Karel In't Hout
- Research interest:Analysis and development of numerical methods for time-dependent differential equations with applications to financial mathematics.
- Keywords:MATHEMATICS, Mathematics
- Disciplines:Partial differential equations, Game theory, economics, social and behavioural sciences, Numerical analysis, Numerical computation
- Research techniques:Mathematical proofs, numerical algorithms, computer implementations.
- Users of research expertise:R&D departments in industry using differential equations to model their processes, notably financial applications.
1 - 9 of 9 results
- Convergence analysis and application of ADI schemes for partial differential equations from financial mathematics.From1 Oct 2016 → 31 Jul 2017Funding: FWO fellowships
- Developing and calibrating tractable cutting-edge multivariate financial models.From1 Mar 2016 → 31 Dec 2019Funding: BOF - Doctoral projects (pro memore - non-attributable)
- Convergence analysis and application of ADI schemes for partial differential equations from financial mathematics.From1 Oct 2014 → 30 Sep 2016Funding: FWO fellowships
- Convergence analysis and application of ADI schemes for partial differential equations from financial mathematics.From1 Oct 2013 → 30 Sep 2014Funding: Fund Recuperation Fiscal Exemption
- Novel methods in computational finance (STRIKE).From1 Jan 2013 → 31 Dec 2016Funding: Marie Curie - People
- Stability of finite difference methods on non-uniform grids for partial differential equations from financial mathematics.From1 Oct 2011 → 31 Jan 2013Funding: FWO fellowships
- Stochastic modeling with applications in financial markets.From1 Jan 2011 → TodayFunding: FWO scientific research network
- Stability of finite difference methods on non-uniform grids for partial differential equations from financial mathematics.From1 Oct 2009 → 30 Sep 2011Funding: FWO fellowships
- Design of new models and techniques for high performance financial applications.From1 Jan 2008 → 31 Dec 2011Funding: FWO research project
1 - 10 of 28 results
- Special issue(2018)Journal: Journal of Computational ScienceVolume: 24
Authors: Karel In't Hout, Andrey Itkin, Lina von Sydow, Jari ToivanenPages: 180 - 181
- On multistep stabilizing correction splitting methods with applications to the Heston Model(2018)Journal: SIAM Journal on Scientific ComputingISSN: 1064-8275Volume: 40
Authors: W. Hundsdorfer, Karel In't HoutPages: A1408 - A1429
- An adjoint method for the exact calibration of stochastic local volatility models(2018)Journal: Journal of Computational ScienceVolume: 24Pages: 182 - 194
- ADI schemes for valuing European options under the Bates model(2018)Journal: Applied Numerical MathematicsISSN: 0168-9274Volume: 130
Authors: Karel In't Hout, Jari ToivananPages: 143 - 156
- Numerical study of splitting methods for American option valuation(2017)Book: Novel methods in computational finance / Ehrhardt, Matthias [edit.]Pages: 373 - 398
- Numerical partial differential equations in finance explained(2017)Edition: 99Series: Financial engineering explaineVolume: 99
Authors: Karel In't HoutNumber of pages: 128
- Modified Douglas splitting methods for reactiondiffusion equations(2017)Journal: BIT : Numerical MathematicsISSN: 0006-3835Volume: 57
Authors: A. Arrarás, Karel In't Hout, W. Hundsdorfer, L. PoteroPages: 261 - 285
- Application of operator splitting methods in finance(2016)Book: Splitting methods in communication, imaging, science, and engineering / Glowinski, Roland [edit.]; et al.
Authors: Karel In't Hout, Jari ToivanenPages: 541 - 575
- Convergence of the Modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term(2016)Journal: Journal of Computational and Applied MathematicsISSN: 0377-0427Volume: 296Pages: 170 - 180
- Analytic models for parameter dependency in option price modelling(2016)Journal: Numerical AlgorithmsISSN: 1017-1398Volume: 73Pages: 15 - 31