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Fast numerical solution for fractional diffusion equations by exponential quadrature rule Journal article
Zhang,Lu, Sun,Hai Wei, Pang,Hong Kui. Fast numerical solution for fractional diffusion equations by exponential quadrature rule[J]. Journal of Computational Physics, 2015, 299, 130-143.
Authors:  Zhang,Lu;  Sun,Hai Wei;  Pang,Hong Kui
Favorite | TC[WOS]:25 TC[Scopus]:26 | Submit date：2019/05/27
Exponential Quadrature Rule  Fractional Diffusion Equation  Matrix Exponential  Preconditioned Gmres  Shift-invert Arnoldi  Toeplitz-like Structure  
Fast exponential time integration for pricing options in stochastic volatility jump diffusion models Journal article
Pang,Hong Kui, Sun,Hai Wei. Fast exponential time integration for pricing options in stochastic volatility jump diffusion models[J]. East Asian Journal on Applied Mathematics, 2014, 4(1), 52-68.
Authors:  Pang,Hong Kui;  Sun,Hai Wei
Favorite | TC[WOS]:13 TC[Scopus]:13 | Submit date：2019/05/27
Barrier Option  European Option  Matrix Exponential  Matrix Splitting  Multigrid Method  Partial Integrodifferential Equation  Shift-invert Arnoldi  Stochastic Volatility Jump Diffusion  
Fast exponential time integration scheme for option pricing with jumps Journal article
Lee,Spike T., Liu,Xin, Sun,Hai Wei. Fast exponential time integration scheme for option pricing with jumps[J]. Numerical Linear Algebra with Applications, 2012, 19(1), 87-101.
Authors:  Lee,Spike T.;  Liu,Xin;  Sun,Hai Wei
Favorite | TC[WOS]:17 TC[Scopus]:17 | Submit date：2019/05/27
Generating Function  Jump-diffusion  Option Pricing  Shift-and-invert Arnoldi Method  Toeplitz Matrix Exponential  
Shift-invert arnoldi approximation to the toeplitz matrix exponential Journal article
Lee,Spike T., Pang,Hong Kui, Sun,Hai Wei. Shift-invert arnoldi approximation to the toeplitz matrix exponential[J]. SIAM Journal on Scientific Computing, 2010, 32(2), 774-792.
Authors:  Lee,Spike T.;  Pang,Hong Kui;  Sun,Hai Wei
Favorite | TC[WOS]:48 TC[Scopus]:49 | Submit date：2019/05/27
Krylov Subspace  Matrix Exponential  Numerical Range  Shift-invert Arnoldi Method  Toeplitz Matrix