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The Junction of PDEs, Financial Mathematics and Probability: Deriving Classical and Generalized Black-Scholes–Merton Formulas

• Authors : Len Meas; Chhaunny Chhum; Phichhang Ou

Subjects: option pricing; Black-Scholes equation; lognormal distribution

• Source: AppliedMath, Vol 6, Iss 2, p 28 (2026)

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On the space discretization of PDES with unbounded coefficients arising in financial mathematics – the case of one spatial dimension

• Authors : Gonçalves, F. F.; Grossinho, Maria do Rosário; Morais, E.

Subjects: Financial Mathematics; Option Pricing; Differential Equations

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ON THE APPROXIMATION OF OPTIMAL STOPPING PROBLEMS WITH APPLICATION TO FINANCIAL MATHEMATICS.

• Authors : Marcozzi, Michael D.¹

• Source: SIAM Journal on Scientific Computing. 2000, Vol. 22 Issue 5, p1865-1884. 20p.

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On the space discretization of PDES with unbounded coefficients arising in financial mathematics – the case of one spatial dimension

• Authors : Gonçalves, F. F.; Grossinho, Maria do Rosário; Morais, E.

Subjects: Financial Mathematics; Option Pricing; Differential Equations

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Bilateral Gamma Distributions and Processes in Financial Mathematics

• Authors : Küchler, Uwe; Tappe, Stefan

Subjects: term structure models; option pricing; bilateral Gamma distributions

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Online at: www.jus.org.uk On One Inverse Problem in Financial Mathematics∗

• Authors : K. Hamza; F. Klebaner; The Pennsylvania State University CiteSeerX Archives

Subjects: option pricing; volatility; stock price

• Source: http://www.cmss.monash.edu.au/assets/files/JUS246-255.pdf.

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Lewis Model Revisited: Option Pricing with Lévy Processes: Lewis model revisited: option pricing with Lévy processes

• Authors : Mehmet Fuat Beyazit; Kemal Ilgar Eroglu

Subjects: Applications of statistics to actuarial sciences and financial mathematics; characteristic function; Derivative securities (option pricing, hedging, etc.)

• Source: Bulletin of the Malaysian Mathematical Sciences Society. 44:1653-1668

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Common‐factor stochastic volatility modelling with observable proxy: Common-factor stochastic volatility modelling with observable proxy

• Authors : Yizhou Fang; Martin Lysy; Don Mcleish

Subjects: Applications of statistics to actuarial sciences and financial mathematics; multi-asset modelling; Portfolio theory

• Source: Canadian Journal of Statistics. 48:36-61

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Essays on Quantization in Financial Mathematics

• Authors : Fiorin, Lucio;

Subjects: Quantization; Mathematical Finance; Option pricing

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Numerical problems in financial mathematics and trading strategies ; Problèmes numériques en mathématiques financières et en stratégies de trading

• Authors : Baptiste, Julien;

Subjects: Option pricing; Machine learning; No-arbitrage condition

• Source: https://theses.hal.science/tel-04477872 ; Mathématiques générales [math.GM]. Université Paris sciences et lettres, 2018. Français. ⟨NNT : 2018PSLED009⟩.

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