Michael D. Marcozzi - researchr alias

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Viewing Publication 1 - 9 from 9

2015

Optimal control of ultradiffusion processes with application to mathematical financeMichael D. Marcozzi. ijcm, 92(2):296-318, 2015. [doi]

2012

Asset liquidity and the valuation of derivative securitiesYanan Jiang, Michael D. Marcozzi. jcam, 236(17):4525-4536, 2012. [doi]

2011

An adaptive extrapolation discontinuous Galerkin method for the valuation of Asian optionsMichael D. Marcozzi. jcam, 235(12):3632-3645, 2011. [doi]

2008

On the Approximation of Infinite Dimensional Optimal Stopping Problems with Application to Mathematical FinanceMichael D. Marcozzi. jscic, 34(3):287-307, 2008. [doi]

2007

Pricing Multi-Asset American Options: A Finite Element Method-of-Lines with Smooth PenaltyPavlo Kovalov, Vadim Linetsky, Michael D. Marcozzi. jscic, 33(3):209-237, 2007. [doi]

2004

A numerical analysis of variational valuation techniques for derivative securitiesI. Sapariuc, Michael D. Marcozzi, J. E. Flaherty. amc, 159(1):171-198, 2004. [doi]

2003

On the Valuation of Asian Options by Variational MethodsMichael D. Marcozzi. siamsc, 24(4):1124-1140, 2003. [doi]

2001

On the Approximation of Optimal Stopping Problems with Application to Financial MathematicsMichael D. Marcozzi. siamsc, 22(5):1865-1884, 2001. [doi]

On the use of boundary conditions for variational formulations arising in financial mathematicsMichael D. Marcozzi, Seungmook Choi, C. S. Chen. amc, 124(2):197-214, 2001. [doi]

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