Engineering, Numerics

Numerical Linear Algebra

Half-space approach for contact problems (with Jing, Edwin)

Extending the BEM for elastic contact problems beyond the half-space approach (2016):
A fast nonlinear conjugate gradient based method for 3D concentrated frictional contact problems (2015):
A full multigrid method for linear complementarity problems arising from elastic normal contact problems (2014):
Multigrid with FFT smoother for a simplified 2D frictional contact problem (2014):

Recent Multigrid work

Poroelasticity, Stokes equations (with Peiyao, Franz, Carmen)

A simple and efficient segregated smoother for the discrete Stokes equations (2015):

Computational Finance

Monte-Carlo methods, based on regression and bundling (SGBM)

SGBM for high-D American options (with Shashi, Alvaro, Fei)

GPU acceleration of the stochastic grid bundling method for early-exercise options (2015):
Pricing Bermudan options under Merton jump-diffusion asset dynamics (2015):
The Stochastic Grid Bundling Method: Efficient pricing of Bermudan options and their greeks (2015):

Dynamic optimal portfolio selection (with Fei)

Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation (2016):


Credit Valuation Adjustment (with Qian, Shashi, Patrik)

Efficient computation of exposure profiles for counterparty credit risk (2014):


Stochastic Local Volatility (with Anton, Lech, Alvaro)

The time-dependent FX-SABR model: Efficient calibration based on effective parameters (2015):

Fourier-based pricing methods (COS, SWIFT)

BSDEs (with Marjon, Ki Wai, ...)

Efficient numerical Fourier methods for coupled forward-backward SDEs (2016):

Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance (2016):
A Fourier cosine method for an efficient computation of solutions to BSDEs (2015):

Wavelets (with Luis, Stef, ...)

A highly efficient Shanon wavelet inverse Fourier technique for pricing European options (2016):

Recent COS method work (with Marjon, ...)

On the application of spectral filters in a Fourier option pricing technique (2015):
BENCHOP -- The BENCHmarking project in option pricing (2015):
Jan de Kort (2007):
Pricing Multi-Asset Financial Products with Tail Dependence using Copulas (with ABN AMRO bank)