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
5150.
Aad, Georges; others
Search for pair-produced vector-like top and bottom partners in events with large missing transverse momentum in pp collisions with the ATLAS detector
Eur. Phys. J. C, 83 (8) :719
20235149.
Alameddine, Jean-Marco; others
Simulations of cross media showers with CORSIKA 8
PoS, ICRC2023 :442
20235148.
Schweitzer, Marcel
Sketched and truncated polynomial Krylov methods: Evaluation of matrix functions
20235147.
Acu, Ana-Maria; Heilmann, Margareta; Raşa, Ioan
Some results for the inverse of a Bernstein–Schnabl type operator
Analysis and Mathematical Physics, 13 (1)
20235146.
Schäfers, Kevin; Bartel, Andreas; Günther, Michael; Hachtel, Christoph
Spline-oriented inter/extrapolation-based multirate schemes of higher order
Applied Mathematics Letters, 136 :108464
2023
Herausgeber: Pergamon5145.
Mui, Jonathan
Spectral properties of locally eventually positive operator semigroups
Semigroup Forum, 106 :460-480
20235144.
Giaccari, Ugo Gregorio; others
Simulations of the antenna response for the Auger Radio Detector
PoS, ARENA2022 :042
20235143.
Schweitzer, Marcel
Sketched and truncated polynomial Krylov methods: Matrix Equations
20235142.
Güttel, Stefan; Schweitzer, Marcel
Randomized sketching for Krylov approximations of large-scale matrix functions
SIAM J. Matrix Anal. Appl., 44 (3) :1073-1095
20235141.
Aad, Georges; others
Search for pair-produced scalar and vector leptoquarks decaying into third-generation quarks and first- or second-generation leptons in pp collisions with the ATLAS detector
JHEP, 2306 :188
20235140.
Ahmed, Mustafa
Quantifizierung der Genauigkeit der Co-Simulation Scalar Potential Finite Difference Methode bei der Expositionsbestimmung von Menschen durch die vernachlässigte Rückwirkung der körperinduzierten Ströme auf das magnetische Quellfeld
20235139.
Bartel, Andreas; Clemens, Markus; Günther, Michael; Jacob, Birgit; Reis, Timo
Port-{H}amiltonian Systems Modelling in Electrical Engineering
arXiv preprint arXiv:2301.02024
20235138.
5137.
Jacob, Birgit; Totzeck, Claudia
Port-Hamiltonian structure of interacting particle systems and its mean-field limit
20235136.
Bartel, Andreas; Clemens, Markus; Günther, Michael; Jacob, Birgit; Reis, Timo
Port-Hamiltonian Systems Modelling in Electrical Engineering
arXiv preprint arXiv:2301.02024
20235135.
Bahja, Ali Rida
Pose Estimation using Deep Learning and Systematic Dataset Generation for Industrial Manufacturing
20235134.
Abel, Ulrich; Acu, Ana Maria; Heilmann, Margareta; Raşa, Ioan
Positive linear operators preserving certain monomials on [0, ∞)
Dolomites Research Notes on Approximation, 16 :1-9
2023
ISSN: 2035-68035133.
Morejon, Leonel; Condorelli, Antonio; Biteau, Jonathan; Kampert, Karl-Heinz
Propagation of Ultra High-Energy Cosmic Rays in light of the latest EBL constraints
PoS, ICRC2023 :283
20235132.
Abdul Halim, Adila; others
Radio Interferometry applied to air showers recorded by the Auger Engineering Radio Array
PoS, ICRC2023 :380
20235131.
Thielmann, Oliver
Search for flavour-changing neutral current interactions in the top-quark Higgs boson sector in multi-lepton final states with the ATLAS detector at the LHC at $\sqrt{s} = 13\,\text{TeV}$
Bergische Universität Wuppertal
20235130.
Makarov, Denis; Petrov, Pavel; Uleysky, Mikhail
Random matrix theory for sound propagation in a shallow-water acoustic waveguide with sea bottom roughness
submitted to J. Marine Sci. Eng.
Juni 20235129.
Güttel, Stefan; Schweitzer, Marcel
Randomized sketching for Krylov approximations of large-scale matrix functions
SIAM J. Matrix Anal. Appl., 44 :1073-1095
20235128.
Schäfers, Kevin; Bartel, Andreas; Günther, Michael; Hachtel, Christoph
Spline-oriented inter/extrapolation-based multirate schemes of higher order
Applied Mathematics Letters, 136 :108464
2023
Herausgeber: Pergamon5127.
Göhring, Timo
Ratio of Electron and Muon Pair Production at High Invariant Mass in Association with a b-jet
20235126.
[en] Börger, Kristian; Belt, Alexander; Schultze, Thorsten; Arnold, Lukas
Remote Sensing of the Light-Obscuring Smoke Properties in Real-Scale Fires Using a Photometric Measurement Method
Fire Technology
September 2023
ISSN: 0015-2684, 1572-8099