Uri M. Ascher
University of Vienna
Uri M. Ascher is Professor of Computer Science at the University of British Columbia, Vancouver, Canada. He obtained his BSc and MSc in Applied Mathematics from Tel-Aviv University in 1969 and 1971, and his PhD in Computer Science from the University of Minnesota in 1975. He is a SIAM Fellow and recipient of CAIMS Research Prize. The focus of his work is on the investigation, promotion and application of novel, efficient and reliable methods in scientific computation, particularly for approximation problems involving differential equations with constraints and optimization.
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Articles by Uri M. Ascher
Local volatility models in commodity markets and online calibration
This paper introduces a local volatility model for the valuation of options on commodity futures by using European vanilla option prices.