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Novel numerical techniques based on mimetic finite difference method for pricing two dimensional options

Results in Applied Mathematics
2022 | Journal article
DOI: 10.1016/j.rinam.2021.100229
EID:

2-s2.0-85121806114

Part of ISSN: 25900374
Contributors: Attipoe, D.S.; Tambue, A.
Source: Self-asserted source
Antoine Tambue via Scopus - Elsevier

Semi-Lagrangian discontinuous Galerkin methods for scalar hyperbolic conservation laws

International Journal for Numerical Methods in Fluids
2022 | Journal article
DOI: 10.1002/fld.5063
EID:

2-s2.0-85124730855

Part of ISSN: 10970363 02712091
Contributors: Kometa, B.K.; Tambue, A.; Iqbal, N.
Source: Self-asserted source
Antoine Tambue via Scopus - Elsevier

Strong convergence of an fractional exponential integrator scheme for the finite element discretization of time-fractional SPDE driven by standard and fractional Brownian motions

arXiv
2022 | Other
EID:

2-s2.0-85124783026

Part of ISSN: 23318422
Contributors: Noupelah, A.J.; Tambue, A.; Woukeng, J.L.
Source: Self-asserted source
Antoine Tambue via Scopus - Elsevier

A fitted finite volume method for stochastic optimal control problems in finance

AIMS Mathematics
2021 | Journal article
DOI: 10.3934/math.2021186
EID:

2-s2.0-85099973863

Part of ISSN: 24736988
Contributors: Nyoumbi, C.D.; Tambue, A.
Source: Self-asserted source
Antoine Tambue via Scopus - Elsevier

A Fitted L-Multi-Point Flux Approximation Method for Pricing Options

Computational Economics
2021 | Journal article
DOI: 10.1007/s10614-021-10161-2
EID:

2-s2.0-85117036650

Part of ISSN: 15729974 09277099
Contributors: Koffi, R.S.; Tambue, A.
Source: Self-asserted source
Antoine Tambue via Scopus - Elsevier

A novel high dimensional fitted scheme for stochastic optimal control problems

arXiv
2021 | Other
EID:

2-s2.0-85115831382

Part of ISSN: 23318422
Contributors: Nyoumbi, C.D.; Tambue, A.
Source: Self-asserted source
Antoine Tambue via Scopus - Elsevier

A Novel High Dimensional Fitted Scheme for Stochastic Optimal Control Problems

Computational Economics
2021 | Journal article
DOI: 10.1007/s10614-021-10197-4
EID:

2-s2.0-85115606102

Part of ISSN: 15729974 09277099
Contributors: Dleuna Nyoumbi, C.; Tambue, A.
Source: Self-asserted source
Antoine Tambue via Scopus - Elsevier

Convergence of the mimetic finite difference and fitted mimetic finite difference method for options pricing

Applied Mathematics and Computation
2021 | Journal article
DOI: 10.1016/j.amc.2021.126060
EID:

2-s2.0-85101399540

Part of ISSN: 00963003
Contributors: Attipoe, D.S.; Tambue, A.
Source: Self-asserted source
Antoine Tambue via Scopus - Elsevier

Higher order stable schemes for stochastic convection–reaction–diffusion equations driven by additive Wiener noise

Mathematical Methods in the Applied Sciences
2021 | Journal article
DOI: 10.1002/mma.7588
EID:

2-s2.0-85107922995

Part of ISSN: 10991476 01704214
Contributors: Tambue, A.; Mukam, J.D.
Source: Self-asserted source
Antoine Tambue via Scopus - Elsevier

Optimal strong convergence rates of some Euler-type timestepping schemes for the finite element discretization SPDEs driven by additive fractional Brownian motion and Poisson random measure

Numerical Algorithms
2021 | Journal article
DOI: 10.1007/s11075-020-01041-1
EID:

2-s2.0-85097247657

Part of ISSN: 15729265 10171398
Contributors: Noupelah, A.J.; Tambue, A.
Source: Self-asserted source
Antoine Tambue via Scopus - Elsevier

A fitted finite volume method for stochastic optimal control Problems

arXiv
2020 | Other
EID:

