Karel in 't Hout
University of Antwerp
Karel in ’t Hout is full professor at the Department of Mathematics at the University of Antwerp. He obtained his PhD degree in 1992 in Mathematics at the University of Leiden and subsequently held research positions at the University of Leiden, the University of Auckland, CWI Amsterdam, Boise State University and Arizona State University. In addition he was quant at ABN Amro Bank in Amsterdam. In 2006 he was appointed at the University of Antwerp. His research area concerns numerical methods for time-dependent partial differential equations (PDEs) arising in finance. He has made many contributions to the numerical and financial mathematics literature on the development, analysis and application of operator splitting methods for effectively solving multidimensional PDEs, and generalizations thereof, in financial option valuation. He teaches several courses in the MSc program on Financial and Applied Mathematics at the University of Antwerp.
The authors extend a technique proposed by Toivanen (2008), arriving at an algorithm evaluating the nonlocal double integral appearing in the two-dimensional Kou PIDE and perform several numerical experiments to demonstrate actual convergence behavior…