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2020 – today
- 2023
[i1]Emiel Lemahieu, Kris Boudt, Maarten Wyns:
Generating drawdown-realistic financial price paths using path signatures. CoRR abs/2309.04507 (2023)
2010 – 2019
- 2019
- [j4]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
- [j3]Maarten Wyns, Karel J. in 't Hout:
An adjoint method for the exact calibration of stochastic local volatility models. J. Comput. Sci. 24: 182-194 (2018) - 2017
- [j2]Maarten Wyns, Jacques Du Toit:
A finite volume - alternating direction implicit approach for the calibration of stochastic local volatility models. Int. J. Comput. Math. 94(11): 2239-2267 (2017) - 2016
- [j1]Karel J. in 't Hout, Maarten Wyns:
Convergence of the Modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term. J. Comput. Appl. Math. 296: 170-180 (2016)
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