TUT/MATH Computational finance publications
- J. Kanniainen, S. Mäkinen, R. Piche & A. Chakrabarti,
Forecasting the diffusion of innovation:
A stochastic Bass model with log-normal and
mean-reverting error process.
IEEE Transactions on Engineering Management
99 pp. 1-22, 2010.
- J. Kanniainen, Robert Piché & Tommi Mikkonen,
Use of Distributed Computing in Derivative Pricing,
Intl. J. of Electronic Finance 3(3), p. 270-283, 2009.
- R. Piché & J. Kanniainen, Matrix-based numerical modelling of
financial differential equations. International Journal of Mathematical
Modelling and Numerical Optimisation 1 (1/2), pp. 88-100, 2009.
- L. Tamminen, Pricing of Constant Maturity Spread Options in the
Deterministic Libor Market Model Framework, M.Sc. thesis, 2008.
- A. Verraux, Solution of Black-Scholes equation (in French),
M.Sc. thesis, 2008.
- J. Kanniainen, Robert Piché & Tommi Mikkonen,
Use of Distributed Computing in Derivative
Pricing,
5th Int. Conference on Computational Management Science,
26-28 March 2008, London.
- Tommi Hörkkö, Option Pricing under Jump
Diffusion Process Using Spectral Collocation (in Finnish),
M.Sc. thesis, 2008. codes
- R. Piché & J. Kanniainen, Solving financial
differential equations using differentiation matrices. Proceedings of
World Congress on Engineering, London, UK, 2-4 July, 2007, pp.
1016-1022. paper,
codes