Publikationen

A. Bartel and M. Ehrhardt, "A numerical tool for the study of the hydrodynamic recovery of the lattice Boltzmann Method", Computers & Fluids, vol. 172, pp. 241–250, 2018. Pergamon.

DOI: 10.1016/j.compfluid.2018.05.031

I. Kossaczky, M. Ehrhardt and M. Günther, "A new convergent explicit tree-grid method for HJB equations in one space dimension", Numerical Mathematics: Theory, Methods and Applications, vol. 11, no. 1, pp. 1–29, 2018. Global Science Press.

DOI: 10.4208/nmtma.OA-2017-0066

P. Putek, R. Janssen, J. Niehof, E. J. W. Maten, R. Pulch, B. Tasic and M. Günther, "Nanoelectronic COupled problems solutions: Uncertainty quantification for analysis and optimization of an RFIC interference problem", Journal of Mathematics in Industry, vol. 8, no. 1, pp. 1–19, 2018. Springer Verlag.

DOI: 10.1186/s13362-018-0054-3

M. Ehrhardt and C. Vázquez, "Pricing swing options in electricity markets with two stochastic factors using a partial differential equation approach", Journal of Computational Finance, vol. 20, no. 3, pp. 81–107, 2017. Incisive Media.

DOI: 10.21314/JCF.2016.317

M. Ehrhardt, "Multiscale approach to parabolic equations derivation: Beyond the Linear theory", Procedia Computer Science, vol. 108, pp. 1823–1831, 2017. Elsevier.

DOI: 10.1016/j.procs.2017.05.085

J. Kienitz, "Negative rates: New market practice" in Novel Methods in Computational Finance, Ehrhardt, Matthias and Günther, Michael and ter Maten, E. Jan W., Eds. Springer Cham, 2017, pp. 47–63.

DOI: 10.1007/978-3-319-61282-9_4

L. Teng, M. Ehrhardt and M. Günther, "Numerical simulation of the Heston model under stochastic correlation", International Journal of Financial Studies, vol. 6, no. 1, pp. 3, 2017. MDPI.

DOI: 10.3390/ijfs6010003

J. Kienitz, T. McWalter and R. Sheppard, "PDE methods for SABR" in Novel Methods in Computational Finance, Ehrhardt, Matthias and Günther, Michael and ter Maten, E. Jan W., Eds. Springer Cham, 2017, pp. 265–291.

DOI: 10.1007/978-3-319-61282-9_15

C. Heuer, P. Pólvora, M. Ehrhardt, M. Günther and E. J. W. Maten, "The STRIKE computational finance toolbox", Novel Methods in Computational Finance, pp. 561–601, 2017. Springer Cham.

DOI: 10.1007/978-3-319-61282-9_30

E. J. W. Maten, M. Günther and M. Ehrhardt, "Proper orthogonal decomposition in option pricing" in Novel Methods in Computational Finance, Ehrhardt, Matthias and Günther, Michael and ter Maten, E. Jan W., Eds. Springer Cham, 2017, pp. 441–452.

DOI: 10.1007/978-3-319-61282-9_24

E. J. W. Maten, M. Günther and M. Ehrhardt, "Reduced models in option pricing" in Progress in Industrial Mathematics at ECMI 2016, Quintela, Peregrina and Barral, Patricia and Gómez, Dolores and Pena, Francisco J. and Rodríguez, Jerónimo and Pilar, Salgado and Vázquez-Méndez, Miguel E., Eds. Springer Cham, 2017, pp. 161–168.

DOI: 10.1007/978-3-319-63082-3_23

B. Düring, C. Hendricks and J. Miles, "Sparse Grid High-Order ADI Scheme for Option Pricing in Stochastic Volatility Models" in Novel Methods in Computational Finance, Ehrhardt, Matthias and Günther, Michael and ter Maten, E. Jan W., Eds. Springer Cham, 2017, pp. 295–312.

DOI: 10.1007/978-3-319-61282-9_16

M. Ehrhardt and D. Ševčovič, "Stochastic and Computational Finance (Preface)", International Journal of Computer Mathematics, vol. 94, no. 11, pp. 2145–2146, 2017. Taylor & Francis.

DOI: 10.1080/00207160.2017.1386373

L. Teng, M. Ehrhardt and M. Günther, "Modelling and calibration of stochastic correlation in finance" in Novel Methods in Computational Finance, Ehrhardt, Matthias and Günther, Michael and ter Maten, E. Jan W., Eds. Springer Cham, 2017, pp. 83–105.

DOI: 10.1007/978-3-319-61282-9_6

I. Kossaczky, M. Ehrhardt and M. Günther, "The tree-grid method with control-independent stencil", Proceedings of Equadiff 2017 Conference, pp. 79–88, 2017. SPEKTRUM STU Publishing.

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A. Gabbana, M. Mendoza, S. Succi and R. Tripiccione, "Towards a unified lattice kinetic scheme for relativistic hydrodynamics", Physical Review E, vol. 95, pp. 053304, 2017. American Physical Society.

DOI: 10.1103/PhysRevE.95.053304

P. Putek, P. PAPLICKI, R. Pulch, E. J. W. Maten, M. Günther, R. Paƚka and D. Lahaye, "Multi-objective topology optimization of a permanent magnet machine to reduce electromagnetic losses and cogging torque", International Journal of Applied Electromagnetics and Mechanics, vol. 53, no. 2_suppl, pp. S203–S212, 2017. IOS Press.

DOI: 10.3233/JAE-140162

Novel Methods in Computational Finance (Book). .... Springer Cham, 2017.

DOI: 10.1007/978-3-319-61282-9

ISBN: 978-3-319-61281-2

E. J. W. Maten and M. Ehrhardt, "Minisymposium: Computational methods for finance and energy markets" in Progress in Industrial Mathematics at ECMI 2016, Springer Cham, 2017, pp. 141–143.

DOI: 10.1007/978-3-319-63082-3_20

E. Calore and A. Gabbana, "Evaluation of DVFS techniques on modern HPC processors and accelerators for energy-aware applications", Concurrency and Computation: Practice and Experience, vol. 29, no. 12, pp. e4143, 2017.

DOI: 10.1002/cpe.4143