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Slobodan Milovanovic
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2020 – today
- 2020
- [j4]Slobodan Milovanovic, Lina von Sydow:
A high order method for pricing of financial derivatives using Radial Basis Function generated Finite Differences. Math. Comput. Simul. 174: 205-217 (2020)
2010 – 2019
- 2019
- [j3]Lina von Sydow, Slobodan Milovanovic, Elisabeth Larsson, Karel J. in 't Hout, Magnus Wiktorsson, Cornelis W. Oosterlee, Victor Shcherbakov, Maarten Wyns, Álvaro Leitao, Shashi Jain, Tinne Haentjens, Johan Waldén:
BENCHOP - SLV: the BENCHmarking project in Option Pricing - Stochastic and Local Volatility problems. Int. J. Comput. Math. 96(10): 1910-1923 (2019) - 2018
- [j2]Slobodan Milovanovic, Lina von Sydow:
Radial Basis Function generated Finite Differences for option pricing problems. Comput. Math. Appl. 75(4): 1462-1481 (2018) - [i3]Slobodan Milovanovic:
Pricing Financial Derivatives using Radial Basis Function generated Finite Differences with Polyharmonic Splines on Smoothly Varying Node Layouts. CoRR abs/1808.02365 (2018) - [i2]Slobodan Milovanovic, Lina von Sydow:
A High Order Method for Pricing of Financial Derivatives using Radial Basis Function generated Finite Differences. CoRR abs/1808.05890 (2018) - 2017
- [i1]Slobodan Milovanovic, Victor Shcherbakov:
Pricing Derivatives under Multiple Stochastic Factors by Localized Radial Basis Function Methods. CoRR abs/1711.09852 (2017) - 2015
- [j1]Lina von Sydow, Lars Josef Höök, Elisabeth Larsson, Erik Lindström, Slobodan Milovanovic, Jonas Persson, Victor Shcherbakov, Yuri Shpolyanskiy, Samuel Sirén, Jari Toivanen, Johan Waldén, Magnus Wiktorsson, Jeremy Levesley, Juxi Li, Cornelis W. Oosterlee, Maria J. Ruijter, Alexander Toropov, Yangzhang Zhao:
BENCHOP - The BENCHmarking project in option pricing. Int. J. Comput. Math. 92(12): 2361-2379 (2015)
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