Lina Von Sydow | Uppsala University (original) (raw)

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Papers by Lina Von Sydow

Research paper thumbnail of Dynamically coupling Full Stokes and Shallow Shelf Approximation for marine ice sheet flow using Elmer/Ice (v8.3)

Research paper thumbnail of Shallow ice approximation, second order shallow ice approximation, and full Stokes models: A discussion of their roles in palaeo-ice sheet modelling and development

Quaternary Science Reviews, Sep 1, 2016

Research paper thumbnail of A full Stokes subgrid model for simulation of grounding line migration in ice sheets

arXiv (Cornell University), Aug 28, 2019

Research paper thumbnail of Numerical Ross Recovery for Diffusion Processes Using a PDE Approach

Applied Mathematical Finance, Mar 3, 2020

Research paper thumbnail of Radial Basis Function generated Finite Differences for Pricing Multi-Asset Financial Derivatives

Research paper thumbnail of A high order method for pricing of financial derivatives using Radial Basis Function generated Finite Differences

Mathematics and Computers in Simulation, 2020

Research paper thumbnail of A full Stokes subgrid scheme in two dimensions for simulation of grounding line migration in ice sheets using Elmer/ICE (v8.3)

Geoscientific Model Development, 2020

Research paper thumbnail of BENCHOP – SLV: the BENCHmarking project in Option Pricing – Stochastic and Local Volatility problems

International Journal of Computer Mathematics, 2018

Research paper thumbnail of Accurate and stable time stepping in ice sheet modeling

Journal of Computational Physics, 2017

Research paper thumbnail of Numerical option pricing in the presence of bubbles

Quantitative Finance, 2011

Research paper thumbnail of Space–time adaptive finite difference method for European multi-asset options

Computers & Mathematics With Applications - COMPUT MATH APPL, 2007

The multi-dimensional Black–Scholes equation is solved numerically for a European call basket opt... more The multi-dimensional Black–Scholes equation is solved numerically for a European call basket option using a priori–a posteriori error estimates. The equation is discretized by a finite difference method on a Cartesian grid. The grid is adjusted dynamically in space and time to satisfy a bound on the global error. The discretization errors in each time step are estimated and weighted by the solution of the adjoint problem. Bounds on the local errors and the adjoint solution are obtained by the maximum principle for parabolic equations. Comparisons are made with Monte Carlo and quasi-Monte Carlo methods in one dimension, and the performance of the method is illustrated by examples in one, two, and three dimensions.

Research paper thumbnail of Iterative Methods for Pricing American Options under the Bates Model

Research paper thumbnail of Preconditioning for Radial Basis Function Partition of Unity Methods

Journal of Scientific Computing, 2015

Research paper thumbnail of Semi-Toeplitz Preconditioning for the Linearized Navier�Stokes Equations

Bit Numerical Mathematics, Jan 4, 2004

A Krylov iterative method in combination with a semi-Toeplitz preconditioner to solve the lineari... more A Krylov iterative method in combination with a semi-Toeplitz preconditioner to solve the linearized Navier–Stokes equations is presented. A scalar model problem is analyzed showing that the method has very favorable qualities. Numerical experiments for the flow problem corroborate the theory.

Research paper thumbnail of BENCHOP—The BENCHmarking project in Option Pricing

International Journal of Computer Mathematics, 2015

Research paper thumbnail of Numerical option pricing without oscillations using flux limiters

Computers & Mathematics with Applications, 2015

ABSTRACT A numerical method is developed for the solution of the Black–Scholes equation avoiding ... more ABSTRACT A numerical method is developed for the solution of the Black–Scholes equation avoiding the oscillations that are common close to a discontinuity in the pay-off function. Part of the derivatives are evaluated explicitly and part of them are computed implicitly using operator splitting. The method is second order accurate in time and almost of second order in the asset price for smooth solutions and no system of nonlinear equations has to be solved. A flux limiter modifies the first derivative in the equation such that no oscillations occur in the solution in the numerical examples presented.

Research paper thumbnail of Analysis of a semi-Toeplitz preconditioner for a convection-diffusion problem

We have dened and analyzed a semi-Toeplitz preconditioner for timedependentand steady-state conve... more We have dened and analyzed a semi-Toeplitz preconditioner for timedependentand steady-state convection-diusion problems. The preconditionerexhibits very good theoretical convergence properties. The analysis is corroboratedby numerical experiments.1

Research paper thumbnail of High-order adaptive space-discretizations for the Black-Scholes equation

In this paper we develop a high-order adaptive finite difference space-discretization for the Bla... more In this paper we develop a high-order adaptive finite difference space-discretization for the Black-Scholes (B-S) equation. The final condition is discontinuous in the first derivative yielding that the effec- tive rate of convergence is two, both for low-order and high-order stan- dard finite difference (FD) schemes. To obtain a sixth-order scheme we use an extra grid in a limited space-

Research paper thumbnail of On discontinuous Galerkin for time integration in option pricing problems with adaptive finite differences in space

ABSTRACT The discontinuous Galerkin method for time integration of the Black-Scholes partial diff... more ABSTRACT The discontinuous Galerkin method for time integration of the Black-Scholes partial differential equation for option pricing problems is studied and compared with more standard time-integrators. In space an adaptive finite difference discretization is employed. The results show that the dG method are in most cases at least comparable to standard time-integrators and in some cases superior to them. Together with adaptive spatial grids the suggested pricing method shows great qualities.

