Christian Hendricks

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All published works

Action	Title	Year	Authors
+	Hybrid finite-difference/pseudospectral methods for the Heston and Heston–Hull–White partial differential equations	2018	Christian Hendricks Matthias Ehrhardt Michael Günther
+	Error Splitting Preservation for High Order Finite Difference Schemes in the Combination Technique	2017	Christian Hendricks Matthias Ehrhardt Michael Günther
+ PDF Chat	Sparse Grid High-Order ADI Scheme for Option Pricing in Stochastic Volatility Models	2017	Bertram Düring Christian Hendricks James A. Miles
+	High-order ADI finite difference schemes for parabolic equations in the combination technique with application in finance	2016	Christian Hendricks Christof Heuer Matthias Ehrhardt Michael Günther
+	Hybrid Finite–Difference/Pseudospectral Methods for the Heston and Heston–Hull–White Partial Differential Equations	2016	Christian Hendricks Matthias Ehrhardt Michael Günther
+ PDF Chat	Sparse Grid High-Order ADI Scheme for Option Pricing in Stochastic Volatility Models	2016	Bertram Düring Christian Hendricks James A. Miles
+	Sparse grid high-order ADI scheme for option pricing in stochastic volatility models	2016	Bertram Düring Christian Hendricks James Miles
+	High-order ADI schemes for diffusion equations with mixed derivatives in the combination technique	2015	Christian Hendricks Matthias Ehrhardt Michael Günther
+	HIGH ORDER COMBINATION TECHNIQUE FOR THE EFFICIENT PRICING OF BASKET OPTIONS	2015	Christian Hendricks Matthias Ehrhardt Matthias Gunther

Common Coauthors

Coauthor	Papers Together
Matthias Ehrhardt	6
Michael Günther	5
Bertram Düring	3
James A. Miles	2
Christof Heuer	1
Matthias Gunther	1
James Miles	1

