Concepedia

Michael D. Marcozzi

MD

Statistics

Publications

8

Citations

267

H-Index

8

Active since

2001

Affiliations

University of Nevada, Las Vegas(Current)

Michael D. Marcozzi is an author at University of Nevada, Las Vegas specializing in finance, engineering, and mathematical programming.

Top concepts

FinanceEngineeringBusinessAsset PricingOption PricingMathematical ProgrammingNumerical AnalysisApproximation TheoryEconomicsFinancial Engineering

Publications per year

2001–2008

8

Publications

8

On the use of boundary conditions for variational formulations arising in financial mathematics

Michael D. Marcozzi, Seung-Mook Choi, C. S. Chen · Applied Mathematics and Computation · 2001 · 69 citations

Mathematical Programming, Boundary Conditions, Engineering +9

Pricing Multi-Asset American Options: A Finite Element Method-of-Lines with Smooth Penalty

Pavlo Kovalov, Vadim Linetsky, Michael D. Marcozzi · Journal of Scientific Computing · 2007 · 68 citations

Mathematical Programming, Finite Element Method, Option Pricing +11

On the Valuation of Asian Options by Variational Methods

Michael D. Marcozzi · SIAM Journal on Scientific Computing · 2003 · 37 citations

Mathematical Programming, Numerical Analysis, Option Pricing +15

On the Approximation of Optimal Stopping Problems with Application to Financial Mathematics

Michael D. Marcozzi · SIAM Journal on Scientific Computing · 2001 · 28 citations

Mathematical Programming, Optimal Stopping Problems, Mathematical Economics +15

A numerical analysis of variational valuation techniques for derivative securities

Ioan Sapariuc, Michael D. Marcozzi, Joseph E. Flaherty · Applied Mathematics and Computation · 2003 · 21 citations

Numerical Analysis, Mathematical Programming, Option Pricing +10

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