prof. dr. B.D. (Drona) Kandhai


  • Faculty of Science
    IVI
  • Visiting address
    Science Park A
    Science Park 904  Amsterdam
    Room number: C3.142
  • Postal address:
    Postbus  94323
    1090 GH  Amsterdam
  • B.D.Kandhai@uva.nl

2017

  • Sourabh, S., Hofer, M., & Kandhai, B. D. (2017). Liquidity risk in derivatives valuation: an improved credit proxy method. Quantitative Finance, 1-15. [details]

2016

  • de Graaf, C. S. L., Kandhai, D., & Sloot, P. M. A. (2016). Efficient Estimation of Sensitivities for Counterparty Credit Risk with the Finite Difference Monte-Carlo Method. Journal of Computational Finance. DOI: 10.21314/JCF.2016.325 [details]
  • Simaitis, S., de Graaf, C. S. L., Hari, N., & Kandhai, D. (2016). Smile and Default: The Role of Stochastic Volatility and Interest Rates in Counterparty Credit Risk. Quantitative Finance, 16(11), 1725-1740. DOI: 10.1080/14697688.2016.1176240 [details] [PDF]

2014

  • de Graaf, C. S. L., Feng, Q., Kandhai, D., & Oosterlee, C. W. (2014). Efficient Computation of Exposure Profiles for Counterparty Credit Risk. International Journal of Theoretical and Applied Finance, 17(4), [1450024]. DOI: 10.1142/S0219024914500241 [details] [PDF]
  • Savickas, V., Hari, N., Wood, T., & Kandhai, D. (2014). Super Fast Greeks: An Application to Counterparty Valuation Adjustments. Wilmott, 69, 76-80. DOI: 10.1002/wilm.10291 [details]

2013

  • Quax, R., Kandhai, D., & Sloot, P. M. A. (2013). Information dissipation as an early-warning signal for the Lehman Brothers collapse in financial time series. Scientific Reports, 3, [1898]. DOI: 10.1038/srep01898 [details / files]

2012

  • Qiu, G., Kandhai, D., Johnson, N. F., & Sloot, P. M. A. (2012). Understanding complex dynamics in derivatives finance: why do options markets smile? Advances in Complex Systems, 15(5), [1250050]. DOI: 10.1142/S0219525912500506 [details]

2010

  • Qiu, G., Kandhai, D., & Sloot, P. M. A. (2010). Modeling options markets by focusing on active tradersr. Procedia Computer Science, 1, 2457-2462. DOI: 10.1016/j.procs.2010.04.277 [details]

2007

  • Qiu, G., Kandhai, B. D., & Sloot, P. M. A. (2007). Understanding the complex dynamics of stock markets through cellular automata. Physical Review E, 75, 046116. [details]

2006

  • Kromkamp, J., van den Ende, D., Kandhai, B. D., Sman, R. G. M., & Boom, R. M. (2006). Lattice Boltzmann simulation of 2D and 3D non-Brownian suspensions in Couette flow. Chemical Engineering Science, 61, 858-873. DOI: 10.1016/j.ces.2005.08.011 [details]

2005

  • Kromkamp, J., van den Ende, D., Kandhai, B. D., Sman, R. G. M., & Boom, R. M. (2005). Shear-induced self-diffusion and microstructure in non-Brownian suspensions at non-zero Reynolds numbers. Journal of Fluid Mechanics, 529, 253-278. DOI: 10.1017/S0022112005003551 [details]
  • Rohde, M., Kandhai, B. D., & den Akker, H. E. A. V. (2005). A generic, mass conservative local grid refinement technique for lattice-Boltzmann schemes. International Journal for Numerical Methods in Fluids, 51, 439-468. DOI: 10.1002/fld.1140 [details]

2004

  • Artoli, A. M. M., Kandhai, D., Hoefsloot, H. C. J., Hoekstra, A. G., & Sloot, P. M. A. (2004). Lattice BGK simulations of flow in a symmetric bifurcation. Future Generation Computer Systems, 20(6), 909-916. DOI: 10.1016/j.future.2003.12.002 [details]
  • Hlushkou, D., Kandhai, B. D., Seidel-Morgenstern, A., & Tallarek, U. (2004). Coupled lattice-Boltzmann method and finite-difference simulations of electroosmosis in microfluidic channels. International Journal for Numerical Methods in Fluids, 507-532. [details]
  • van Wageningen, W. F. C., Kandhai, B. D., Mudde, R. F., & van den Akker, H. E. A. (2004). Dynamic flow in a Kenics static mixer: An assessment of various CFD methods. AIChE Journal, 50, 1684-1696. DOI: 10.1002/aic.10178 [details]

