Michel Fournié

High Order Compact Finite Difference Schemes for a Nonlinear Black-Scholes Equation

Bertram Düring, Michel Fournié, Ansgar Jüngel · International Journal of Theoretical and Applied Finance · 2003 · 82 citations

Numerical Analysis, Compact Schemes, Semi-implicit Method +7

High-order compact finite difference scheme for option pricing in stochastic volatility models

Bertram Düring, Michel Fournié · Journal of Computational and Applied Mathematics · 2012 · 72 citations · Full text

Numerical Analysis, Option Pricing, Multivariate Stochastic Volatility +6

Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation

Bertram Düring, Michel Fournié, Ansgar Jüngel · ESAIM Mathematical Modelling and Numerical Analysis · 2004 · 52 citations · Full text

Numerical Analysis, Discretization Matrices, Unique Viscosity Solution +10

High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids

Bertram Düring, Michel Fournié, Christof Heuer · Journal of Computational and Applied Mathematics · 2014 · 27 citations · Full text

Numerical Analysis, Option Pricing, Multivariate Stochastic Volatility +8

On the Schwarz algorithms for the Elliptic Exterior Boundary Value Problems

Faker Ben Belgacem, Michel Fournié, Nabil Gmati et al. · ESAIM Mathematical Modelling and Numerical Analysis · 2005 · 26 citations · Full text

Numerical Analysis, Method Of Fundamental Solution, Elliptic Equation +15