Commonly Cited References

Action	Title	Year	Authors	# of times referenced
+	Smoothing of initial data and rates of convergence for parabolic difference equations	1970	H.- Kreiss Vidar Thomée Olof B. Widlund	4
+ PDF Chat	High-Order ADI Schemes for Convection-Diffusion Equations with Mixed Derivative Terms	2013	Bertram Düring Michel Fournié Alain Rigal	4
+ PDF Chat	Accuracy and stability of splitting with Stabilizing Corrections	2002	Willem Hundsdorfer	4
+ PDF Chat	Analysis of linear difference schemes in the sparse grid combination technique	2012	Christoph Reisinger	4
+	Improved forms of the alternating direction methods of Douglas, Peaceman, and Rachford for solving parabolic and elliptic equations	1964	A. R. Mitchell Graeme Fairweather	3
+	Pricing Financial Instruments: The Finite Difference Method	2000	C. J. Randall Domingo Tavella	3
+ PDF Chat	Stability of ADI schemes applied to convection–diffusion equations with mixed derivative terms	2006	K.J. in 't Hout Bruno D. Welfert	3
+	ADI finite difference schemes for option pricing in the Heston model with correlation	2008	Karel in ’t Hout S. Foulon	3
+	A single cell high order scheme for the convection‐diffusion equation with variable coefficients	1984	Murli M. Gupta Ram P. Manohar J. W. Stephenson	3
+	High-order ADI schemes for diffusion equations with mixed derivatives in the combination technique	2015	Christian Hendricks Matthias Ehrhardt Michael Günther	3
+ PDF Chat	Time Integration of the Shallow Water Equations in Spherical Geometry	2001	D. Lanser J.G. Blom J.G. Verwer	3
+ PDF Chat	High-order compact finite difference scheme for option pricing in stochastic volatility models	2012	Bertram Düring Michel Fournié	3
+	Numerical Solution of Time-Dependent Advection-Diffusion-Reaction Equations	2003	Willem Hundsdorfer J.G. Verwer	3
+	The Numerical Solution of Parabolic and Elliptic Differential Equations	1955	D.W. Peaceman H.H. Rachford	3
+	Efficient numerical methods for pricing American options under stochastic volatility	2007	Samuli Ikonen Jari Toivanen	2
+	Extension of high‐order compact schemes to time‐dependent problems	2001	William Spotz Graham F. Carey	2
+ PDF Chat	On the numerical solution of heat conduction problems in two and three space variables	1956	Jim Douglas H.H. Rachford	2
+	High order ADI method for solving unsteady convection–diffusion problems	2004	Samir Karaa Jun Zhang	2
+ PDF Chat	Alternating Direction Implicit Methods for Parabolic Equations with a Mixed Derivative	1980	Richard M. Beam R. F. Warming	2
+ PDF Chat	Stability of ADI schemes for multidimensional diffusion equations with mixed derivative terms	2013	Karel J. in ’t Hout Chittaranjan Mishra	2
+	Convergence of Fourth Order Compact Difference Schemes for Three‐Dimensional Convection‐Diffusion Equations	2007	Givi Berikelashvili Murli M. Gupta Manana Mirianashvili	2
+	An alternating-direction implicit scheme for parabolic equations with mixed derivatives	1988	I. J. D. Craig A. D. Sneyd	2
+	The Convergence Rate for Difference Approximations to General Mixed Initial-Boundary Value Problems	1981	Bertil Gustafsson	2
+	Unconditional stability of second-order ADI schemes applied to multi-dimensional diffusion equations with mixed derivative terms	2008	Karel J. in ’t Hout Bruno D. Welfert	2
+ PDF Chat	Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation	2004	Bertram Düring Michel Fournié Ansgar Jüngel	2
+ PDF Chat	Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options	2012	M. J. Ruijter Cornelis W. Oosterlee	2
+	High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids	2014	Bertram Düring Michel Fournié Christof Heuer	2
+	GPU based sparse grid technique for solving multidimensional options pricing PDEs	2009	Abhijeet Gaikwad Ioane Muni Toke	2
+	High-order ADI scheme for option pricing in stochastic volatility models	2016	Bertram Düring James A. Miles	2
+	High Order Compact Schemes in Projection Methods for Incompressible Viscous Flows	2010	Michel Fournié Alain Rigal	2
+ PDF Chat	High-Order Compact Schemes for Parabolic Problems with Mixed Derivatives in Multiple Space Dimensions	2015	Bertram Düring Christof Heuer	2
+ PDF Chat	High Order Compact Finite Difference Schemes for a Nonlinear Black-Scholes Equation	2003	Bertram Düring Michel Fournié Ansgar Jüngel	2
+	None	1999	Willem Hundsdorfer	1
+ PDF Chat	Sparse grids for the Schrödinger equation	2007	Michael Griebel Jan Hamaekers	1
+ PDF Chat	A note on stability of the Douglas splitting method	1998	Willem Hundsdorfer	1
+ PDF Chat	New monotone type approximations for elliptic problems	1964	James H. Bramble B. E. Hubbard	1
+	ADI finite difference schemes for the Heston-Hull-White PDE	2011	Tinne Haentjens Karel J. in ’t Hout	1
+ PDF Chat	High-Order ADI Scheme for Option Pricing in Stochastic Volatility Models	2015	Bertram Düring James A. Miles	1
+	A new stability result for the modified Craig–Sneyd scheme applied to two-dimensional convection–diffusion equations with mixed derivatives	2016	Chittaranjan Mishra	1
+	Discrete maximum principle for finite-difference operators	1970	Philippe G. Ciarlet	1
+	High order compact scheme with multigrid local mesh refinement procedure for convection diffusion problems	2002	Jun Zhang Hai‐Wei Sun Jennifer J. Zhao	1
+	[Review of: W. Hundsdorfer, J.G. Verwer (2003) Numerical Solution of Time-Dependent Advection-Diffusion-Reaction Equations]	2006	Jan Brandts	1
+ PDF Chat	Stability of the modified Craig–Sneyd scheme for two-dimensional convection–diffusion equations with mixed derivative term	2011	Karel J. in ’t Hout Chittaranjan Mishra	1
+	Convergence and performance of iterative methods for solving variable coefficient convection-diffusion equation with a fourth-order compact difference scheme	2002	Samir Karaa Jun Zhang	1
+	High-order adaptive space-discretizations for the Black-Scholes equation	2006	Gunilla Linde Jonas Persson Lina von Sydow	1
+	Error Splitting Preservation for High Order Finite Difference Schemes in the Combination Technique	2017	Christian Hendricks Matthias Ehrhardt Michael Günther	1
+	Alternating direction implicit finite difference schemes for the Heston-Hull-White partial differential equation	2012	Jade Mitchell	1