Lina von Sydow
Professor at Institutionen för informationsteknologi; Beräkningsvetenskap
- Telephone:
- +46 18 471 27 85
- Mobile phone:
- +46 70 624 24 38
- E-mail:
- Lina.von.Sydow@it.uu.se
- Visiting address:
- Hus 10, Lägerhyddsvägen 1
- Postal address:
- Box 337
751 05 UPPSALA
More information is available to staff who log in.
Short presentation
I am Professor in Scientific Computing at the Department of Information Technology.
I am Section Dean for the section of Mathematics and Computer Science since July 1 2023.
My research is concerned with aspects of scientific computing in finance and ice sheet modeling. Previously, my main research focus was in domain decomposition methods and fast solvers for PDEs.
I teach courses in scientific computing, mainly ones specialized on applications in finance.
Keywords
- computational finance
- domain decomposition methods
- fast solvers
- ice sheet modeling
- partial differential equations
- scientific computing
Biography
- PhD thesis defence in May 1995 with thesis Domain Decomposition Methods and Fast Solvers for First-order PDEs.
- Postdoc at Oxford University 1996/97.
- Permanent position as senior lecturer at Uppsala Universitet since 1997.
- Docent 2000.
- Excellent teacher 2013.
- Head of the Department of Information technology 2018-2023.
- Section Dean for the section of Mathematics and Computer Science since July 1 2023.
Research
My current research is concerned with numerical methods in
Previously my research area was
You find my Google Scholar profile here.
Publications
Recent publications
- A full Stokes subgrid scheme in two dimensions for simulation of grounding line migration in ice sheets using Elmer/ICE (v8.3) (2020)
- A high order method for pricing of financial derivatives using radial basis function generated finite differences (2020)
- Numerical Ross Recovery for Diffusion Processes Using a PDE Approach (2020)
- BENCHOP–SLV (2019)
- Forward deterministic pricing of options using Gaussian radial basis functions (2018)
All publications
Articles
- A full Stokes subgrid scheme in two dimensions for simulation of grounding line migration in ice sheets using Elmer/ICE (v8.3) (2020)
- A high order method for pricing of financial derivatives using radial basis function generated finite differences (2020)
- Numerical Ross Recovery for Diffusion Processes Using a PDE Approach (2020)
- BENCHOP–SLV (2019)
- Forward deterministic pricing of options using Gaussian radial basis functions (2018)
- The Kolmogorov forward fractional partial differential equation for the CGMY-process with applications in option pricing (2018)
- Special issue-Computational and algorithmic finance (2018)
- Radial basis function generated finite differences for option pricing problems (2018)
- Dynamically coupling full Stokes and shallow shelf approximation for marine ice sheet flow using Elmer/Ice (v8.3) (2018)
- Accurate and stable time stepping in ice sheet modeling (2017)
- Preconditioning for radial basis function partition of unity methods (2016)
- Shallow ice approximation, second order shallow ice approximation, and full Stokes models (2016)
- Numerical option pricing without oscillations using flux limiters (2015)
- BENCHOP—The BENCHmarking project in Option Pricing (2015)
- Adaptive finite differences and IMEX time-stepping to price options under Bates model (2015)
- An IMEX-scheme for pricing options under stochastic volatility models with jumps (2014)
- Gender-aware course reform in Scientific Computing (2013)
- Iterative methods for pricing American options under the Bates model (2013)
- Numerical option pricing in the presence of bubbles (2011)
- A multigrid preconditioner for an adaptive Black–Scholes solver (2011)
- Pricing American options using a space-time adaptive finite difference method (2010)
- A highly accurate adaptive finite difference solver for the Black–Scholes equation (2009)
- Space-time adaptive finite difference method for European multi-asset options (2007)
- Pricing European multi-asset options using a space-time adaptive FD-method (2007)
- Preconditioned implicit solution of linear hyperbolic equations with adaptivity (2004)
- Semi-Toeplitz preconditioning for the linearized Navier-Stokes equations (2004)
- Deferred correction in space and time (2002)
- Implicit solution of hyperbolic equations with space-time adaptivity (2002)
- A nearly optimal preconditioner for the Navier-Stokes equations (2001)
- Implicit high-order difference methods and domain decomposition for hyperbolic problems (2000)
- A fast domain decomposition high order Poisson solver (1999)
- A semi-circulant preconditioner for the convection-diffusion equation (1998)
- Toeplitz preconditioners with block structure for first-order PDEs (1996)
- A domain decomposition method for almost incompressible flow (1996)
- Analysis of semi-Toeplitz preconditioners for first-order PDEs (1996)
- A domain decomposition method for first-order PDEs (1995)
- A fast modified sine transform for solving block-tridiagonal systems with Toeplitz blocks (1994)
Books
Chapters
Conferences
- Pricing of basket options using dimension reduction and adaptive finite differences in space, and discontinuous Galerkin in time (2016)
- On discontinuous Galerkin for time integration in option pricing problems with adaptive finite differences in space (2013)
- A new parallel preconditioner for the Euler equations (1998)
- A domain decomposition method for hyperbolic problems in 2D (1995)
- Parallelization of iterative solution methods and preconditioners for non-diagonally dominant, block-tridiagonal systems of equations (1989)
Reports
- High-order adaptive space-discretizations for the Black-Scholes equation (2006)
- Space-Time Adaptive Finite Difference Method for European Multi-Asset Options (2004)
- Preconditioned implicit solution of linear hyperbolic equations with adaptivity (2003)
- Pricing European Multi-asset Options Using a Space-time Adaptive FD-method (2003)
- Analysis of a semi-Toeplitz preconditioner for a convection-diffusion problem (2002)
- Implicit solution of hyperbolic equations with space-time adaptivity (2000)
