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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.
    Cheng, Gong
    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.
    Lötstedt, Per
    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.
    A full Stokes subgrid model for simulation of grounding line migration in ice sheets2019In: Computing Research Repository, no 1908.10751Article in journal (Other academic)
  • 3.
    Cheng, Gong
    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.
    Lötstedt, Per
    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.
    Accurate and stable time stepping in ice sheet modeling2017In: Journal of Computational Physics, ISSN 0021-9991, E-ISSN 1090-2716, Vol. 329, p. 29-47Article in journal (Refereed)
  • 4.
    Ekström, Erik
    et al.
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics, Analysis and Applied Mathematics.
    Lötstedt, Per
    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.
    Tysk, Johan
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics, Analysis and Applied Mathematics.
    Numerical option pricing in the presence of bubbles2011In: Quantitative finance (Print), ISSN 1469-7688, E-ISSN 1469-7696, Vol. 11, p. 1125-1128Article in journal (Refereed)
  • 5.
    Gustafsson, Bertil
    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.
    Hemmingsson-Frändén, 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.
    A fast domain decomposition high order Poisson solver1999In: Journal of Scientific Computing, ISSN 0885-7474, E-ISSN 1573-7691, Vol. 14, p. 223-243Article in journal (Refereed)
  • 6.
    Gustafsson, Bertil
    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.
    Hemmingsson-Frändén, 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.
    Deferred correction in space and time2002In: Journal of Scientific Computing, ISSN 0885-7474, E-ISSN 1573-7691, Vol. 17, p. 541-550Article in journal (Refereed)
  • 7.
    Gustafsson, Bertil
    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.
    Hemmingsson-Frändén, 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.
    High order methods and domain decomposition2001In: Absorbing Boundaries and Layers, Domain Decomposition Methods: Applications to Large Scale Computers, Huntington, NY: Nova Science Publishers , 2001, p. 341-347Chapter in book (Refereed)
  • 8.
    Gustafsson, Bertil
    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.
    Hemmingsson-Frändén, 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.
    Implicit high-order difference methods and domain decomposition for hyperbolic problems2000In: Applied Numerical Mathematics, ISSN 0168-9274, E-ISSN 1873-5460, Vol. 33, p. 493-500Article in journal (Refereed)
  • 9.
    Hemmingsson, Lina
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department 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 almost incompressible flow1996In: Computers & Fluids, ISSN 0045-7930, E-ISSN 1879-0747, Vol. 25, p. 771-789Article in journal (Refereed)
  • 10.
    Hemmingsson, Lina
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department 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 first-order PDEs1995In: SIAM Journal on Matrix Analysis and Applications, ISSN 0895-4798, E-ISSN 1095-7162, Vol. 16, p. 1241-1267Article in journal (Refereed)
  • 11.
    Hemmingsson, Lina
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department 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 hyperbolic problems in 2D1995In: Parallel Computational Fluid Dynamics: New Trends and Advances, Amsterdam, The Netherlands: Elsevier Science , 1995, p. 373-380Conference paper (Refereed)
  • 12.
    Hemmingsson, Lina
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    A fast modified sine transform for solving block-tridiagonal systems with Toeplitz blocks1994In: Numerical Algorithms, ISSN 1017-1398, E-ISSN 1572-9265, Vol. 7, p. 375-389Article in journal (Refereed)
  • 13.
    Hemmingsson, Lina
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    A semi-circulant preconditioner for the convection-diffusion equation1998In: Numerische Mathematik, ISSN 0029-599X, E-ISSN 0945-3245, Vol. 81, p. 211-248Article in journal (Refereed)
  • 14.
    Hemmingsson, Lina
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Domain Decomposition Methods and Fast Solvers for First-order PDEs1995Doctoral thesis, comprehensive summary (Other academic)
  • 15.
    Hemmingsson, Lina
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Toeplitz preconditioners with block structure for first-order PDEs1996In: Numerical Linear Algebra with Applications, ISSN 1070-5325, E-ISSN 1099-1506, Vol. 3, p. 21-44Article in journal (Refereed)
  • 16.
    Hemmingsson, Lina
    et al.
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Kähäri, Andreas
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    A new parallel preconditioner for the Euler equations1998In: Applied Parallel Computing: Large Scale Scientific and Industrial Problems, Berlin: Springer-Verlag , 1998, p. 230-238Conference paper (Refereed)
  • 17.
    Hemmingsson, Lina
    et al.
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Otto, Kurt
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Analysis of semi-Toeplitz preconditioners for first-order PDEs1996In: SIAM Journal on Scientific Computing, ISSN 1064-8275, E-ISSN 1095-7197, Vol. 17, p. 47-64Article in journal (Refereed)
  • 18.
    Hemmingsson-Frändén, 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.
    Wathen, Andrew
    A nearly optimal preconditioner for the Navier-Stokes equations2001In: Numerical Linear Algebra with Applications, ISSN 1070-5325, E-ISSN 1099-1506, Vol. 8, p. 229-243Article in journal (Refereed)
  • 19. 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)
  • 20.
    Holmgren, Sverker
    et al.
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Otto, Kurt
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Frändén, Lina
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis.
