Jingtang Ma
Results
Journal Article
Rough Heston Models with Variable Vol-of-Vol and Option Pricing
Annals of Applied Mathematics, Vol. 39 (2023), Iss. 2 : pp. 206–238
Journal Article
Moving Finite Element Methods for a System of Semi-Linear Fractional Diffusion Equations
Advances in Applied Mathematics and Mechanics, Vol. 8 (2016), Iss. 6 : pp. 911–931
Journal Article
Convergence Rates of Moving Mesh Rannacher Methods for PDEs of Asian Options Pricing
Journal of Computational Mathematics, Vol. 34 (2016), Iss. 3 : pp. 240–261
Journal Article
Dual Control Methods for a Mixed Control Problem with Optimal Stopping Arising in Optimal Consumption and Investment
Numerical Mathematics: Theory, Methods and Applications, Vol. 15 (2022), Iss. 3 : pp. 641–661
Journal Article
High-Order Methods for Exotic Options and Greeks Under Regime-Switching Jump-Diffusion Models
Numerical Mathematics: Theory, Methods and Applications, Vol. 13 (2020), Iss. 2 : pp. 497–515
Journal Article
FDMs for the PDEs of Option Pricing Under DEV Models with Counterparty Risk
Numerical Mathematics: Theory, Methods and Applications, Vol. 12 (2019), Iss. 4 : pp. 1246–1265
Journal Article
Penalized Schemes for Hamilton-Jacobi-Bellman Quasi-Variational Inequalities Arising in Regime Switching Utility Maximization with Optimal Stopping
Numerical Mathematics: Theory, Methods and Applications, Vol. 17 (2024), Iss. 2 : pp. 404–428