2-s2.0-85095304415

Part of ISSN: 23318422
Contributors: Nyoumbi, C.D.; Tambue, A.
Source: Self-asserted source
Antoine Tambue via Scopus - Elsevier

A Fitted Multi-point Flux Approximation Method for Pricing Two Options

Computational Economics
2020 | Journal article
DOI: 10.1007/s10614-019-09906-x
EID:

2-s2.0-85068835089

Part of ISSN: 15729974 09277099
Contributors: Koffi, R.S.; Tambue, A.
Source: Self-asserted source
Antoine Tambue via Scopus - Elsevier

Magnus-type integrator for non-autonomous spdes driven by multiplicative noise

Discrete and Continuous Dynamical Systems- Series A
2020 | Journal article
DOI: 10.3934/dcds.2020194
EID:

2-s2.0-85086039763

Part of ISSN: 15535231 10780947
Contributors: Tambue, A.; Mukam, J.D.
Source: Self-asserted source
Antoine Tambue via Scopus - Elsevier

Optimal error estimate of the finite element approximation of second order semilinear non-autonomous parabolic PDEs

arXiv
2020 | Other
EID:

2-s2.0-85095360367

Part of ISSN: 23318422
Contributors: Tambue, A.; Mukam, J.D.
Source: Self-asserted source
Antoine Tambue via Scopus - Elsevier

Optimal error estimate of the finite element approximation of second order semilinear non-autonomous parabolic PDEs

Indagationes Mathematicae
2020 | Journal article
DOI: 10.1016/j.indag.2020.06.008
EID:

2-s2.0-85087211490

Part of ISSN: 00193577
Contributors: Tambue, A.; Mukam, J.D.
Source: Self-asserted source
Antoine Tambue via Scopus - Elsevier

Strong convergence of a stochastic Rosenbrock-type scheme for the finite element discretization of semilinear SPDEs driven by multiplicative and additive noise

Stochastic Processes and their Applications
2020 | Journal article
DOI: 10.1016/j.spa.2020.02.008
EID:

2-s2.0-85081552996

Part of ISSN: 03044149
Contributors: Mukam, J.D.; Tambue, A.
Source: Self-asserted source
Antoine Tambue via Scopus - Elsevier

Strong convergence of the linear implicit Euler method for the finite element discretization of semilinear non-autonomous SPDEs driven by multiplicative or additive noise

Applied Numerical Mathematics
2020 | Journal article
DOI: 10.1016/j.apnum.2019.08.009
EID:

2-s2.0-85071509297

Part of ISSN: 01689274
Contributors: Mukam, J.D.; Tambue, A.
Source: Self-asserted source
Antoine Tambue via Scopus - Elsevier

Strong convergence rates of an exponential integrator and finite elements method for time-fractional SPDEs driven by Gaussian and non-Gaussian noises

arXiv
2020 | Other
EID:

2-s2.0-85097832989

Part of ISSN: 23318422
Contributors: Noupelah, A.J.; Tambue, A.
Source: Self-asserted source
Antoine Tambue via Scopus - Elsevier

A fitted L-Multi-point Flux Approximation method for pricing options

arXiv
2019 | Other
EID:

2-s2.0-85093371614

Part of ISSN: 23318422
Contributors: Koffi, R.S.; Tambue, A.
Source: Self-asserted source
Antoine Tambue via Scopus - Elsevier

A fitted Multi-Point Flux Approximation method for pricing two options

arXiv
2019 | Other
EID:

2-s2.0-85094001581

Part of ISSN: 23318422
Contributors: Koffi, R.S.; Tambue, A.
Source: Self-asserted source
Antoine Tambue via Scopus - Elsevier

Approximation of homogenized coefficients in deterministic homogenization and convergence rates in the asymptotic almost periodic setting

arXiv
2019 | Other
EID:

2-s2.0-85110703119

Part of ISSN: 23318422
Contributors: Jäger, W.; Tambue, A.; Woukeng, J.L.
Source: Self-asserted source
Antoine Tambue via Scopus - Elsevier

