Wei (David) Xu
Wei (David) Xu
Associate Professor, Toronto Metropolitan University (formerly Ryerson University)
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A fast symmetric SVD algorithm for square Hankel matrices
W Xu, S Qiao
Linear Algebra and its Applications 428 (2-3), 550-563, 2008
A divide-and-conquer method for the Takagi factorization
W Xu, S Qiao
SIAM journal on matrix analysis and applications 30 (1), 142-153, 2008
Moment matching machine learning methods for risk management of large variable annuity portfolios
W Xu, Y Chen, C Coleman, TF Coleman
Journal of Economic Dynamics and Control 87, 1-20, 2018
A new sampling strategy willow tree method with application to path-dependent option pricing
W Xu, Z Hong, C Qin
Quantitative Finance 13 (6), 861-872, 2013
Condition numbers for structured least squares problems
W Xu, Y Wei, S Qiao
BIT Numerical Mathematics 46, 203-225, 2006
A fast SVD for multilevel block Hankel matrices with minimal memory storage
L Lu, W Xu, S Qiao
Numerical Algorithms 69 (4), 875-891, 2015
A twisted factorization method for symmetric SVD of a complex symmetric tridiagonal matrix
W Xu, S Qiao
Numerical Linear Algebra with Applications 16 (10), 801-815, 2009
Pricing American options by willow tree method under jump-diffusion process
W Xu, Y Yin
Journal of Derivatives 22 (1), 46, 2014
Block Lanczos tridiagonalization of complex symmetric matrices
S Qiao, G Liu, W Xu
Advanced Signal Processing Algorithms, Architectures, and Implementations XV …, 2005
Willow tree algorithms for pricing guaranteed minimum withdrawal benefits under jump-diffusion and CEV models
B Dong, W Xu, YK Kwok
Quantitative Finance 19 (10), 1741-1761, 2019
Efficient willow tree method for European-style and American-style moving average barrier options pricing
L Lu, W Xu, Z Qian
Quantitative Finance 17 (6), 889-906, 2017
Tikhonov regularization for weighted total least squares problems
Y Wei, N Zhang, MK Ng, W Xu
Applied mathematics letters 20 (1), 82-87, 2007
Price of climate risk hedging under uncertainty
A Rubtsov, W Xu, A Šević, Ž Šević
Technological Forecasting and Social Change 165, 120430, 2021
A preconditioned conjugate gradient algorithm for GeneRank with application to microarray data mining
G Wu, W Xu, Y Zhang, Y Wei
Data Mining and Knowledge Discovery 26, 27-56, 2013
Fast (structured) Newton computations
TF Coleman, W Xu
SIAM Journal on Scientific Computing 31 (2), 1175-1191, 2009
A unified willow tree framework for one-factor short-rate models
G Wang, W Xu
The Journal of Derivatives 25 (3), 33-54, 2018
A simple and efficient two-factor willow tree method for convertible bond pricing with stochastic interest rate and default risk
L Lu, W Xu
The Journal of Derivatives 25 (1), 37-54, 2017
Automatic Differentiation in MATLAB using ADMAT with Applications
TF Coleman, W Xu
Society for industrial and applied mathematics, 2016
Efficient preconditioners for Newton-GMRES method with application to power flow study
W Xu, W Li
IEEE Transactions on Power Systems 28 (4), 4173-4180, 2013
Solving nonlinear equations with the Newton–Krylov method based on automatic differentiation
W Xu, TF Coleman
Optimization Methods and Software 29 (1), 88-101, 2014
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