Kenneth R. Jackson

According to our database, Kenneth R. Jackson authored at least 21 papers between 1986 and 2020.

Collaborative distances:

• Dijkstra number of three.
• Erdős number of four.

2020

Mixing LSMC and PDE Methods to Price Bermudan Options.

David Farahany, Kenneth R. Jackson, Sebastian Jaimungal

SIAM J. Financial Math., 2020

2017

Correlated multivariate Poisson processes and extreme measures.

Michael Chiu, Kenneth R. Jackson, Alexander Kreinin

Model. Assist. Stat. Appl., 2017

Efficient valuation of SCR via a neural network approach.

Seyed Amir Hejazi, Kenneth R. Jackson

J. Comput. Appl. Math., 2017

2015

Adaptive time-stepping for the strong numerical solution of stochastic differential equations.

Silvana Ilie, Kenneth R. Jackson, Wayne H. Enright

Numer. Algorithms, 2015

2014

Graphics processing unit pricing of exotic cross-currency interest rate derivatives with a foreign exchange volatility skew model.

Duy Minh Dang, Christina C. Christara, Kenneth R. Jackson

Concurr. Comput. Pract. Exp., 2014

2013

A Highly Efficient Implementation on GPU Clusters of PDE-Based Pricing Methods for Path-Dependent Foreign Exchange Interest Rate Derivatives.

Duy Minh Dang, Christina C. Christara, Kenneth R. Jackson

Proceedings of the Computational Science and Its Applications - ICCSA 2013, 2013

2012

An efficient graphics processing unit-based parallel algorithm for pricing multi-asset American options.

Duy Minh Dang, Christina C. Christara, Kenneth R. Jackson

Concurr. Comput. Pract. Exp., 2012

2010

A PDE pricing framework for cross-currency interest rate derivatives.

Duy Minh Dang, Christina C. Christara, Kenneth R. Jackson, Asif Lakhany

Proceedings of the International Conference on Computational Science, 2010

2007

A Fast Shadowing Algorithm for High-Dimensional ODE Systems.

Wayne B. Hayes, Kenneth R. Jackson

SIAM J. Sci. Comput., 2007

On Taylor Model Based Integration of ODEs.

Markus Neher, Kenneth R. Jackson, Nedialko S. Nedialkov

SIAM J. Numer. Anal., 2007

Option Valuation using Fourier Space Time Stepping

Kenneth R. Jackson, Sebastian Jaimungal, Vladimir Surkov

CoRR, 2007

2006

Quadratic spline methods for the shallow water equations on the sphere: Collocation.

Anita T. Layton, Christina C. Christara, Kenneth R. Jackson

Math. Comput. Simul., 2006

Quadratic spline methods for the shallow water equations on the sphere: Galerkin.

Anita T. Layton, Christina C. Christara, Kenneth R. Jackson

Math. Comput. Simul., 2006

2003

Rigorous Shadowing of Numerical Solutions of Ordinary Differential Equations by Containment.

Wayne B. Hayes, Kenneth R. Jackson

SIAM J. Numer. Anal., 2003

PMIRKDC: a parallel mono-implicit Runge-Kutta code with defect control for boundary value ODEs.

P. H. Muir, R. N. Pancer, Kenneth R. Jackson

Parallel Comput., 2003

2001

An Effective High-Order Interval Method for Validating Existence and Uniqueness of the Solution of an IVP for an ODE.

Nedialko S. Nedialkov, Kenneth R. Jackson, John D. Pryce

Reliab. Comput., 2001

A New Perspective on the Wrapping Effect in Interval Methods for Initial Value Problems for Ordinary Differential Equations.

Nedialko S. Nedialkov, Kenneth R. Jackson

Proceedings of the Perspectives on Enclosure Methods, 2001

1999

An Interval Hermite-Obreschkoff Method for Computing Rigorous Bounds on the Solution of an Initial Value Problem for an Ordinary Differential Equation.

Nedialko S. Nedialkov, Kenneth R. Jackson

Reliab. Comput., 1999

Validated solutions of initial value problems for ordinary differential equations.

Nedialko S. Nedialkov, Kenneth R. Jackson, George F. Corliss

Appl. Math. Comput., 1999

1997

DIMSEMs - diagonally implicit single-eigenvalue methods for the numerical solution of stiff ODEs on parallel computers.

Robert F. Enenkel, Kenneth R. Jackson

Adv. Comput. Math., 1997

1986

Interpolants for Runge-Kutta formulas.

Wayne H. Enright, Kenneth R. Jackson, Syvert P. Nørsett, Per Grove Thomsen

ACM Trans. Math. Softw., 1986