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Michael D. Marcozzi

Affiliations: 
Mathematical Sciences University of Nevada, Las Vegas, Las Vegas, NV, United States 
Area:
Mathematics, Finance, Statistics
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"Michael Marcozzi"
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Yanan Jiang grad student 2012 University of Nevada, Las Vegas

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Marcozzi MD. (2018) Well-Posedness of Linear Ultraparabolic Equations on Bounded Domains Journal of Evolution Equations. 18: 75-104
Choi S, Marcozzi MD. (2015) A Regime Switching Model for the Term Structure of Credit Risk Spreads Journal of Mathematical Finance. 5: 49-57
Marcozzi MD. (2015) Optimal control of ultradiffusion processes with application to mathematical finance International Journal of Computer Mathematics. 92: 296-318
Jiang Y, Marcozzi MD. (2012) Asset liquidity and the valuation of derivative securities Journal of Computational and Applied Mathematics. 236: 4525-4536
Marcozzi MD. (2011) An adaptive extrapolation discontinuous Galerkin method for the valuation of Asian options Journal of Computational and Applied Mathematics. 235: 3632-3645
Marcozzi MD. (2009) Extrapolation discontinuous Galerkin method for ultraparabolic equations Journal of Computational and Applied Mathematics. 224: 679-687
Marcozzi MD. (2009) On the valuation of interest rate products under multi-factor HJM term-structures Applied Numerical Mathematics. 59: 2873-2890
Marcozzi MD. (2008) Stochastic optimal control of ultradiffusion processes with application to dynamic portfolio management Journal of Computational and Applied Mathematics. 222: 112-127
Marcozzi MD. (2008) On the Approximation of Infinite Dimensional Optimal Stopping Problems with Application to Mathematical Finance Journal of Scientific Computing. 34: 287-307
Kovalov P, Linetsky V, Marcozzi M. (2007) Pricing Multi-Asset American Options: A Finite Element Method-of-Lines with Smooth Penalty Journal of Scientific Computing. 33: 209-237
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