Roman N. Makarov

According to our database, Roman N. Makarov authored at least 4 papers between 2005 and 2017.

Collaborative distances:

• Dijkstra number of seven.
• Erdős number of seven.

2017

Solvable Diffusion Models with Linear and Mean-Reverting Nonlinear Drifts.

Giuseppe Campolieti, Roman N. Makarov

SIAM J. Financial Math., 2017

2010

Exact simulation of Bessel diffusions.

Roman N. Makarov, Devin Glew

Monte Carlo Methods Appl., 2010

2007

Stochastic Algorithms with Hermite Cubic Spline Interpolation for Global Estimation of Solutions of Boundary Value Problems.

Roman N. Makarov, Elena V. Shkarupa

SIAM J. Sci. Comput., 2007

2005

Parallel Lattice Implementation for Option Pricing under Mixed State-Dependent Volatility Models.

Giuseppe Campolieti, Roman N. Makarov

Proceedings of the 19th Annual International Symposium on High Performance Computing Systems and Applications (HPCS 2005), 2005