Publications(2004-2012)

Refereed Journal and Conference Publications

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• Year 2013
  1. N. Thakoor, D. Y. Tangman and M. Bhuruth. A new fourth-order numerical scheme for option pricing under the CEV model. Applied Mathematics Letters, 26, 160-164, 2013.
  2. N. Rambeerich, D. Y. Tangman, R. M. Lollchund, M. Bhuruth. High-order computational methods for option valuation under multifactor models. European Journal of Operational Research, 224, 219-226, 2013.
• Year 2012
  1. A.E.E.F Saib, D.Y. Tangman and M. Bhuruth. A New radial basis functions algorithm for American option pricing under Merton's jump-diffusion model. International Journal of Computer Mathematics, 89, 1164-1185,2012. Paper forms part of Special Issue on Computational Finance
  2. K. Dookhitram, S. Sunhaloo and M. Bhuruth. An implicit partial pivoting Gauss elimination algorithm for linear systems of equations with partial pivoting. Innovative Systems Design and Engineering, 3, 1-6, 2012. Open access
• Year 2011

1. D. Y. Tangman, N. Rambeerich, A. A. I. Peer and M. Bhuruth. Fast simplified approaches to Asian option pricing. Journal of Computational Finance, 34, June 2011, 1-34.
2. D. Y. Tangman, N. Thakoor, K. Dookhitram and M. Bhuruth. Fast approximations of bond prices under CKLS models. Finance Research Letters, 8, 206-212, 2011.
3. K. Dookhitram, R. Boojhawon, A. Gopaul and M. Bhuruth. A-posteriori residual bounds for Arnoldi’s method for nonsymmetric eigenvalue problems. Numerical Algorithms, 56, 481-495, 2011.
4. N. Rambeerich, D.Y. Tangman and M. Bhuruth. Numerical pricing of American options under infinite activity Levy processes. Journal of Futures Markets, 31, 809-829, 2011.
5. A.A.E.F. Saib, N. Thakoor, D.Y. Tangman and M. Bhuruth. On some finite difference algorithms for pricing American options and their implementation in Mathematica.Proceedings of the 11th International Conference on Computational and Mathematical Methods in Science and Engineering (CMMSE), June 2011, Alicante, Spain.

• Year 2010

1. R.Boojhawon, D.Y. Tangman, K. Dookhitram and M. Bhuruth. Analysis of an implicitly restarted Simpler GMRES variant of augmented GMRES. Lecture Notes in Computer Science, Springer Verlag, 6170, 570-585, 2010.
2. M. Sunhaloo, J. Narsoo and M. Bhuruth. Hermitian and skew-Hermitian methods for streamline upwind Petrov-Galerkin scheme for a three-dimensional convection diffusion grid-aligned flow problem. In Proceedings of the First International Conference on Mathematics and Statistics, UAE, 1-5, 2010.
3. Y. D. Tangman, R. Boojhawon, A. Gopaul and M. Bhuruth. A general efficient framework for pricing options using exponential time integration schemes. In Financial Econometrics Modelling: Derivatives Pricing, Hedge Funds and Term Structure Models. G. N. Gregoriou and R. Pascalau (Editors), Palgrave-Macmillan, 2010.
4. M. S. Sunhaloo, R. Boojhawon, A. Gopaul and M. Bhuruth. On block-circulant preconditioners for high-order compact discretisations of convection diffusion problems. Journal of Computational and Applied Mathematics, 234(4), 1312-1323, 2010.
5. A.A.I. Peer, M.Z.Dauhoo, A. Gopaul and M.Bhuruth. A weighted ENO-flux limiter scheme for hyperbolic conservation laws. International Journal of Computer Mathematics, 87, 3467-3488, 2010.
6. A. Gopaul. M. Ramsarran, J. Cheeneebash, M. S. Sunhaloo and M. Bhuruth. Using generalized HSS method for solving linear systems arising from a fourth-order discretisation of a model convection-diffusion equation. ICNAAM, Numerical Analysis and Applied Mathematics International Conference 2010, American Institute of Physics, 753-756, 2010.

