An alternating direction implicit scheme for parabolic equations with mixed derivative and convective terms

ADI schemes for higher-order nonlinear diffusion equations

Applied Numerical Mathematics

Stability of ADI schemes applied to convection-diffusion equations with mixed derivative terms

Applied Numerical Mathematics

On the performance of parallel implementations of an ADI scheme for parabolic PDEs on shared and distributed memory systems

International Journal of High Performance Computing and Networking

A combined mixed finite element ADI scheme for solving Richards' equation with mixed derivatives on irregular grids

Applied Numerical Mathematics

The evaluation of American options in a stochastic volatility model with jumps: An efficient finite element approach

Computers & Mathematics with Applications

Stability of the modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term

Mathematics and Computers in Simulation

Fast resolution of a single factor Heath-Jarrow-Morton model with stochastic volatility

Journal of Computational and Applied Mathematics