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
- 2023
4687.
Lars, Thun
Investigation of time constraints for quality prediction in arc welding using deep learning
20234686.
Lund, Kathryn; Schweitzer, Marcel
The Frechet derivative of the tensor t-function
Calcolo, 60 :35
20234685.
Lund, Kathryn; Schweitzer, Marcel
The Frechet derivative of the tensor t-function
Calcolo, 60
20234684.
Meinert, Janning; Morej\'on, Leonel; Sandrock, Alexander; Eichmann, Björn; Kreidelmeyer, Jonas; Kampert, Karl-Heinz
The impact of a modified CMB photon density on UHECR propagation
PoS, ICRC2023 :322
20234683.
Alameddine, Jean-Marco; others
The particle-shower simulation code CORSIKA 8
PoS, ICRC2023 :310
20234682.
Guerreiro, Andreia P.; Klamroth, Kathrin; Fonseca, Carlos M.
Theoretical aspects of subset selection in multi-objective optimization
In Brockhoff, D. and Emmerich, M. and Naujoks, B. and Purshouse, R., Editor aus Natural Computing Series
Seite 213--239
Herausgeber: Springer
2023
213--2394681.
[en] Lauer, Patrick; Arnold, Lukas; Brännström, Fabian
Inverse modelling of pyrolization kinetics with ensemble learning methods
Fire Safety Journal
Januar 2023
ISSN: 037971124680.
Pereselkov, Sergey; Kuz’kin, Venedikt; Ehrhardt, Matthias; Tkachenko, Sergey; Rybyanets, Pavel; Ladykin, Nikolay
Three-dimensional modeling of sound field holograms of a moving source in the presence of internal waves causing horizontal refraction
Journal of Marine Science and Engineering, 11 (10) :1922
2023
Herausgeber: MDPI4679.
Kapllani, Lorenc; Teng, Long; Rottmann, Matthias
Uncertainty quantification for deep learning-based schemes for solving high-dimensional backward stochastic differential equations
Submitted to SIAM-ASA J. Uncertain. Quantif.
20234678.
Schweitzer, Marcel
Integral representations for higher-order Frechet derivatives of matrix functions: Quadrature algorithms and new results on the level-2 condition number
Linear Algebra Appl., 656 :247-276
2023
Herausgeber: Elsevier4677.
Schweitzer, Marcel
Integral representations for higher-order Frechet derivatives of matrix functions: Quadrature algorithms and new results on the level-2 condition number
Linear Algebra Appl., 656 :247-276
20234676.
Bülow, Friedrich; Hahn, Yannik; Meyes, Richard; Meisen, Tobias; others
Transparent and Interpretable State of Health Forecasting of Lithium-Ion Batteries with Deep Learning and Saliency Maps
International Journal of Energy Research, 2023
2023
Herausgeber: Hindawi4675.
Akramov, ME; Yusupov, JR; Ehrhardt, M; Susanto, H; Matrasulov, DU
Transparent boundary conditions for the nonlocal nonlinear Schrödinger equation: A model for reflectionless propagation of PT-symmetric solitons
Physics Letters A :128611
2023
Herausgeber: North-Holland4674.
Akramov, ME; Yusupov, JR; Ehrhardt, M; Susanto, H; Matrasulov, DU
Transparent boundary conditions for the nonlocal nonlinear Schrödinger equation: A model for reflectionless propagation of PT-symmetric solitons
Physics Letters A :128611
2023
Herausgeber: North-Holland4673.
Akramov, ME; Yusupov, JR; Ehrhardt, Matthias; Susanto, H; Matrasulov, DU
Transparent boundary conditions for the nonlocal nonlinear Schrödinger equation: A model for reflectionless propagation of PT-symmetric solitons
Physics Letters, Section A, 459 :128611
2023
Herausgeber: North-Holland4672.
Jacob, Birgit; Zwart, Hans
Infinite-dimensional linear port-Hamiltonian systems on a one-dimensional spatial domain: An Introduction
20234671.
David, Amelie; Stroka, Steven; Haussmann, Norman; Schmülling, Benedikt; Clemens, Markus
Überprüfung der elektromagnetischen Umweltverträglichkeit bei induktiver Ladung
In Proff, Heike and Clemens, Markus and Marrón, Pedro J. and Schmülling, Benedikt, Editor
Seite 143-180
Herausgeber: Springer Fachmedien Wiesbaden, Wiesbaden
2023
143-1804670.
Dobrick, Alexander; Hölz, Julian; Kunze, Markus
Ultra Feller operators from a functional analytic perspective
20234669.
Poggi, Aurora; Di Persio, Luca; Ehrhardt, Matthias
Electricity Price Forecasting via Statistical and Deep Learning Approaches: The German Case
AppliedMath, 3 (2) :316--342
2023
Herausgeber: Multidisciplinary Digital Publishing Institute4668.
Klamroth, Kathrin; Lang, Bruno; Stiglmayr, Michael
Efficient Dominance Filtering for Unions and Minkowski Sums of Non-Dominated Sets
Computers and Operations Research
2023
Herausgeber: Elsevier {BV}4667.
Bolten, Matthias; Friedhoff, S.; Hahne, J.
Task graph-based performance analysis of parallel-in-time methods
Parallel Comput., 118 :103050
20234666.
Kordon, Florian; Stiglmayr, Michael; Maier, Andreas; Vicario, Celia Mart{\'{\i}}n; Pertlwieser, Tobias; Kunze, Holger
A principled representation of elongated structures using heatmaps
Scientific Reports, 13 (15253)
September 20234665.
Schäfers, Torben; Teng, Long
Asymmetry in stochastic volatility models with threshold and time-dependent correlation
Studies in Nonlinear Dynamics & Econometrics, 27 (2) :131–146
2023
Herausgeber: De Gruyter4664.
Dehne, Tobias
Assessment of horizontal flame spread with solid pyrolysis modelling in the Fire Dynamics Simulator
Bergische Universität Wuppertal
20234663.
[en] Börger, Kristian; Ellingham, Jennifer; Belt, Alexander; Schultze, Thorsten; Bieder, Stefan; Weckman, Elizabeth; Arnold, Lukas
Assessing performance of LEDSA and Radiance method for measuring extinction coefficients in real-scale fire environments
Fire Safety Journal, 141
Dezember 2023
ISSN: 03797112