Michael D. Marcozzi

According to our database, Michael D. Marcozzi authored at least 9 papers between 2001 and 2015.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of five.

2015

Optimal control of ultradiffusion processes with application to mathematical finance.

Michael D. Marcozzi

Int. J. Comput. Math., 2015

2012

Asset liquidity and the valuation of derivative securities.

Yanan Jiang, Michael D. Marcozzi

J. Comput. Appl. Math., 2012

2011

An adaptive extrapolation discontinuous Galerkin method for the valuation of Asian options.

Michael D. Marcozzi

J. Comput. Appl. Math., 2011

2008

On the Approximation of Infinite Dimensional Optimal Stopping Problems with Application to Mathematical Finance.

Michael D. Marcozzi

J. Sci. Comput., 2008

2007

Pricing Multi-Asset American Options: A Finite Element Method-of-Lines with Smooth Penalty.

Pavlo Kovalov, Vadim Linetsky, Michael D. Marcozzi

J. Sci. Comput., 2007

2004

A numerical analysis of variational valuation techniques for derivative securities.

I. Sapariuc, Michael D. Marcozzi, J. E. Flaherty

Appl. Math. Comput., 2004

2003

On the Valuation of Asian Options by Variational Methods.

Michael D. Marcozzi

SIAM J. Sci. Comput., 2003

2001

On the Approximation of Optimal Stopping Problems with Application to Financial Mathematics.

Michael D. Marcozzi

SIAM J. Sci. Comput., 2001

On the use of boundary conditions for variational formulations arising in financial mathematics.

Michael D. Marcozzi, Seungmook Choi, C. S. Chen

Appl. Math. Comput., 2001