• Year 2009

1. K. Dookhitram, R. Boojhawon and M. Bhuruth. A new method for accelerating Arnoldi algorithms for large scale eigenproblems. Mathematics and Computers in Simulation, 80, 387-401, 2009.
2. A. A. I. Peer, M. Z. Dauhoo and M. Bhuruth. A method for improving the performance of the WENO5 scheme near discontinuities. Applied Mathematics Letters, 22, 1730-1733, 2009.
3. N. Rambeerich, D. Y. Tangman, A. Gopaul and M. Bhuruth. Exponential time integration for fast finite element solutions of some financial engineering problems. Journal of Computational and Applied Mathematics, 224, 668-678, 2009.
4. A. Gopaul, M. S. Sunhaloo, R. Boojhawon and M. Bhuruth. Analysis of incomplete factorizations for a nine-point approximation to a convection-diffusion model problem. Journal of Computational and Applied Mathematics, 224, 719-733, 2009.
5. D. Y. Tangman, A. Gopaul and M. Bhuruth. Exponential time differencing with Runge-Kutta time stepping for convectively dominated financial problems, UOM Research Journal, 15, 373-386, 2009.
6. R. Boojhawon, Y. D. Tangman, M. Bhuruth and M. S. Sunhaloo. Analysis of a semi-circulant preconditioner for a high-order compact approximation of a convection-diffusion model problem. ICNAAM, Numerical Analysis and Applied Mathematics International Conference 2009, American Institute of Physics, 1170-1173, 2009

• Year 2008

1. R. K. Bissoondeeal, J. M. Binner, M. Bhuruth, A. Gazely and V. D. Mootanah. Forecasting exchange rates with linear and nonlinear models. Global Business and Economic Review, 10, 414-429, 2008.
2. D. Y. Tangman, A. Gopaul and M. Bhuruth. Exponential time integration and Chebychev discretisation schemes for fast pricing of options. Applied Numerical Mathematics, 58, 1309-1319, 2008.
3. D. Y. Tangman, A. Gopaul and M. Bhuruth. A fast high-order finite difference algorithm for pricing American options. Journal of Computational and Applied Mathematics, 222,17-29, 2008.
4. D. Y. Tangman, A. Gopaul and M. Bhuruth. Numerical pricing of options using high-order compact finite difference schemes. Journal of Computational and Applied Mathematics, 218, 270-280, 2008.
5. A. A. I. Peer, A. Gopaul, M. Z. Dauhoo and M. Bhuruth. A new fourth-order non-oscillatory central scheme for hyperbolic conservation laws. Applied Numerical Mathematics, 58, 674-688, 2008.
6. M. S. Sunhaloo, J. Narsoo, A. Gopaul and M. Bhuruth. Hermitian and skew-Hermitian splitting methods for streamline upwind Petrov-Galerkin approximations of a grid-aligned flow problem.International Conference on Innovations in Information Technology, 29-33, 2008.
7. M. S. Sunhaloo, A. Gopaul and M. Bhuruth. Convergence analysis of a two-grid iteration for a compact fourth-order scheme for a model convection-diffusion problem. WorldComp08, 375-381, 2008.

• Year 2007
  1. S. Sunhaloo and M. Bhuruth. Domain preconditioned GMRES algorithms for high-order compact discretisations of convection-diffusion problems. Proceedings of the 2007 Computer Science and IT Education Conference, University of Technology, Mauritius, 2007.
  2. J. Cheeneebash, G. Galanis, A. Gopaul and M. Bhuruth. Improving artificial neural network forecasts with Kalman filtering. UOM Research Journal, 13A, 27-33, 2007.
• Year 2006
  1. R. Boojhawon and M. Bhuruth. An implementation of GMRES with Deflated Restarting via the Shifted Arnoldi Process. Proceedings of the International Conference on Computational and Mathematical Methods in Science and Engineering, CMMSE 2006, Madrid, 21-25 September 2006, 133-152.
  2. A. Gopaul and M. Bhuruth. Analysis of a Fourth-Order Scheme for a Three-Dimensional Convection-Diffusion Model Problem. SIAM Journal of Scientific Computing, 28, 2075-2094, 2006.