Convergence of the Two Point Flux Approximation and a novel fitted Two-Point Flux Approximation method for pricing options

arXiv
2019 | Other
EID:

2-s2.0-85093441329

Part of ISSN: 23318422
Contributors: Koffi, R.S.; Tambue, A.
Source: Self-asserted source
Antoine Tambue via Scopus - Elsevier

Optimal strong convergence rates of numerical methods for semilinear parabolic SPDE driven by Gaussian noise and Poisson random measure

Computers and Mathematics with Applications
2019 | Journal article
DOI: 10.1016/j.camwa.2019.01.011
EID:

2-s2.0-85060879566

Part of ISSN: 08981221
Contributors: Mukam, J.D.; Tambue, A.
Source: Self-asserted source
Antoine Tambue via Scopus - Elsevier

Optimal strong convergence rates of some Euler-type timestepping schemes for the finite element discretization SPDEs driven by additive fractional Brownian motion and Poisson random measure

arXiv
2019 | Other
EID:

2-s2.0-85093406157

Part of ISSN: 23318422
Contributors: Noupelah, A.J.; Tambue, A.
Source: Self-asserted source
Antoine Tambue via Scopus - Elsevier

Stochastic exponential integrators for a finite element discretisation of SPDEs with additive noise

Applied Numerical Mathematics
2019 | Journal article
DOI: 10.1016/j.apnum.2018.10.008
EID:

2-s2.0-85055910891

Part of ISSN: 01689274
Contributors: Lord, G.J.; Tambue, A.
Source: Self-asserted source
Antoine Tambue via Scopus - Elsevier

Strong convergence and stability of the semi-tamed and tamed euler schemes for stochastic differential equations with jumps under non-global lipschitz condition

International Journal of Numerical Analysis and Modeling
2019 | Journal article
EID:

2-s2.0-85073675992

Part of ISSN: 17055105
Contributors: Tambue, A.; Mukam, J.D.
Source: Self-asserted source
Antoine Tambue via Scopus - Elsevier

Strong convergence of the backward Euler approximation for the finite element discretization of semilinear parabolic SPDEs with non-global Lipschitz drift driven by additive noise

arXiv
2019 | Other
EID:

2-s2.0-85093387878

Part of ISSN: 23318422
Contributors: Mukam, J.D.; Tambue, A.
Source: Self-asserted source
Antoine Tambue via Scopus - Elsevier

Strong convergence of the linear implicit Euler method for the finite element discretization of semilinear non-autonomous SPDEs driven by multiplicative or additive noise

arXiv
2019 | Other
EID:

2-s2.0-85093730396

Part of ISSN: 23318422
Contributors: Mukam, J.D.; Tambue, A.
Source: Self-asserted source
Antoine Tambue via Scopus - Elsevier

Strong convergence of the linear implicit Euler method for the finite element discretization of semilinear SPDEs driven by multiplicative or additive noise

Applied Mathematics and Computation
2019 | Journal article
DOI: 10.1016/j.amc.2018.09.073
EID:

2-s2.0-85055635611

Part of ISSN: 00963003
Contributors: Tambue, A.; Mukam, J.D.
Source: Self-asserted source
Antoine Tambue via Scopus - Elsevier

A modified semi–implicit Euler–Maruyama scheme for finite element discretization of SPDEs with additive noise

Applied Mathematics and Computation
2018 | Journal article
DOI: 10.1016/j.amc.2018.03.014
EID:

2-s2.0-85044581156

Part of ISSN: 00963003
Contributors: Lord, G.J.; Tambue, A.
Source: Self-asserted source
Antoine Tambue via Scopus - Elsevier

A note on exponential Rosenbrock–Euler method for the finite element discretization of a semilinear parabolic partial differential equation

Computers and Mathematics with Applications
2018 | Journal article
DOI: 10.1016/j.camwa.2018.07.025
EID:

2-s2.0-85051456010

Part of ISSN: 08981221
Contributors: Mukam, J.D.; Tambue, A.
Source: Self-asserted source
Antoine Tambue via Scopus - Elsevier

