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



5375.

Knechtli, F; Striebel, M; Wandelt, M
Symmetric \& Volume Preserving Projection Schemes

5374.

Putek, Piotr; Günther, Michael
Topology Optimization and Analysis of a PM synchronous Machine for Electrical Automobiles

5373.

Ehrhardt, Matthias; Günther, Michael
Vorhersage-Modelle am Beispiel des Corona-Virus COVID-19

5372.

Ehrhardt, Matthias
für Angewandte Analysis und Stochastik

5371.

Günther, Michael
Lab Exercises for Numerical Analysis and Simulation I: ODEs

5370.

Al{\i}, G; Bartel, A
Electrical RLC networks and diodes
2025

5369.

Beck, Christian; Jentzen, Arnulf; Kleinberg, Konrad; Kruse, Thomas
Nonlinear Monte Carlo Methods with Polynomial Runtime for Bellman Equations of Discrete Time High-Dimensional Stochastic Optimal Control Problems
Appl. Math. Optim., 91 (1) :26
2025

5368.

Kiesling, Elisabeth; Bohrmann-Linde, Claudia
Carbon Capture and Storage - Nachweis von adsorbiertem Kohlenstoffdioxid
Naturwissenschaften im Unterricht Chemie, 1/25 :Versuchskarteikarte
2025

5367.

Clément, François; Doerr, Carola; Klamroth, Kathrin; Paquete, Luís
Constructing Optimal Star Discrepancy Sets
accepted in Proceedings of the AMS
2025

5366.

Kunze, Markus; Mui, Jonathan; Ploss, David
Elliptic operators with non-local Wentzell-Robin boundary conditions
2025

5365.

Song, Yongcun; Wang, Ziqi; Zuazua, Enrique
FedADMM-InSa: An Inexact and Self-Adaptive ADMM for Federated Learning
Neural Network, 181
Januar 2025

5364.

Kienitz, J; Moodliyar, L
Gaussian views explained
Wilmott, 2025 (135) :72–77
2025
Herausgeber: Wilmott Magazine

5363.

Xu, Zhuo; Tucsnak, Marius
Global Exponential Stabilization for a Simplified Fluid-Particle Interaction System
Januar 2025

5362.

Bartel, Andreas; Schaller, Manuel
Goal-oriented time adaptivity for port-Hamiltonian systems
Journal of Computational and Applied Mathematics, 461 :116450
2025
ISSN: 0377-0427

5361.

Schäfers, Kevin; Finkenrath, Jacob; Günther, Michael; Knechtli, Francesco
Hessian-free force-gradient integrators
Computer Physics Communications, 309 :109478
2025
ISSN: 0010-4655

5360.

Schäfers, Kevin; Finkenrath, Jacob; Günther, Michael; Knechtli, Francesco
Hessian-free force-gradient integrators
Computer Physics Communications, 309 :109478
2025
ISSN: 0010-4655

5359.

Schäfers, Kevin; Finkenrath, Jacob; Günther, Michael; Knechtli, Francesco
Hessian-free force-gradient integrators and their application to lattice QCD simulations
PoS, LATTICE2024 :025
2025

5358.

Günther, Michael
Einführung in die Finanzmathematik
2025

5357.

Storch, Sonja; Campagna, Davide; Aydonat, Simay; Göstl, Robert
Mechanochemical generation of nitrogen-centred radicals for the formation of tertiary amines in polymers
RSC Mechanochemistry, 2
Januar 2025

5356.

Schäfers, Kevin; Finkenrath, Jacob; Günther, Michael; Knechtli, Francesco
Hessian-free force-gradient integrators and their application to lattice QCD simulations
PoS, LATTICE2024 :025
2025

5355.

Frommer, Andreas; Rinelli, Michele; Schweitzer, Marcel
Analysis of stochastic probing methods for estimating the trace of functions of sparse symmetric matrices
Math. Comp., 94 :801-823
2025

5354.

Lorenz, Jan; Zwerschke, Tom; Günther, Michael; Schäfers, Kevin
Operator splitting for coupled linear port-Hamiltonian systems
Applied Mathematics Letters, 160 :109309
2025
Herausgeber: Elsevier

5353.

Lorenz, Jan; Zwerschke, Tom; Günther, Michael; Schäfers, Kevin
Operator splitting for coupled linear port-Hamiltonian systems
Applied Mathematics Letters, 160 :109309
2025
Herausgeber: Elsevier

5352.

Palitta, Davide; Schweitzer, Marcel; Simoncini, Valeria
Sketched and truncated polynomial Krylov methods: Evaluation of matrix functions
Numer. Linear Algebra Appl., 32 :e2596
2025

5351.

Liu, Qian; Yanchang, Zhang; Zuan, Wang; Wang, Miao; Zhao, Xiaowei
Small-signal stability of sequence-decomposed grid-forming IBRs with DC-link voltage dynamics
Februar 2025