Cascadic multigrid methods represent a class of iterative solvers that have been developed to efficiently tackle the large-scale linear systems arising from the discretisation of partial differential ...
We present efficient partial differential equation (PDE) methods for continuous-time mean-variance portfolio allocation problems when the underlying risky asset follows a stochastic volatility process ...
Igor Kossaczký gained a masters degree in Financial Mathematics in 2014 from the Comenius University in Bratislava and a PhD (Dr. rer. nat.) in Mathematics in 2018 from the University of Wuppertal. In ...
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