Uppsala University | Department of Scientific Computing

Jonas Persson

Position: Ph.D. Student
Office Phone: Int: +46-18-471 78 93
Nat: 018 - 471 78 93
Fax: Int: +46-18-52 30 49
Nat: 018 - 52 30 49
Email: jonasp@it.uu.se
Mailing Address: Box 337
SE 751 05 Uppsala
Sweden
Visiting Address: Polacksbacken
Building 2, room 414
Uppsala, Sweden

Academic CV
Download my academic CV here: PostScript version, PDF version.
Funding
I am funded by the national Graduate School in Mathematics and Computing, FMB.
Teaching
Scientific Computing - a project course, Spring 2006

Scientific Computing II/NV2, Autumn 2005,points.m, myQR.m, ODE.m
TDB DV1 VT04

Lotsprojektet HT03/VT04
Numerical Analysis HT02
Numerical Analysis HT01
Programmering och beräkningsteknik VT00 och VT01
Matematik och statistik med datoranvändning MN1, HT99 (?)
Research
Numerical methods in Financial Mathematics.

High-order adaptive space-discretizations for the Black-Scholes equation. Technical report 2006-021 is about high-order finite difference approximations for B&S equation. By Gunilla Linde, Jonas Persson and Lina von Sydow. Submitted to Journal of Computational and Applied Mathematics.
Pricing Turbo Warrants.. Technical report 2006-015 is about the numerical pricing of Turbo warrants, a new contract on the market. By Jonas Persson and Jonatan Eriksson. Submitted to Journal of Economic Dynamics and Control.
Space-Time Adaptive Finite Difference Method for European Multi-Asset Options.. Technical report 2004-055 is about global estimates for adaptive Finite Differences for multi-asset European options. By Per Lötstedt, Jonas Persson, Lina von Sydow and Johan Tysk.
Pricing European Multi-asset Options Using a Space-time Adaptive FD-method.. Technical report 2003-059 about Adaptive Finite Differences for multi-asset European options. By Jonas Persson and Lina von Sydow. (To be published in Computing and Visualization in Science)

Current research (articles in preparation):

Adaptive FD methods for American Options. By Jonas Persson
Radial Basis Functions for option pricing. By Jonas Persson, Ulrika Pettersson, Gunnar Marcusson and Elisabeth Larsson.
Visited Conferences

Visited: Bachelier Finance Society 2nd World Congress on Crete, 2002
Visited: 19th GAMM-Seminar Leipzig on High-dimensional problems - Numerical treatment and applications, 2003
Gave a talk at: Modelling and Computation in Financial Engineering in Bad Herrenalb, Germany, 2003
Gave a talk at: Financial Workshop, Lund, Sweden, 2003
Visited: Bachelier Finance Society 3rd World Congress, Chicago, USA, 2004
Gave a talk at: Financial Workshop, Lund, 2004
Gave a talk at: 17th Australasian Banking and Finance Conference, Sydney, December 2004

Gave a talk at: 12th Copper mountain conference on multigrid, Copper Mountain, USA, April 2005

Visited: PDE and mathematical Finance in Stockholm, Sweden, 2005
Gave a talk at: Financial PhD student workshop in Uppsala, Sweden, November 2005

Gave a talk at: Numerical methods in finance, Inria-Rocquencourt, France, February 2006

Gave a talk at: SIAM Conference on Financial Mathematics and Engineering, Boston, USA, July 9-12, 2006 (special session)
Scientific links
Ndim homepage
The Numerical Financial Mathematics Group
The Graduate School in Mathematics and Computing (FMB)
ScienceDirect.com
Journal of Computational Finance
Miscellaneous links

Jonas Persson
jonasp@it.uu.se, last modified 06-08-12