Publications

Publications

  • K.J. in 't Hout and C. Mishra: Stability of ADI schemes for multidimensional diffusion equations with mixed derivative terms. Submitted for publication (2012).

  • T. Haentjens and K.J. in 't Hout: ADI finite difference schemes for the Heston-Hull-White PDE. Journal of Computational Finance (to appear, 2012).

  • K.J. in 't Hout and K. Volders: Stability of central finite difference schemes for the Heston PDE. Numer. Algor. 60, 115-133 (2012).

  • K.J. in 't Hout and C. Mishra: Stability of the modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term. Math. Comp. Simul. 81, 2540–2548 (2011).

  • K.J. in 't Hout and J.A.C. Weideman: A contour integral method for the Black-Scholes and Heston equations. SIAM J. Sc. Comp. 33, 763-785 (2011).

  • Tinne Haentjens, Karel in 't Hout and Kim Volders: ADI schemes with Ikonen-Toivanen splitting for pricing American put options in the Heston model. In: Numerical Analysis and Applied Mathematics, eds. T. E. Simos et. al., AIP Conf. Proc. 1281, 231-234 (2010).

  • Tinne Haentjens and Karel in 't Hout: ADI finite difference discretization of the Heston-Hull-White PDE. In: Numerical Analysis and Applied Mathematics, eds. T. E. Simos et. al., AIP Conf. Proc. 1281, 1995-1999 (2010).

  • Karel in 't Hout and Chittaranjan Mishra: A stability result for the Modified Craig-Sneyd scheme applied to 2D and 3D pure diffusion equations. In: Numerical Analysis and Applied Mathematics, eds. T. E. Simos et. al., AIP Conf. Proc. 1281, 2029-2032 (2010).

  • K.J. in 't Hout and S. Foulon: ADI finite difference schemes for option pricing in the Heston model with correlation. Int. J. Numer. Anal. Mod. 7, 303-320 (2010).

  • K.J. in 't Hout and K. Volders: Stability of central finite difference schemes on non-uniform grids for the Black-Scholes equation. Appl. Numer. Math. 59, 2593-2609 (2009).

  • K.J. in 't Hout and B.D. Welfert: Unconditional stability of second-order ADI schemes applied to multi-dimensional diffusion equations with mixed derivative terms. Appl. Numer. Math. 59, 677-692 (2009).

  • Karel in 't Hout, Joris Bierkens, Antoine P.C. van der Ploeg, Jos in 't panhuis: A semi closed-form analytic pricing formula for call options in a hybrid Heston-Hull-White model. Proceedings of the 58th European Study Group Mathematics with Industry, eds. R.H. Bisseling et. al., Utrecht (2007).

  • Karel in 't Hout: ADI schemes in the numerical solution of the Heston PDE. In: Numerical Analysis and Applied Mathematics, eds. T. E. Simos et. al., AIP Conf. Proc. 936, 10-14 (2007).

  • K.J. in 't Hout and B.D. Welfert: Stability of ADI schemes applied to convection-diffusion equations with mixed derivative terms. Appl. Numer. Math. 57, 19-35 (2007).

  • K.J. in 't Hout and B. Zubik-Kowal: The stability of Radau IIA collocation processes for delay differential equations. Math. Comp. Mod. 40, 1297-1308 (2004).

  • K.J. in 't Hout and M.N. Spijker: Analysis of error growth via stability regions in numerical initial value problems. BIT 43, 363-385 (2003).

  • K.J. in 't Hout: On the contractivity of implicit-explicit linear multistep methods. Appl. Numer. Math. 42, 201-212 (2002).

  • K.J. in 't Hout: Convergence of Runge-Kutta methods for delay differential equations. BIT 41, 322-344 (2001).

  • K. Engelborghs, T. Luzyanina, K.J. in 't Hout and D. Roose: Collocation methods for the computation of periodic solutions of delay differential equations. SIAM J. Sc. Comp. 22, 1593-1609 (2000).

  • K.J. in 't Hout and Ch. Lubich: Periodic orbits of delay differential equations under discretization. BIT 38, 72-91 (1998).

  • K.J. in 't Hout: Stability analysis of Runge-Kutta methods for systems of delay differential equations. IMA J. Numer. Anal. 17, 17-27 (1997).

  • K.J. in 't Hout: On the stability of adaptations of Runge-Kutta methods to systems of delay differential equations. Appl. Numer. Math. 22, 237-250 (1996).

  • K.J. in 't Hout: A note on unconditional maximum norm contractivity of diagonally split Runge-Kutta methods. SIAM J. Numer. Anal. 33, 1125-1134 (1996).

  • K.J. in 't Hout: On the convergence of waveform relaxation methods for stiff nonlinear ordinary differential equations. Appl. Numer. Math. 18, 175-190 (1995).

  • K.J. in 't Hout: The stability of θ-methods for systems of delay differential equations. Ann. Numer. Math. 1, 323-334 (1994).

  • K.J. in 't Hout: A new interpolation procedure for adapting Runge-Kutta methods to delay differential equations. BIT 32, 634-649 (1992).

  • K.J. in 't Hout: The stability of a class of Runge-Kutta methods for delay differential equations. Appl. Numer. Math. 9, 347-355 (1992).

  • K.J. in 't Hout and M.N. Spijker: Stability analysis of numerical methods for delay differential equations. Numer. Math. 59, 807-814 (1991).

  • K.J. in 't Hout and M.N. Spijker: The θ-methods in the numerical solution of delay differential equations. In: "The Numerical Treatment of Differential Equations", ed. K. Strehmel, Teubner-Texte zur Mathematik 121, 61-67 (1991).