Convergence analysis of the Magnus-Rosenbrock type method for the finite element discretization of semilinear non-autonomous parabolic PDEs with nonsmooth initial data

arXiv
2018 | Other
EID:

2-s2.0-85092835529

Part of ISSN: 23318422
Contributors: Tambue, A.; Mukam, J.D.
Source: Self-asserted source
Antoine Tambue via Scopus - Elsevier

Convergence and stability of split-step-theta methods for stochastic differential equations with jumps under non-global Lipschitz drift coefficient

Rendiconti del Seminario Matematico
2018 | Journal article
EID:

2-s2.0-85076766073

Part of ISSN: 03731243
Contributors: Mukam, J.D.; Tambue, A.
Source: Self-asserted source
Antoine Tambue via Scopus - Elsevier

Convergence and Stability of Split-Step-Theta Methods for Stochastic Differential Equations with Jumps under Non-Global Lipschitz drift Coefficient

SSRN
2018 | Other
DOI: 10.2139/ssrn.3270310
EID:

2-s2.0-85115536520

Part of ISSN: 15565068
Contributors: Mukam, J.D.; Tambue, A.
Source: Self-asserted source
Antoine Tambue via Scopus - Elsevier

Magnus-type integrator for the finite element discretization of semilinear parabolic non-autonomous spdes driven by additive noise

arXiv
2018 | Other
EID:

2-s2.0-85092846854

Part of ISSN: 23318422
Contributors: Mukam, J.D.; Tambue, A.
Source: Self-asserted source
Antoine Tambue via Scopus - Elsevier

Magnus-type integrator for the finite element discretization of semilinear parabolic non-autonomous spdes driven by multiplicative noise

arXiv
2018 | Other
EID:

2-s2.0-85092854955

Part of ISSN: 23318422
Contributors: Tambue, A.; Mukam, J.D.
Source: Self-asserted source
Antoine Tambue via Scopus - Elsevier

Strong Convergence Analysis of the Stochastic Exponential Rosenbrock Scheme for the Finite Element Discretization of Semilinear SPDEs Driven by Multiplicative and Additive Noise

Journal of Scientific Computing
2018 | Journal article
DOI: 10.1007/s10915-017-0475-y
EID:

2-s2.0-85021150299

Part of ISSN: 08857474
Contributors: Mukam, J.D.; Tambue, A.
Source: Self-asserted source
Antoine Tambue via Scopus - Elsevier

Strong Convergence of a Stochastic Rosenbrock-type Scheme for the Finite Element Discretization of Semilinear SPDEs Driven by Multiplicative and Additive Noise

arXiv
2018 | Other
EID:

2-s2.0-85095335021

Part of ISSN: 23318422
Contributors: Mukam, J.D.; Tambue, A.
Source: Self-asserted source
Antoine Tambue via Scopus - Elsevier

A note on stochastic exponential integrators for the finite element discretization of semilinear SPDEs driven by additive noise

arXiv
2017 | Other
EID:

2-s2.0-85092872927

Part of ISSN: 23318422
Contributors: Tambue, A.; Mukam, J.D.
Source: Self-asserted source
Antoine Tambue via Scopus - Elsevier

Null controllability and numerical method for Crocco equation with incomplete data based on an exponential integrator and finite difference-finite element method

Computers and Mathematics with Applications
2017 | Journal article
DOI: 10.1016/j.camwa.2017.03.007
EID:

2-s2.0-85017226256

Part of ISSN: 08981221
Contributors: Yacouba, S.; Tambue, A.
Source: Self-asserted source
Antoine Tambue via Scopus - Elsevier

Strong convergence of the linear implicit euler method for the finite element discretization of semilinear SPDEs driven by multiplicative and additive noise

arXiv
2017 | Other
EID:

2-s2.0-85095332096

Part of ISSN: 23318422
Contributors: Tambue, A.; Mukam, J.D.
Source: Self-asserted source
Antoine Tambue via Scopus - Elsevier

An exponential integrator for finite volume discretization of a reaction-advection-diffusion equation

Computers and Mathematics with Applications
2016 | Journal article
DOI: 10.1016/j.camwa.2016.03.001
EID:

