Article

Düring, Bertram and Heuer, Christof (2015) High-order compact schemes for parabolic problems with mixed derivatives in multiple space dimensions. SIAM Journal on Numerical Analysis, 53 (5). pp. 2113-2134. ISSN 0036-1429

Düring, Bertram, Fournié, Michel and Heuer, Christof (2014) High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids. Journal of Computational and Applied Mathematics, 271. pp. 247-266. ISSN 0377-0427

Book Section

Dűring, Bertram and Heuer, Christof (2017) Essentially high-order compact schemes with application to stochastic volatility models on non-uniform grids. In: Erhhardt, Matthias, Gunther, Michael and ter Maten, E. Jan W (eds.) Novel Methods of Computational Finance. The European Consortium of Mathematics in Industry, 25 . Springer International, pp. 313-319. ISBN 9783319612829

Düring, Bertram and Heuer, Christof (2015) High-order compact schemes for Black-Scholes basket options. In: Progress in industrial mathematics at ECMI 2014. Mathematics in industry . Springer. ISBN 9783642427596

Thesis

Heuer, Christof (2014) High-order compact finite difference schemes for parabolic partial differential equations with mixed derivative terms and applications in computational finance. Doctoral thesis (PhD), University of Sussex.