Research paper thumbnail of Pricing American options using a space-time adaptive finite difference method

Mathematics and Computers in Simulation, 2010

Research paper thumbnail of Dynamically coupling Full Stokes and Shallow Shelf Approximation for marine ice sheet flow using Elmer/Ice (v8.3)

Research paper thumbnail of Shallow ice approximation, second order shallow ice approximation, and full Stokes models: A discussion of their roles in palaeo-ice sheet modelling and development

Quaternary Science Reviews, Sep 1, 2016

Research paper thumbnail of A full Stokes subgrid model for simulation of grounding line migration in ice sheets

arXiv (Cornell University), Aug 28, 2019

Research paper thumbnail of Numerical Ross Recovery for Diffusion Processes Using a PDE Approach

Applied Mathematical Finance, Mar 3, 2020

Research paper thumbnail of Radial Basis Function generated Finite Differences for Pricing Multi-Asset Financial Derivatives

Research paper thumbnail of A high order method for pricing of financial derivatives using Radial Basis Function generated Finite Differences

Mathematics and Computers in Simulation, 2020

Research paper thumbnail of A full Stokes subgrid scheme in two dimensions for simulation of grounding line migration in ice sheets using Elmer/ICE (v8.3)

Geoscientific Model Development, 2020

Research paper thumbnail of BENCHOP – SLV: the BENCHmarking project in Option Pricing – Stochastic and Local Volatility problems

International Journal of Computer Mathematics, 2018

Research paper thumbnail of Accurate and stable time stepping in ice sheet modeling

Journal of Computational Physics, 2017

Research paper thumbnail of Numerical option pricing in the presence of bubbles

Quantitative Finance, 2011

Research paper thumbnail of Space–time adaptive finite difference method for European multi-asset options

Computers & Mathematics With Applications - COMPUT MATH APPL, 2007

The multi-dimensional Black–Scholes equation is solved numerically for a European call basket opt... more The multi-dimensional Black–Scholes equation is solved numerically for a European call basket option using a priori–a posteriori error estimates. The equation is discretized by a finite difference method on a Cartesian grid. The grid is adjusted dynamically in space and time to satisfy a bound on the global error. The discretization errors in each time step are estimated and weighted by the solution of the adjoint problem. Bounds on the local errors and the adjoint solution are obtained by the maximum principle for parabolic equations. Comparisons are made with Monte Carlo and quasi-Monte Carlo methods in one dimension, and the performance of the method is illustrated by examples in one, two, and three dimensions.

Research paper thumbnail of Iterative Methods for Pricing American Options under the Bates Model

Research paper thumbnail of Preconditioning for Radial Basis Function Partition of Unity Methods

Journal of Scientific Computing, 2015

Research paper thumbnail of Semi-Toeplitz Preconditioning for the Linearized Navier�Stokes Equations

Bit Numerical Mathematics, Jan 4, 2004

A Krylov iterative method in combination with a semi-Toeplitz preconditioner to solve the lineari... more A Krylov iterative method in combination with a semi-Toeplitz preconditioner to solve the linearized Navier–Stokes equations is presented. A scalar model problem is analyzed showing that the method has very favorable qualities. Numerical experiments for the flow problem corroborate the theory.

Research paper thumbnail of BENCHOP—The BENCHmarking project in Option Pricing

International Journal of Computer Mathematics, 2015

Research paper thumbnail of Numerical option pricing without oscillations using flux limiters

Computers & Mathematics with Applications, 2015

ABSTRACT A numerical method is developed for the solution of the Black–Scholes equation avoiding ... more ABSTRACT A numerical method is developed for the solution of the Black–Scholes equation avoiding the oscillations that are common close to a discontinuity in the pay-off function. Part of the derivatives are evaluated explicitly and part of them are computed implicitly using operator splitting. The method is second order accurate in time and almost of second order in the asset price for smooth solutions and no system of nonlinear equations has to be solved. A flux limiter modifies the first derivative in the equation such that no oscillations occur in the solution in the numerical examples presented.

Research paper thumbnail of Analysis of a semi-Toeplitz preconditioner for a convection-diffusion problem

We have dened and analyzed a semi-Toeplitz preconditioner for timedependentand steady-state conve... more We have dened and analyzed a semi-Toeplitz preconditioner for timedependentand steady-state convection-diusion problems. The preconditionerexhibits very good theoretical convergence properties. The analysis is corroboratedby numerical experiments.1

Research paper thumbnail of High-order adaptive space-discretizations for the Black-Scholes equation

In this paper we develop a high-order adaptive finite difference space-discretization for the Bla... more In this paper we develop a high-order adaptive finite difference space-discretization for the Black-Scholes (B-S) equation. The final condition is discontinuous in the first derivative yielding that the effec- tive rate of convergence is two, both for low-order and high-order stan- dard finite difference (FD) schemes. To obtain a sixth-order scheme we use an extra grid in a limited space-

Research paper thumbnail of On discontinuous Galerkin for time integration in option pricing problems with adaptive finite differences in space

ABSTRACT The discontinuous Galerkin method for time integration of the Black-Scholes partial diff... more ABSTRACT The discontinuous Galerkin method for time integration of the Black-Scholes partial differential equation for option pricing problems is studied and compared with more standard time-integrators. In space an adaptive finite difference discretization is employed. The results show that the dG method are in most cases at least comparable to standard time-integrators and in some cases superior to them. Together with adaptive spatial grids the suggested pricing method shows great qualities.

Research paper thumbnail of Pricing American options using a space-time adaptive finite difference method

Mathematics and Computers in Simulation, 2010

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