Kenneth R. Jackson

Selected Publications

• Backward Simulation of Multivariate Mixed Poisson Processes, Michael Chiu, Kenneth R. Jackson and Alexander Kreinin
• A Dimension and Variance Reduction Monte-Carlo Method For Option Pricing Under Jump-Diffusion Models, Duy-Minh Dang, Kenneth R. Jackson and Scott Sues
• Correlated Multivariate Poisson Processes and Extreme Measures, Michael Chiu, Kenneth R. Jackson and Alexander Kreinin
• Mixing LSMC and PDE Methods to Price Bermudan Options, David Farahany, Sebastian Jaimungal, Kenneth Jackson
• Efficient Valuation of SCR via a Neural Network Approach, Seyed Amir Hejazi and Kenneth R. Jackson
• A Neural Network Approch to Efficient Valuation of Large Portfolios of Variable Annuities, Seyed Amir Hejazi and Kenneth R. Jackson
• On the Blunting Method in the Verified Integration of ODEs, N. S. Nedialkov, K. R. Jackson and M. Neher
• A Practical Approach to in vivo Quantification of Physiological Cross-Sectional Area for Human Skeletal Muscle, Dongwoon Lee, Soo Kim, Ken Jackson, Eugene Fiume and Anne Agur
• A Spatial Interpolation Framework for Efficient Valuation of Large Portfolios of Variable Annuities, Seyed Amir Hejazi, Kenneth R. Jackson and Guojun Gan
• Dimension and Variance Reduction for Monte Carlo Methods for High-Dimensional Models in Finance, Duy-Minh Dang, Kenneth R. Jackson and Mohammadreza Mohammadi
• A Three-Dimensional Approach to Pennation Angle Estimation for Human Skeletal Muscle, Dongwoon Lee, Zhi Li, Qazi Zain Sohail, Ken Jackson, Eugene Fiume and Anne Agur
• A Highly Efficient Implementation on GPU Clusters of PDE-Based Pricing Methods for Path-Dependent Foreign Exchange Interest Rate Derivatives, Duy Minh Dang, Christina Christara and Kenneth R. Jackson
• An Efficient Numerical PDE Approach for Pricing Foreign Exchange Interest Rate Hybrid Derivatives, Duy Minh Dang, Christina Christara, Kenneth R. Jackson and Asif Lakhany
• Robust Estimation of PCSA and Geometric Reconstruction for Human Skeletal Muscle, Dongwoon Lee, Kajeandra Ravichandiran, Ken Jackson, Eugene Fiume and Anne Agur
• Adaptive Time-Stepping for the Strong Numerical Solution of Stochastic Differential Equations, Silvana Ilie, Kenneth R. Jackson and Wayne H. Enright
• An efficient GPU-based parallel algorithm for pricing multi-asset American options, Duy Minh Dang, Christina C. Christara and Kenneth R. Jackson
• Pricing Multi-Asset American Options on Graphics Processing Units Using a PDE Approach, Duy Minh Dang, Christina C. Christara and Kenneth R. Jackson
• A PDE pricing framework for cross-currency interest rate derivatives with Target Redemption features, Christina C. Christara, Duy Minh Dang, Kenneth R. Jackson and Asif Lakhany
• Numerical Solution of Stochastic Models of Biochemical Kinetics, Silvana Ilie, Wayne H. Enright and Kenneth R. Jackson
• A Parallel Implementation on GPUs of ADI Finite Difference Methods for Parabolic PDEs with Applications in Finance, Duy Minh Dang, Christina C. Christara and Kenneth R. Jackson
• GPU Pricing of Exotic Cross-Currency Interest Rate Derivatives with a Foreign Exchange Volatility Skew Model, Duy Minh Dang, Christina Christara and Kenneth R. Jackson
• A Survey of Modeling and Simulation of Skeletal Muscle, Dongwoon Lee, Michael Glueck, Azam Khan, Eugene Fiume and Ken Jackson
• A PDE Pricing Framework for Cross-Currency Interest Rate Derivatives, Duy Minh Dang, Christina Christara, Kenneth R. Jackson and Asif Lakhany
• Analytic Dynamic Factor Copula Models, Ken Jackson, Alex Kreinin and Wanhe Zhang
• Randomization in the First Hitting Time Problem, Ken Jackson, Alex Kreinin and Wanhe Zhang
• Fast Valuation of Forward Starting Basket Default Swaps, Ken Jackson, Alex Kreinin and Wanhe Zhang
• Analysis of the Blunting Anti-Wrapping Strategy, Kenneth R. Jackson, Ned S. Nedialkov and Markus Neher
• Fourier Space Time-stepping for Option Pricing with Lévy Models, Kenneth R. Jackson, Sebastian Jaimungal and Vladimir Surkov
• Valuation of Forward Starting CDOs, Ken Jackson and Wanhe Zhang
• Loss Distribution Evaluation for Synthetic CDOs, Ken Jackson, Alex Kreinin and Xiaofang Ma
• On Exponential Approximation to the Hockey Stick Function, Ian Iscoe, Ken Jackson, Alex Kreinin and Xiaofang Ma
• Pricing Correlation-Dependent Derivatives Based on Exponential Approximations to the Hockey Stick, Ian Iscoe, Ken Jackson, Alex Kreinin and Xiaofang Ma
• On Taylor Model Based Integration of ODEs, M. Neher, K. R. Jackson and N. S. Nedialkov
• A Fast Shadowing Algorithm for High Dimensional ODE Systems, Wayne Hayes and Kenneth R. Jackson
