Kenneth R. Jackson

Theses of Students Supervised

• Option Pricing Using Fourier Space Time-Stepping Framework, Vladimir Surkov, Ph.D. Thesis, 2009.
• Numerical Methods for the Valuation of Synthetic Collateralized Debt Obligations, Xiaofang Ma, Ph.D. Thesis, 2007.
• On Convergence of Numerical Methods for Pricing Convertible Bonds, Dongyi (Elena) Li, M.Sc. Thesis, 2007.
• The Parallel Solution of ABD Systems Arising in Numerical Methods for BVPs for ODEs, Richard N. Pancer, Ph.D. Thesis, 2006.
• Pricing Convertible Bonds with Dividend Protection subject to Credit Risk Using a Numerical PDE Approach, Qingkai Mo, M.Sc. Thesis, 2006.
• Pricing Convertible Bonds using Partial Differential Equations, Lucy Xingwen Li, M.Sc. Thesis, 2005.
• Neumaier's Method for the Solution of Initial Value Problems for Stiff Ordinary Differential Equations, Annie Hsiao Chen Yuk, M.Sc. Thesis, 2005.
• An Agent-Based Simulation of Double-Auction Markets, Ted Xiao Guo, M.Sc. Thesis, 2005.
• Validated Numerical Bounds on the Global Error for Initial Value Problems for Stiff Ordinary Differential Equations, Chao Yu, M.Sc. Thesis, 2004.
• Computation of Value-at-Risk: the Fast Convolution Method, Dimension Reduction and Perturbation Theory, Petter Wiberg, Ph.D. Thesis, 2002.
• Computation of the Probability Density Function and the Cumulative Distribution Function of the Generalized Gamma Variance Model, Xiaofang Ma, M.Sc. Thesis, 2002.
• High-Order Spatial Discretization Methods for the Shallow Water Equations, Anita W. Tam, Ph.D.Thesis, 2001.
• Rigorous Shadowing of Numerical Solutions of Ordinary Differential Equations by Containment, Wayne B. Hayes, Ph.D. Thesis, 2001.
• Computing Rigorous Bounds on the Solution of an Initial Value Problem for an Ordinary Differential Equation, Nedialko (Ned) S. Nedialkov, Ph.D. Thesis, 1999.
• Numerical Solution of the Shallow-Water Equations on Distributed Memory Systems, Xiaoliang (Lloyd) Ding, M.Sc. Thesis, 1998.
• A Numerical Study of One-factor Interest Rate Models, Zhong Ge, M.Sc. Thesis, 1998.
• DIMSEMs -- Diagonally Implicit Single-Eigenvalue Methods for the Numerical Solution of Stiff ODEs on Parallel Computers, Robert F. Enenkel, Ph.D. Thesis, 1996.
• Numerical Pricing of Path-Dependent Options, Yidong Liu, M.Sc. Thesis, 1996.
• Improving the Efficiency of Runge-Kutta Methods for the Solution of BVPs for Higher-Order ODEs, Khalid Zuberi, M.Sc. Thesis, 1996.
• Efficient Shadowing of High Dimensional Chaotic Systems with the Large Astrophysical N-body Problem as an Example, Wayne B. Hayes, M.Sc. Thesis, 1995.
• Precision Control and Exception Handling in Scientific Computing, Nedialko (Ned) S. Nedialkov, M.Sc. Thesis, 1994.

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