Applied and Computational Mathematics (ACM)

Finance

The famous Black-Scholes equation is an effective model for option pricing. It was named after the pioneers Black, Scholes and Merton who suggested it 1973.

In this research field our aim is the development of effective numerical schemes for solving linear and nonlinear problems arising in the mathematical theory of derivative pricing models.

An option is the right (not the duty) to buy (`call option') or to sell (`put option') an asset (typically a stock or a parcel of shares of a company) for a price E by the expiry date T. European options can only be exercised at the expiration date T. For American options exercise is permitted at any time until the expiry date. The standard approach for the scalar Black-Scholes equation for European (American) options results after a standard transformation in a diffusion equation posed on an bounded (unbounded) domain.

Another problem arises when considering American options (most of the options on stocks are American style). Then one has to compute numerically the solution on a semi-unbounded domain with a free boundary. Usually finite differences or finite elements are used to discretize the equation and artificial boundary conditions are introduced in order to confine the computational domain.

In this research field we want to design and analyze new efficient and robust numerical methods for the solution of highly nonlinear option pricing problems. Doing so, we have to solve adequately the problem of unbounded spatial domains by introducing artificial boundary conditions and show how to incorporate them in a high-order time splitting method.

Nonlinear Black-Scholes equations have been increasingly attracting interest over the last two decades, since they provide more accurate values than the classical linear model by taking into account more realistic assumptions, such as transaction costs, risks from an unprotected portfolio, large investor's preferences or illiquid markets, which may have an impact on the stock price, the volatility, the drift and the option price itself.



Special Interests

Publications



2022

6124.

[german] Kremer, Richard; Bohrmann-Linde, Claudia; Tausch, Michael W.
Künstliche Photosynthese im Fokus - Photokatalytische Wasserstofferzeugung in der Eintopfzelle
CHEMKON, 29 (6) :646-653
September 2022

6123.

[german] Bohrmann-Linde, Claudia; Gökkus, Yasemin; Humbert, Ludger; Kiesling, Elisabeth; Kremer, Richard; Losch, Daniel; Schmitz, Denise; Zeller, Diana
Analyse, Struktur und Darstellung chemiedidaktischer Elemente aus informatischer Perspektive – Entwicklung eines interdisziplinären Lehrkonzeptes
MNU-Journal, 05.2022 :423-429
September 2022

6122.

Bohrmann-Linde, Claudia; Siehr, Ilona
CHEMIE Einführungsphase Nordrhein-Westfalen
Herausgeber: C.C.Buchner Verlag, Bamberg
August 2022

ISBN: 9783661060019

6121.

[german] Monique, Meier; Zeller, Diana; Stinken-Rösner, Lisa
Interaktive Videoformate für den naturwissenschaftlichen Unterricht. Vom Rezipieren zum Interagieren
Unterricht Biologie, 475 :44-47
07 2022

6120.

[german] Grandrath, Rebecca; Bohrmann-Linde, Claudia
Strom aus Bäckerhefe
Nachrichten aus der Chemie, 70 (7-8) :18-21
Juli 2022

6119.

[german] Grandrath, Rebecca; Bohrmann-Linde, Claudia
Entwicklung eines lowcost Experiments für den Chemieunterricht am Beispiel der enzymatischen Brennstoffzelle mit Lactase
CHEMKON, 29 (S1) :233-238
Juni 2022

6118.

[german] Zeller, Diana
Medialab – ein dreistufiges Modul zur Entwicklung digitalisierungsbezogener Kompetenzen im Studium des Chemie‐ und Sachunterrichtslehramts
CHEMKON, 29 (S1) :287-292
Juni 2022

6117.

[english] Bohrmann-Linde, Claudia; Zeller, Diana; Meuter, Nico; Tausch, Michael W.
Teaching Photochemistry: Experimental Approaches and Digital Media
ChemPhotoChem, 6 (6) :1-11
Juni 2022

6116.

