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ORCIDKenneth R. Jackson
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- affiliation: University of Toronto, Canada
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2020 – today
- 2020
[j17]David Farahany, Kenneth R. Jackson, Sebastian Jaimungal
:
Mixing LSMC and PDE Methods to Price Bermudan Options. SIAM J. Financial Math. 11(1): 201-239 (2020)
2010 – 2019
- 2017
- [j16]Seyed Amir Hejazi, Kenneth R. Jackson:
Efficient valuation of SCR via a neural network approach. J. Comput. Appl. Math. 313: 427-439 (2017) - [j15]Michael Chiu, Kenneth R. Jackson, Alexander Kreinin:
Correlated multivariate Poisson processes and extreme measures. Model. Assist. Stat. Appl. 12(4): 369-385 (2017) - 2015
- [j14]Silvana Ilie, Kenneth R. Jackson, Wayne H. Enright:
Adaptive time-stepping for the strong numerical solution of stochastic differential equations. Numer. Algorithms 68(4): 791-812 (2015) - 2014
- [j13]Duy Minh Dang, Christina C. Christara, Kenneth R. Jackson:
Graphics processing unit pricing of exotic cross-currency interest rate derivatives with a foreign exchange volatility skew model. Concurr. Comput. Pract. Exp. 26(9): 1609-1625 (2014) - 2013
- [c3]Duy Minh Dang, Christina C. Christara, Kenneth R. Jackson:
A Highly Efficient Implementation on GPU Clusters of PDE-Based Pricing Methods for Path-Dependent Foreign Exchange Interest Rate Derivatives. ICCSA (5) 2013: 107-126 - 2012
- [j12]Duy Minh Dang, Christina C. Christara, Kenneth R. Jackson:
An efficient graphics processing unit-based parallel algorithm for pricing multi-asset American options. Concurr. Comput. Pract. Exp. 24(8): 849-866 (2012) - 2010
- [c2]Duy Minh Dang, Christina C. Christara, Kenneth R. Jackson, Asif Lakhany:
A PDE pricing framework for cross-currency interest rate derivatives. ICCS 2010: 2371-2380
2000 – 2009
- 2007
- [j11]Markus Neher, Kenneth R. Jackson, Nedialko S. Nedialkov:
On Taylor Model Based Integration of ODEs. SIAM J. Numer. Anal. 45(1): 236-262 (2007) - [j10]Wayne B. Hayes, Kenneth R. Jackson:
A Fast Shadowing Algorithm for High-Dimensional ODE Systems. SIAM J. Sci. Comput. 29(4): 1738-1758 (2007) - [i1]Kenneth R. Jackson, Sebastian Jaimungal, Vladimir Surkov:
Option Valuation using Fourier Space Time Stepping. CoRR abs/cs/0703068 (2007) - 2006
- [j9]Anita T. Layton, Christina C. Christara, Kenneth R. Jackson:
Quadratic spline methods for the shallow water equations on the sphere: Galerkin. Math. Comput. Simul. 71(3): 175-186 (2006) - [j8]Anita T. Layton, Christina C. Christara, Kenneth R. Jackson:
Quadratic spline methods for the shallow water equations on the sphere: Collocation. Math. Comput. Simul. 71(3): 187-205 (2006) - 2003
- [j7]P. H. Muir, R. N. Pancer, Kenneth R. Jackson:
PMIRKDC: a parallel mono-implicit Runge-Kutta code with defect control for boundary value ODEs. Parallel Comput. 29(6): 711-741 (2003) - [j6]Wayne B. Hayes, Kenneth R. Jackson:
Rigorous Shadowing of Numerical Solutions of Ordinary Differential Equations by Containment. SIAM J. Numer. Anal. 41(5): 1948-1973 (2003) - 2001
- [j5]Nedialko S. Nedialkov, Kenneth R. Jackson, John D. Pryce:
An Effective High-Order Interval Method for Validating Existence and Uniqueness of the Solution of an IVP for an ODE. Reliab. Comput. 7(6): 449-465 (2001) - [p1]Nedialko S. Nedialkov, Kenneth R. Jackson:
A New Perspective on the Wrapping Effect in Interval Methods for Initial Value Problems for Ordinary Differential Equations. Perspectives on Enclosure Methods 2001: 219-263
1990 – 1999
- 1999
- [j4]Nedialko S. Nedialkov, Kenneth R. Jackson, George F. Corliss:
Validated solutions of initial value problems for ordinary differential equations. Appl. Math. Comput. 105(1): 21-68 (1999) - [j3]Nedialko S. Nedialkov, Kenneth R. Jackson:
An Interval Hermite-Obreschkoff Method for Computing Rigorous Bounds on the Solution of an Initial Value Problem for an Ordinary Differential Equation. Reliab. Comput. 5(3): 289-310 (1999) - 1998
- [c1]Nedialko S. Nedialkov, Kenneth R. Jackson:
An Interval Hermite-Obreschkoff Method for Computing Rigorous Bounds on the Solution of an Initial Value Problem for an Ordinary Differential Equation. SCAN 1998: 289-310 - 1997
- [j2]Robert F. Enenkel, Kenneth R. Jackson:
DIMSEMs - diagonally implicit single-eigenvalue methods for the numerical solution of stiff ODEs on parallel computers. Adv. Comput. Math. 7(1-2): 97-133 (1997)
1980 – 1989
- 1986
- [j1]Wayne H. Enright, Kenneth R. Jackson, Syvert P. Nørsett, Per Grove Thomsen:
Interpolants for Runge-Kutta formulas. ACM Trans. Math. Softw. 12(3): 193-218 (1986)
Coauthor Index
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