Kim Volders

Research

Stability of finite difference methods on non-uniform grids for partial differential equations from financial mathematics.

Publications

  • in 't Hout Karel, Volders Kim, Stability and convergence analysis of discretizations of the
    Black-Scholes PDE with the linear boundary condition
    , submitted for publication (2012).
  • Volders Kim, Stability of central finite difference schemes on non-uniform grids for the Black-Scholes PDE with Neumann boundary condition, AIP conference proceedings / American Institute of Physics - ISSN 0094-243X - 1479(2012), p. 2178-2181.
  • in 't Hout Karel, Volders Kim, Stability of central finite difference schemes for the Heston PDE, Numerical algorithms - ISSN 1017-1398 - 60:1(2012), p. 115-133.
  • Haentjens Tinne, in 't Hout Karel, Volders Kim, ADI schemes with Ikonen-Toivanen splitting for pricing American put options in the Heston model, AIP conference proceedings / American Institute of Physics - ISSN 0094-243X - 1281(2010), p. 231-234.
  • Volders Kim, Stability of central finite difference schemes on nonuniform grids for 1D partial differential equations with variable coefficients, AIP conference proceedings / American Institute of Physics - ISSN 0094-243X - 1281(2010), p. 1991-1994.
  • in 't Hout Karel, Volders Kim, Stability of central finite difference schemes on non-uniform grids for the Black-Scholes equation, Applied numerical mathematics - ISSN 0168-9274 - 59:10(2009), p. 2593-2609.

Coordinates

Address:
Kim Volders
Universiteit Antwerpen
Middelheimcampus
M.G.307
Middelheimlaan 1
2020 Antwerpen
Belgium

E-mail: Kim.Volders@ua.ac.be

Phone: +32 3 265 3854