[german] Kiesling, Elisabeth; Venzlaff, Julian; Bohrmann-Linde, Claudia
BNE im Chemieunterricht – von der Leitlinie BNE NRW zur exemplarischen Unterrichtseinbindung
CHEMKON, 29 (S1) :239-245
Juni 2022

6115.

[german] Zeller, Diana; Meier, Monique
Videos interaktiv erweitern - Forschendes Lernen vielseitig unterstützen
Digital Unterricht Biologie, 4 :10-11
Mai 2022

6114.

[german] Gökkus, Yasemin; Tausch, Michael W.
Explorative Studie zur partizipativen und nutzenorientierten Forschung in der Chemiedidaktik
CHEMKON, 29 (3) :117-124
April 2022

6113.

[german] Banerji, Amitabh; Dörschelln, Jennifer; Schwarz, D.
Organische Leuchtdioden im Chemieunterricht
Chemie in unserer Zeit, 52 (1) :34-41
2022

6112.

Gerlach, Moritz; Glück, Jochen
On characteristics of the range of integral operators
2022

6111.

Petrov, {Pavel S.}; Ehrhardt, Matthias; Trofimov, {M. Yu.}
On the decomposition of the fundamental solution of the {Helmholtz} equation via solutions of iterative parabolic equations
Asymptotic Analysis, 126 (3-4) :215--228
2022
Herausgeber: IOS Press

6110.

Ballaschk, Frederic; Kirsch, Stefan F.
Oxidations with Iodine(V) Compounds – From Stoichiometric Compounds to Catalysts
In Ishihara, Kazuaki and Muñiz, Kilian, Editor, Iodine Catalysis in Organic Synthesis
Seite 299–334
Herausgeber: Wiley
1 Edition
2022
299–334

6109.

Heldmann, F.; Treibert, S.; Ehrhardt, M.; Klamroth, K.
PINN Training using Biobjective Optimization: The Trade-off between Data Loss and Residual Loss
IMACM preprint 22/13
2022

6108.

Jacob, Birgit; Morris, Kirsten
On solvability of dissipative partial differential-algebraic equations
IEEE Control. Syst. Lett., 6 :3188-3193
2022

6107.

Farkas, Bálint; Nagy, Béla; Révész, Szilárd Gy.
On intertwining of maxima of sum of translates functions with nonsingular kernels
Trudy Inst. Mat. Mekh. UrO RAN
2022

6106.

Farkas, Bálint; Jacob, Birgit; Schmitz, Merlin
On exponential splitting methods for semilinear abstract Cauchy problems
2022

6105.

Güttel, Stefan; Schweitzer, Marcel
Randomized sketching for Krylov approximations of large-scale matrix functions
2022

6104.

Klamroth, Kathrin; Stiglmayr, Michael; Sudhoff, Julia
Ordinal Optimization Through Multi-objective Reformulation
math.OC, arXiv:2204.02003
2022
Herausgeber: arXiv

6103.

Kapllani, Lorenc; Teng, Long
Multistep schemes for solving backward stochastic differential equations on {GPU}
JMI, 12 (5)
2022

6102.

Fatoorehchi, Hooman; Ehrhardt, Matthias
Numerical and semi-nume\-rical solutions of a modified Thévenin model for calculating terminal voltage of battery cells
J. Energy Storage, 45 :103746
2022
Herausgeber: Elsevier

6101.

Bartel, Andreas; Günther, Michael
Multirate Schemes -- An Answer of Numerical Analysis to a Demand from Applications
In Michael Günther and Wil Schilders, Editor, Novel Mathematics Inspired by Industrial Challenges
Seite 5--27
Herausgeber: Springer
2022
5--27

6100.

Klamroth, Kathrin; Stiglmayr, Michael; Sudhoff, Julia
Multi-objective Matroid Optimization with Ordinal Weights
Discrete Applied Mathematics
2022

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