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 MonteCarlo Method For
Option Pricing Under JumpDiffusion Models,
DuyMinh 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
CrossSectional 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
HighDimensional Models in Finance,
DuyMinh Dang, Kenneth R. Jackson and Mohammadreza Mohammadi

A ThreeDimensional 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
PDEBased Pricing Methods for
PathDependent 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 TimeStepping for the Strong Numerical
Solution of Stochastic Differential Equations,
Silvana Ilie, Kenneth R. Jackson and Wayne H. Enright

An efficient GPUbased parallel algorithm for
pricing multiasset American options,
Duy Minh Dang, Christina C. Christara and Kenneth R. Jackson

Pricing MultiAsset 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 crosscurrency 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 CrossCurrency 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 CrossCurrency 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 AntiWrapping Strategy,
Kenneth R. Jackson, Ned S. Nedialkov and Markus Neher

Fourier Space Timestepping 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 CorrelationDependent 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 HighDimensional 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 ValueatRisk,
Claudio Albanese, Ken Jackson and Petter Wiberg.

The Design and Implementation of an ObjectOriented
Validated ODE Solver,
N. S. Nedialkov and K. R. Jackson.

Hedging with ValueAtRisk,
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 MonoImplicit RungeKutta Code with Defect Control
for Boundary Value ODEs,
P.H. Muir, R.N. Pancer, K.R. Jackson.

RungeKutta Software for the Parallel Solution of Boundary Value ODEs,
P.H. Muir, R.N. Pancer, K.R. Jackson.

An Effective HighOrder 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 HermiteObreschkoff 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 Nbody Simulations,
Wayne B. Hayes and Kenneth R. Jackson.

DIMSEMs  Diagonally Implicit SingleEigenvalue 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.

RungeKutta 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 SingleEigenvalue 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 RungeKutta PredictorCorrector Methods
To Two System of Hyperbolic Equations Arising in Optics,
K. R. Jackson.

An Analysis of the Order of RungeKutta 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 NewtonLike Iterations
in RungeKutta 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 RungeKutta 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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