• Rigorous High-Dimensional Shadowing Using Containment: The General Case, Carmen Young, Wayne B. Hayes, Kenneth R. Jackson
• A Survey of Shadowing Methods for Numerical Solutions of Ordinary Differential Equations, W. B. Hayes and K. R. Jackson
• Quadratic Spline Galerkin Method for the Shallow Water Equations, Anita T. Layton, Christina C. Christara, and Kenneth R. Jackson
• Optimal Quadratic Spline Collocation Methods for the Shallow Water Equations, Anita T. Layton, Christina C. Christara, and Kenneth R. Jackson
• Rigorous Shadowing of Numerical Solutions of Ordinary Differential Equations by Containment, W. B. Hayes and K. R. Jackson.
• Dimension Reduction in the Computation of Value-at-Risk, Claudio Albanese, Ken Jackson and Petter Wiberg.
• The Design and Implementation of an Object-Oriented Validated ODE Solver, N. S. Nedialkov and K. R. Jackson.
• Hedging with Value-At-Risk, Claudio Albanese, Ken Jackson and Petter Wiberg.
• Some Recent Advances in Validated Methods for IVPs for ODEs, N. S. Nedialkov and K. R. Jackson.
• A New Perspective on the Wrapping Effect in Interval Methods for Initial Value Problems for Ordinary Differential Equations, Nedialko S. Nedialkov and Kenneth R. Jackson.
• Some Recent Advances in Validated Methods for IVPs for ODEs, Kenneth R. Jackson and Nedialko S. Nedialkov.
• PMIRKDC: a Parallel Mono-Implicit Runge-Kutta Code with Defect Control for Boundary Value ODEs, P.H. Muir, R.N. Pancer, K.R. Jackson.
• Runge-Kutta Software for the Parallel Solution of Boundary Value ODEs, P.H. Muir, R.N. Pancer, K.R. Jackson.
• An Effective High-Order Interval Method for Validating Existence and Uniqueness of the Solution of an IVP for an ODE, N. S. Nedialkov, K. R. Jackson and J. D. Pryce.
• An Efficient Transposition Algorithm for Distributed Memory Computers, C. C. Christara, X. Ding and K. R. Jackson.
• ODE Software that Computes Guaranteed Bounds on the Solution, N. S. Nedialkov and K. R. Jackson.
• An Interval Hermite-Obreschkoff Method for Computing Rigorous Bounds on the Solution of an Initial Value Problem for an Ordinary Differential Equation, N. S. Nedialkov and K. R. Jackson.
• The Parallel Solution of Almost Block Diagonal Systems Arising in Numerical Methods for BVPs for ODEs, R. N. Pancer and K. R. Jackson.
• Validated Solutions of Initial Value Problems for Ordinary Differential Equations, N. S. Nedialkov, K. R. Jackson and G. F. Corliss.
• Global Error Measures for Large N-body Simulations, Wayne B. Hayes and Kenneth R. Jackson.
• DIMSEMs -- Diagonally Implicit Single-Eigenvalue Methods for the Numerical Solution of Stiff ODEs on Parallel Computers, R. F. Enenkel and K. R. Jackson.
• Remarks on the optimal convolution kernel for CSOR waveform relaxation, Min Hu, Ken Jackson, Jan Janssen and Stefan Vandewalle.
• A Fast Shadowing Algorithm for High Dimensional ODE Systems, Wayne Hayes and Kenneth R. Jackson.
• Runge-Kutta Research at Toronto, T. E. Hull, W. H. Enright and K. R. Jackson.
• The numerical solution of large systems of stiff IVPs for ODEs, K. R. Jackson.
• DIMSEMs -- Diagonally Implicit Single-Eigenvalue Methods for the Numerical Solution of Stiff ODEs on Parallel Computers: A Preliminary Report, R. F. Enenkel and K. R. Jackson
• Precision Control and Exception Handling in Scientific Computing, K. R. Jackson and N. S. Nedialkov.
• An Application of Runge-Kutta Predictor-Corrector Methods To Two System of Hyperbolic Equations Arising in Optics, K. R. Jackson.
• An Analysis of the Order of Runge-Kutta Methods That Use an Iterative Scheme To Compute Their Internal Stage Values, K. R. Jackson, A. Kvaerno and S. P. Norsett.
• Coupled Mode Equations with Free Carrier Effects: A Numerical Solution, N. G. R. Broderick, C. M. de Sterke and K. R. Jackson.
• The Use of Butcher Series in the Analysis of Newton-Like Iterations in Runge-Kutta Formulas, K. R. Jackson, A. Kvaerno and S. P. Norsett.
• The Parallel Solution of ABD Systems Arising in Numerical Methods for BVPs for ODEs, K. R. Jackson and R. N. Pancer.
• Adaptive Linear Equation Solvers in Codes for Large Stiff Systems of ODEs, K. R. Jackson and W. L. Seward.
• Nonlinear coupled mode equations on a finite interval: a numerical procedure, C. M. de Sterke, K. R. Jackson and B. D. Robert.
• A Survey of Parallel Numerical Methods for Initial Value Problems for Ordinary Differential Equations, K. R. Jackson.
• The Potential for Parallelism in Runge-Kutta Methods -- Part 1: RK Formulas in Standard Form, K. R. Jackson and S. P. Norsett.
• Using the IMSL MATH/LIBRARY in Numerical Methods Courses, K. R. Jackson and T. E. Hull.

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