Concepedia

M. J. Ruijter

MJ

7

Publications

393

Citations

7

H-Index

2012

Active since

Affiliations

Centrum Wiskunde & Informatica(Current)

Delft University of Technology

CPB Netherlands Bureau for Economic Policy Analysis

M. J. Ruijter is an author at Centrum Wiskunde & Informatica specializing in numerical analysis, approximation theory, and engineering.

Top concepts

Numerical AnalysisEngineeringApproximation TheoryFinancial EngineeringFinanceBusinessAsset PricingOption PricingSpectral TheoryStochastic Analysis

Publications per year

2012–2016

7

Publications

7

Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options

M. J. Ruijter, Cornelis W. Oosterlee · SIAM Journal on Scientific Computing · 2012 · 128 citations

Spectral Theory, Numerical Analysis, Option Pricing +15

A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs

M. J. Ruijter, Cornelis W. Oosterlee · SIAM Journal on Scientific Computing · 2015 · 76 citations · Full text

Numerical Analysis, General Theta-discretization, Efficient Computation +19

BENCHOP – The BENCHmarking project in option pricing

Lina von Sydow, Lars Josef Höök, Elisabeth Larsson et al. · International Journal of Computer Mathematics · 2015 · 63 citations · Full text

On the application of spectral filters in a Fourier option pricing technique

M. J. Ruijter, Mark Versteegh, Cornelis W. Oosterlee · The Journal of Computational Finance · 2015 · 45 citations

Spectral Theory, Numerical Analysis, Option Pricing +14

Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance

M. J. Ruijter, Cornelis W. Oosterlee · Applied Numerical Mathematics · 2016 · 36 citations · Full text

Numerical Analysis, Numerical Fourier Method, Backward Sdes +7

Rows per page

1–5 of 7