A mixed PDE/Monte-Carlo method for stochastic volatility models

Grégoire Loeper; Olivier Pironneau

Comptes Rendus. Mathématique, Volume 347 (2009) p. 559-563

Numerical solution of the Monge–Ampère equation by a Newton's algorithm

Grégoire Loeper; Francesca Rapetti

Comptes Rendus. Mathématique, Volume 340 (2005) p. 319-324