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Desmond John Higham · Study
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Author
Desmond John Higham
11 works
· latest 2021
· 2 institutions
cluster: provisional
ORCID 0000-0002-6635-3461
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Citations
860
Works here
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21
Most cited in this library
An Introduction to Financial Option Valuation
2004 · 184 citations
Convergence of Monte Carlo simulations involving the mean-reverting square root process
2005 · 162 citations
Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model
2010 · 105 citations
Convergence, non-negativity and stability of a new Milstein scheme with applications to finance
2013 · 79 citations
Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff
2009 · 78 citations
Works
11 shown
An Introduction to the Numerical Simulation of Stochastic Differential Equations
Society for Industrial and Applied Mathematics eBooks
·
2021
·
2 authors
·
book
68
citations
Complexity of Multilevel Monte Carlo Tau-Leaping
SIAM Journal on Numerical Analysis
·
2014
·
2 authors
·
Open access
29
citations
Convergence, non-negativity and stability of a new Milstein scheme with applications to finance
Discrete and Continuous Dynamical Systems - B
·
2013
·
3 authors
·
Open access
79
citations
Mean Exit Times and the Multilevel Monte Carlo Method
SIAM/ASA Journal on Uncertainty Quantification
·
2013
·
5 authors
·
Open access
42
citations
Stochastic ordinary differential equations in applied and computational mathematics
IMA Journal of Applied Mathematics
·
2011
·
1 author
·
Open access
46
citations
Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model
BIT Numerical Mathematics
·
2010
·
4 authors
105
citations
Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff
Finance and Stochastics
·
2009
·
3 authors
·
Open access
78
citations
Convergence of Monte Carlo simulations involving the mean-reverting square root process
The Journal of Computational Finance
·
2005
·
2 authors
·
Open access
162
citations
An Introduction to Financial Option Valuation
Cambridge University Press eBooks
·
2004
·
1 author
·
book
184
citations
Nine Ways to Implement the Binomial Method for Option Valuation in MATLAB
SIAM Review
·
2002
·
1 author
42
citations
MAPLE and MATLAB for Stochastic Differential Equations in Finance
Advances in computational economics
·
2002
·
2 authors
·
chapter
25
citations