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
- 2024
4887.
Bensberg, Kathrin; Savvidis, Athanasios; Ballaschk, Frederic; Gómez-Suárez, Adrián; Kirsch, S. F.
Oxidation of Alcohols in Continuous Flow with a SolidPhase Hypervalent Iodine Catalyst
Chemistry - A European Journal, 2024 :e202304011
02 2024
Herausgeber: Wiley
ISSN: 0947-65394886.
[german] Tausch, Michael W.; Schneidewind, Jacob
Mit Licht zu grünem Wasserstoff
Chemie in unserer Zeit, 58 (1)
Februar 20244885.
Izak-Nau, Emilia; Niggemann, Louisa P.; Göstl, Robert
Brownian Relaxation Shakes and Breaks Magnetic Iron Oxide-Polymer Nanocomposites to Release Cargo
Small, 20 (4) :2304527
Januar 2024
ISSN: 1613-68294884.
[english] Wiebel, Michelle; Bensberg, Kathrin; Wende, Luca; Grandrath, Rebecca; Plitzko, Kathrin; Bohrmann-Linde, Claudia; Kirsch, Stefan F.; Schebb, Nils Helge
Efficient and simple extraction protocol for triterpenic acids from apples
Journal of Chemical Education
April 2024
Herausgeber: American Chemical Society and Division of Chemical Education, Inc.4883.
Krhac, Kaja; Maschke, Bernhard; van der Schaft, Arjan
Port-Hamiltonian systems with energy and power ports
Mai 20244882.
Günther, Michael
Einführung in die Finanzmathematik4881.
Al{\i}, G; Bartel, A; Günther, M
Electrical RLC networks and diodes4880.
Gjonaj, Erion; Bahls, Christian Rüdiger; Bandlow, Bastian; Bartel, Andreas; Baumanns, Sascha; Belzen, F; Benderskaya, Galina; Benner, Peter; Beurden, MC; Blaszczyk, Andreas; others
Feldmann, Uwe, 143 Feng, Lihong, 515 De Gersem, Herbert, 341 Gim, Sebasti{\'a}n, 45, 333
MATHEMATICS IN INDUSTRY 14 :5874879.
Ehrhardt, Matthias; Zheng, Chunxiong
für Angewandte Analysis und Stochastik4878.
Ehrhardt, Matthias; Zheng, Chunxiong
für Angewandte Analysis und Stochastik4877.
Ehrhardt, Matthias
Ein einfaches Kompartment-Modell zur Beschreibung von Revolutionen am Beispiel des Arabischen Frühlings4876.
Ehrhardt, Matthias
Computerunterstützte Mathematik Zeiten4875.
Ehrhardt, Matthias
Ein einfaches Kompartment-Modell zur Beschreibung von Revolutionen am Beispiel des Arabischen Frühlings4874.
Tripiccione, Betreuer Raffaele; Ehrhardt, Matthias; Alexandrou, Constantia; Toschi, Federico; Simma, Hubert; Schifano, Co-Betreuer Sebastiano Fabio
Daniele Simeoni 18360104873.
Acu, A.M.; Heilmann, Margareta; Raşa, I.
Convergence of linking Durrmeyer type modifications of generalized Baskatov operators
Bulleting of the Malaysian Math. Sciences Society4872.
Ehrhardt, M
Asymptotische Analysis Vorlesungszeiten4871.
Jacob, Birgit; Günther, Michael; Ehrhardt, Matthias
Analysis and Numerics of port-Hamiltonian systems Schedule (Start of Seminar: Oct 26, 2022)- 2024
4870.
[german] Zeller, Diana; Bohrmann-Linde, Claudia; Mack, Nils; Diekmann, Charlotte; Schrader, Claudia
Virtual Reality für den Chemieunterricht
Nachrichten aus der Chemie, 72 (6) :15-22
20244869.
Kapllani, Lorenc; Teng, Long; Rottmann, Matthias
Uncertainty quantification for deep learning-based schemes for solving high-dimensional backward stochastic differential equations
To appear in International Journal of Uncertainty Quantification
2024
Herausgeber: Begell4868.
Reiter, Kendra; Schmidt, Marie; Stiglmayr, Michael
The Line-Based Dial-a-Ride Problem
In Bouman, Paul C. and Kontogiannis, Spyros C., Editor, 24th Symposium on Algorithmic Approaches for Transportation Modelling, Optimization, and Systems (ATMOS 2024)Band123ausOpen Access Series in Informatics (OASIcs), Seite 14:1—14:20
24th Symposium on Algorithmic Approaches for Transportation Modelling, Optimization, and Systems (ATMOS 2024). Open Access Series in Informatics (OASIcs)
In Bouman, Paul C. and Kontogiannis, Spyros C., Editor
Herausgeber: Schloss Dagstuhl — Leibniz-Zentrum für Informatik, Dagstuhl, Germany
20244867.
Rohde, Martin; Burgmann, Sebastian; Janoske, Uwe
The impact of a two-dimensional vibration excitation on the critical incident flow velocity of a sessile droplet
International Journal of Multiphase Flow, 171 :104663
2024
Herausgeber: Pergamon4866.
Ehrhardt, Matthias; Kruse, Thomas; Tordeux, Antoine
The collective dynamics of a stochastic port-Hamiltonian self-driven agent model in one dimension
ESAIM: Mathematical Modelling and Numerical Analysis, 58 (2) :515–544
2024
Herausgeber: EDP Sciences4865.
Ghasemzadeh, Mohammadamin; Amirfazli, Alidad
Study of Insect Impact on an Aerodynamic Body Using a Rotary Wing Simulator
Fluids, 9 (1)
2024
ISSN: 2311-55214864.
Arslan, Bahar; Relton, Samuel D.; Schweitzer, Marcel
Structured level-2 condition numbers of matrix functions
Electron. J. Linear Algebra, 40 :28-47
20244863.
Günther, M.; Jacob, Birgit; Totzeck, Claudia
Structure-preserving identification of port-Hamiltonian systems - a sensitivity-based approach
Band 43
Herausgeber: Springer, Cham.
van Beurden, M., Budko, N.V., Ciuprina, G., Schilders, W., Bansal, H., Barbulescu, R. Edition
2024