Concepedia

Tinne Haentjens

TH

5

Publications

146

Citations

5

H-Index

2010

Active since

Affiliations

University of Antwerp(Current)

Tinne Haentjens is an author at University of Antwerp specializing in numerical analysis, engineering, and option pricing.

Top concepts

Numerical AnalysisEngineeringOption PricingBusinessAsset PricingComputer ScienceInverse ProblemsStochastic AnalysisStochastic CalculusVolatility Modeling

Publications per year

2010–2018

5

Publications

5

Alternating direction implicit finite difference schemes for the Heston-Hull-White partial differential equation

Tinne Haentjens, Karel in ’t Hout · The Journal of Computational Finance · 2012 · 84 citations

Numerical Analysis, Method Of Fundamental Solution, Semi-implicit Method +4

Efficient and stable numerical solution of the Heston–Cox–Ingersoll–Ross partial differential equation by alternating direction implicit finite difference schemes

Tinne Haentjens · International Journal of Computer Mathematics · 2013 · 23 citations

Numerical Analysis, Option Pricing, Engineering +11

ADI Finite Difference Discretization of the Heston-Hull-White PDE

Tinne Haentjens, Karel in’t Hout, Theodore E. Simos et al. · AIP conference proceedings · 2010 · 18 citations

BENCHOP – SLV: the BENCHmarking project in Option Pricing – Stochastic and Local Volatility problems

Lina von Sydow, Slobodan Milovanović, Elisabeth Larsson et al. · International Journal of Computer Mathematics · 2018 · 11 citations · Full text

Numerical Analysis, Volatility Modeling, Engineering +18

ADI finite difference schemes for the Heston-Hull-White PDE

Tinne Haentjens, Karel J. in ’t Hout · arXiv (Cornell University) · 2011 · 10 citations · Full text

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