010Conference paper (Refereed)
  • 44.
    Tillenius, Martin
    et al.
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Computational Science.
    Larsson, Elisabeth
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Computational Science.
    Badia, Rosa M.
    Martorell, Xavier
    Resource-aware task scheduling2013In: 4th Workshop on Parallel Programming and Run-Time Management Techniques for Many-core Architectures (PARMA), Germany: Tech. Univ. Berlin , 2013, p. 6-Conference paper (Other academic)
  • 45.
    Tillenius, Martin
    et al.
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Computational Science.
    Larsson, Elisabeth
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Computational Science.
    Badia, Rosa M.
    Martorell, Xavier
    Resource-aware task scheduling2015In: ACM Transactions on Embedded Computing Systems, ISSN 1539-9087, E-ISSN 1558-3465, Vol. 14, no 1, p. 5:1-25, article id 5Article in journal (Refereed)
  • 46.
    Tillenius, Martin
    et al.
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Computational Science.
    Larsson, Elisabeth
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Lehto, Erik
    Flyer, Natasha
    A scalable RBF–FD method for atmospheric flow2015In: Journal of Computational Physics, ISSN 0021-9991, E-ISSN 1090-2716, Vol. 298, p. 406-422Article in journal (Refereed)
  • 47.
    Tillenius, Martin
    et al.
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Computational Science.
    Larsson, Elisabeth
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Computational Science.
    Lehto, Erik
    Flyer, Natasha
    A task parallel implementation of a scattered node stencil-based solver for the shallow water equations2013In: Proc. 6th Swedish Workshop on Multi-Core Computing, Halmstad, Sweden: Halmstad University , 2013, p. 33-36Conference paper (Other academic)
  • 48.
    Tillenius, Martin
    et al.
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Computational Science.
    Larsson, Elisabeth
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Lehto, Erik
    Flyer, Natasha
    A task parallel implementation of an RBF-generated finite difference method for the shallow water equations on the sphere2014Report (Other academic)
  • 49.
    von Sydow, Lina
    et al.
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Höök, Lars Josef
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Larsson, Elisabeth
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Lindström, Erik
    Milovanović, Slobodan
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Persson, Jonas
    Shcherbakov, Victor
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Shpolyanskiy, Yuri
    Sirén, Samuel
    Toivanen, Jari
    Waldén, Johan
    Wiktorsson, Magnus
    Levesley, Jeremy
    Li, Juxi
    Oosterlee, Cornelis W.
    Ruijter, Maria J.
    Toropov, Alexander
    Zhao, Yangzhang
    BENCHOP—The BENCHmarking project in Option Pricing2015In: International Journal of Computer Mathematics, ISSN 0020-7160, E-ISSN 1029-0265, Vol. 92, p. 2361-2379Article in journal (Refereed)
  • 50.
    von Sydow, Lina
    et al.
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Milovanović, Slobodan
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Larsson, Elisabeth
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Computational Science.
    in 't Hout, Karel
    Wiktorsson, Magnus
    Oosterlee, Cornelis W.
    Shcherbakov, Victor
    Wyns, Maarten
    Leitao, Alvaro
    Jain, Shashi
    Haentjens, Tinne
    Waldén, Johan
    BENCHOP–SLV: The BENCHmarking project in Option Pricing – Stochastic and Local Volatility problemsManuscript (preprint) (Other academic)
    Abstract [en]

    In the recent project BENCHOP – the BENCHmarking project in Option Pricing we found that Stochastic and Local Volatility problems were particularly challenging. Here we continue the effort by introducing a set of benchmark problems for this type of problems. Eight different methods targeted for the Stochastic Differential Equation (SDE) formulation and the Partial Differential Equation (PDE) formulation of the problem, as well as Fourier methods making use of the characteristic function, were implemented to solve these problems. Comparisons are made with respect to CPU-time to reach a certain error level in the computed solution for the different methods.

    The implemented Fourier method was superior to all others for the two problems where it was implemented. Generally, methods targeting the PDE formulation of the problem outperformed the methods for the SDE formulation. Among the methods for the PDE formulation, the ADI method stood out as the best performing one.

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