2003

  • Artoli, A. M. M., Kandhai, B. D., Hoefsloot, H. C. J., Hoekstra, A. G., & Sloot, P. M. A. (2003). Lattice Boltzmann, a robust and accurate solver for interactive computational hemodynamics. In P. M. A. Sloot, D. Abrahamson, A. V. Bagdanov, J. J. Dongarra, A. Y. Zomaya, & Y. E. Gorbachev (Eds.), Computational Science - ICCS 2003. (Vol. 2657, pp. 1034-1043). Melbourne, Australia and St. Petersburg, Russia: Springer Verlag. [details]
  • Kandhai, B. D., Derksen, J. J., & den Akker, H. E. A. V. (2003). Interphase drag coefficients in gas-solid flows. AIChE Journal, 49, 1060-1065. DOI: 10.1002/aic.690490423 [details]
  • Rohde, M., Kandhai, B. D., Derksen, J. J., & den Akker, H. E. A. V. (2003). Improved bounce-back methods for no-slip walls in lattice-Boltzmann schemes: Theory and simulations. Physical Review E, 67, 066703. [details]

2002

  • Kandhai, B. D., Tallarek, U., Hlushkou, D., Hoekstra, A. G., Sloot, P. M. A., & van As, H. (2002). Numerical simulation and measurement of liquid hold-up in biporous media containing discrete stagnant zones. Philosophical Transactions of the Royal Society A - Mathematical, Physical and Engineering Sciences, 360, 521-534. DOI: 10.1098/rsta.2001.0952 [details]
  • Kandhai, B. D., Hlushkou, D., Hoekstra, A. G., Sloot, P. M. A., van As, H., & Tallarek, U. (2002). Influence of Stagnant Zones on Transient and Asymptotic Dispersion in Macroscopically Homogeneous Porous Media. Physical Review Letters, 88(23), 1-4. [details]

2001

  • Artoli, A. M. M., Kandhai, B. D., Hoefsloot, H. G., Hoekstra, A. G., & Sloot, P. M. A. (2001). Shear Stress in Lattice Boltzmann Simulations. In F. Hossfeld, & K. Binder (Eds.), Europhysics Conference on Computational Physics in series Publication Series of the John von Neumann Institute for computing. (Vol. 8, pp. A127) [details]
  • Kandhai, B. D., Koponen, A., Hoekstra, A. G., & Sloot, P. M. A. (2001). Iterative momentum relaxation for fast lattice-Boltzmann Simulations. Future Generation Computer Systems, 18(1), 89-96. DOI: 10.1016/S0167-739X(00)00078-9 [details]
  • Weerts, A. H., Kandhai, B. D., Bouten, W., & Sloot, P. M. A. (2001). Tortuosity of an Unsaturated Sandy Soil Estimated using Gas diffusion and Bulk Soil Electrical Conductivity: Comparing analogy-based Models and Lattice-Boltzmann Simulatons. Soil Science Society of America Journal, 65(6), 1577-1584. DOI: 10.2136/sssaj2001.1577 [details]

2000

  • Kandhai, B. D., Soll, W., Chen, S., Hoekstra, A. G., & Sloot, P. M. A. (2000). Finite-Difference Lattice-BGK Methods on Nested Grids. Computer Physics Communications, 129, 100-109. DOI: 10.1016/S0010-4655(00)00097-7 [details]
  • Bal, H. E., Bhoedjang, R. A. F., Hofman, R. F. H., Jacobs, C. J. H., Kielmann, T., Maassen, J., ... Steen, A. (2000). The Distributed ASCI supercomputer project. Operating Systems Review, 34(4), 76-96. [details]
  • Claque, D. S., Kandhai, B. D., Zhang, R., & Sloot, P. M. A. (2000). On the Hydraulic Permeability of (Un)Bounded Fibrous Media Using the Lattice-Boltzmann Method. Physical Review E, 61(1), 616-625. DOI: 10.1103/PhysRevE.61.616 [details]

2003

  • Artoli, A. M. M., Kandhai, B. D., Hoefsloot, H. C. J., Hoekstra, A. G., & Sloot, P. M. A. (2003). Lattice Boltzmann: a robust and accurate solver for interactive computational hymodynamics. Lecture Notes in Computer Science, 1034-1043. [details]

2002

  • Kandhai, B. D., Tallarek, U., Hlushkou, D., Hoekstra, A. G., Sloot, P. M. A., & van As, H. (2002). Numerical simulation and measurement of liquid hold-up in biporous media containing discrete stagnant zones. Philosophical Transactions of the Royal Society A - Mathematical, Physical and Engineering Sciences, 360(1792), 521-534. DOI: 10.1098/rsta.2001.0952 [details]

2016

  • de Graaf, C. S. L. (2016). Efficient PDE based numerical estimation of credit and liquidity risk measures for realistic derivative portfolios [details] [PDF]
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