2-s2.0-84961886534

Part of ISSN: 08981221
Contributors: Tambue, A.
Source: Self-asserted source
Antoine Tambue via Scopus - Elsevier

Localized modulated wave solutions in diffusive glucose-insulin systems

Physics Letters, Section A: General, Atomic and Solid State Physics
2016 | Journal article
DOI: 10.1016/j.physleta.2016.04.039
EID:

2-s2.0-84964859198

Part of ISSN: 03759601
Contributors: Mvogo, A.; Tambue, A.; Ben-Bolie, G.H.; Kofané, T.C.
Source: Self-asserted source
Antoine Tambue via Scopus - Elsevier

Localized numerical impulse solutions in diffuse neural networks modeled by the complex fractional Ginzburg-Landau equation

Communications in Nonlinear Science and Numerical Simulation
2016 | Journal article
DOI: 10.1016/j.cnsns.2016.03.008
EID:

2-s2.0-84962809805

Part of ISSN: 10075704
Contributors: Mvogo, A.; Tambue, A.; Ben-Bolie, G.H.; Kofané, T.C.
Source: Self-asserted source
Antoine Tambue via Scopus - Elsevier

Weak convergence for a stochastic exponential integrator and finite element discretization of stochastic partial differential equation with multiplicative & additive noise

Applied Numerical Mathematics
2016 | Journal article
DOI: 10.1016/j.apnum.2016.04.013
EID:

2-s2.0-84971012444

Part of ISSN: 01689274
Contributors: Tambue, A.; Ngnotchouye, J.M.T.
Source: Self-asserted source
Antoine Tambue via Scopus - Elsevier

A stochastic delay model for pricing debt and equity: Numerical techniques and applications

Communications in Nonlinear Science and Numerical Simulation
2015 | Journal article
DOI: 10.1016/j.cnsns.2014.05.010
EID:

2-s2.0-84905387386

Part of ISSN: 10075704
Contributors: Tambue, A.; Kemajou Brown, E.; Mohammed, S.
Source: Self-asserted source
Antoine Tambue via Scopus - Elsevier

Efficient numerical simulation of incompressible two-phase flowin heterogeneous porous media based on exponential rosenbrock-euler method and lower-order rosenbrock-type method

Journal of Porous Media
2013 | Journal article
DOI: 10.1615/JPorMedia.v16.i5.10
EID:

2-s2.0-84877678171

Part of ISSN: 1091028X
Contributors: Tambue, A.
Source: Self-asserted source
Antoine Tambue via Scopus - Elsevier

Efficient simulation of geothermal processes in heterogeneous porous media based on the exponential Rosenbrock-Euler and Rosenbrock-type methods

Advances in Water Resources
2013 | Journal article
DOI: 10.1016/j.advwatres.2012.12.004
EID:

2-s2.0-84872532191

Part of ISSN: 03091708
Contributors: Tambue, A.; Berre, I.; Nordbotten, J.M.
Source: Self-asserted source
Antoine Tambue via Scopus - Elsevier

Stochastic exponential integrators for the finite element discretization of SPDEs for multiplicative and additive noise

IMA Journal of Numerical Analysis
2013 | Journal article
DOI: 10.1093/imanum/drr059
EID:

2-s2.0-84876228475

Part of ISSN: 14643642 02724979
Contributors: Lord, G.J.; Tambue, A.
Source: Self-asserted source
Antoine Tambue via Scopus - Elsevier

Exponential euler time integrator for isothermal incompressible two-phase flow in heterogeneous porous media

International Symposium on Advances in Computational Heat Transfer
2012 | Conference paper
DOI: 10.1615/ICHMT.2012.CHT-12.620
EID:

2-s2.0-85066286300

Part of ISSN: 25785486
Contributors: Tambue, A.
Source: Self-asserted source
Antoine Tambue via Scopus - Elsevier
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Peer review (5 reviews for 5 publications/grants)

Review activity for Applied numerical mathematics. (1)
Review activity for Fractional calculus and applied analysis (1)
Review activity for GEM. (1)
Review activity for ISA transactions. (1)
Review activity for Journal of scientific computing. (1)
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