    Parallelization of iterative solution methods and preconditioners for non-diagonally dominant, block-tridiagonal systems of equations1989In: Hypercube and Distributed Computers, Amsterdam, The Netherlands: Elsevier Science , 1989, p. 353-354Conference paper (Refereed)
  • 21.
    Höök, Lars Josef
    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.
    Ludvigsson, Gustav
    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.
    The Kolmogorov forward fractional partial differential equation for the CGMY-process with applications in option pricing2018In: Computers and Mathematics with Applications, ISSN 0898-1221, E-ISSN 1873-7668, Vol. 76, p. 2330-2344Article in journal (Refereed)
  • 22. Kirchner, Nina
    et al.
    Ahlkrona, Josefin
    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.
    Gowan, Evan J.
    Lötstedt, Per
    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.
    Lea, James M.
    Noormets, Riko
    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.
    Dowdeswell, Julian A.
    Benham, Toby
    Shallow ice approximation, second order shallow ice approximation, and full Stokes models: A discussion of their roles in palaeo-ice sheet modelling and development2016In: Quaternary Science Reviews, ISSN 0277-3791, E-ISSN 1873-457X, Vol. 135, p. 103-114Article, review/survey (Refereed)
  • 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.
    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)
  • 24. Linde, Gunilla
    et al.
    Persson, Jonas
    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.
    A highly accurate adaptive finite difference solver for the Black–Scholes equation2009In: International Journal of Computer Mathematics, ISSN 0020-7160, E-ISSN 1029-0265, Vol. 86, p. 2104-2121Article in journal (Refereed)
  • 25. Linde, Gunilla
    et al.
    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.
    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.
    High-order adaptive space-discretizations for the Black-Scholes equation2006Report (Other academic)
  • 26.
    Lötstedt, Per
    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.
    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.
    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.
    Tysk, Johan
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics, Analysis and Applied Mathematics.
    Space-Time Adaptive Finite Difference Method for European Multi-Asset Options2004Report (Other academic)
  • 27.
    Lötstedt, Per
    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.
    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.
    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.
    Tysk, Johan
    Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics, Analysis and Applied Mathematics.
    Space-time adaptive finite difference method for European multi-asset options2007In: Computers and Mathematics with Applications, ISSN 0898-1221, E-ISSN 1873-7668, Vol. 53, p. 1159-1180Article in journal (Refereed)
  • 28.
    Lötstedt, Per
    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.
    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.
    Söderberg, 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.
    Preconditioned implicit solution of linear hyperbolic equations with adaptivity2004In: Journal of Computational and Applied Mathematics, ISSN 0377-0427, E-ISSN 1879-1778, Vol. 170, p. 269-289Article in journal (Refereed)
  • 29.
    Lötstedt, Per
    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.
    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.
    Söderberg, 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.
    Preconditioned implicit solution of linear hyperbolic equations with adaptivity2003Report (Other academic)
  • 30.
    Lötstedt, Per
    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.
    Söderberg, 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.
    Ramage, Alison
    Hemmingsson-Frändén, 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.
    Implicit solution of hyperbolic equations with space-time adaptivity2002In: BIT Numerical Mathematics, ISSN 0006-3835, E-ISSN 1572-9125, Vol. 42, p. 134-158Article in journal (Refereed)
  • 31.
    Lötstedt, Per
    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.
    Söderberg, 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.
    Ramage, Alison
    Hemmingsson-Frändén, 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.
    Implicit solution of hyperbolic equations with space-time adaptivity2000Report (Other academic)
  • 32.
    Lötstedt, Per
    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.
    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.
    Numerical option pricing without oscillations using flux limiters2015In: Computers and Mathematics with Applications, ISSN 0898-1221, E-ISSN 1873-7668, Vol. 70, p. 1-10Article in journal (Refereed)
  • 33.
    Milovanović, Slobodan
    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.
    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.
    A high order method for pricing of financial derivatives using radial basis function generated finite differencesManuscript (preprint) (Other academic)
    Abstract [en]

    In this paper, we consider the numerical pricing of financial derivatives using Radial Basis Function generated Finite Differences in space. Such discretization methods have the advantage of not requiring Cartesian grids. Instead, the nodes can be placed with higher density in areas where there is a need for higher accuracy. Still, the discretization matrix is fairly sparse. As a model problem, we consider the pricing of European options in 2D. Since such options have a discontinuity in the first derivative of the payoff function which prohibits high order convergence, we smooth this function using an established technique for Cartesian grids. Numerical experiments show that we acquire a fourth order scheme in space, both for the uniform and the nonuniform node layouts that we use. The high order method with the nonuniform node layout achieves very high accuracy with relatively few nodes. This renders the potential for solving pricing problems in higher spatial dimensions since the computational memory and time demand become much smaller with this method compared to standard techniques.

  • 34.
    Milovanović, Slobodan
    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.
    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.
    Radial basis function generated finite differences for option pricing problems2018In: Computers and Mathematics with Applications, ISSN 0898-1221, E-ISSN 1873-7668, Vol. 75, p. 1462-1481Article in journal (Refereed)
  • 35. Persson, Jonas
    et al.
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