Publikationen Prof. Dr. Matthias Ehrhardt
- 2017
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Novel Methods in Computational Finance (Book). Springer Cham, 2017.
ISBN: 978-3-319-61281-2
- 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.
- D. Shcherbakov, M. Ehrhardt, J. Finkenrath, M. Günther, F. Knechtli and M. Peardon, "Adapted nested force-gradient integrators: The Schwinger model case", Communications in Computational Physics, vol. 21, no. 4, pp. 1141–1153, 2017. Cambridge University Press.
- 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.
- C. Hendricks, C. Heuer, M. Ehrhardt and M. Günther, "High-order ADI finite difference schemes for parabolic equations in the combination technique with application in finance", Journal of Computational and Applied Mathematics, vol. 316, pp. 175–194, 2017. North-Holland.
- M. Ehrhardt, "A new two-way artificial boundary condition for wave propagation" in 23rd AIAA/CEAS Aeroacoustics Conference, 2017, pp. 3509.
- M. Ehrhardt, "Multiscale approach to parabolic equations derivation: Beyond the Linear theory", Procedia Computer Science, vol. 108, pp. 1823–1831, 2017. Elsevier.
- C. Hendricks, M. Ehrhardt and M. Günther, "Error splitting preservation for high order finite difference schemes in the combination technique", Numerical Mathematics: Theory, Methods and Applications, vol. 10, no. 3, pp. 689–710, 2017. Cambridge University Press.
- M. Ehrhardt, M. Günther and P. Pólvora, "Alternating direction explicit methods for linear, nonlinear and multi-dimensional Black-Scholes models" in Novel Methods in Computational Finance, Ehrhardt, Matthias and Günther, Michael and ter Maten, E. Jan W., Eds. Springer Cham, 2017, pp. 333–371.
- C. Hendricks, M. Ehrhardt and M. Günther, "High-order methods for parabolic equations in multiple space dimensions for option pricing problems", 2017.
- C. Hendricks, C. Heuer, M. Ehrhardt and M. Günther, "High-order-compact ADI schemes for pricing basket options in the combination technique" in Novel Methods in Computational Finance, Ehrhardt, Matthias and Günther, Michael and ter Maten, E. Jan W., Eds. Springer Cham, 2017, pp. 399–405.
- 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.
- 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.
- 2016
- D. V. Makarov and M. Ehrhardt, "Wide-angle parabolic approximations for the nonlinear Helmholtz equation in the Kerr media", Europhysics Letters, vol. 116, no. 2, pp. 24004, 2016. IOP Publishing.
- M. Ehrhardt, "Transparent boundary conditions for iterative high-order parabolic equations", Journal of Computational Physics, vol. 313, pp. 144–158, 2016. Academic Press.
- L. Teng, M. Ehrhardt and M. Günther, "The dynamic correlation model and its application to the Heston model" in Innovations in Derivatives Markets: Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation, Glau, Kathrin and Grbac, Zorana and Scherer, Matthias and Zags, Rudi, Eds. Springer Cham, 2016, pp. 437–449.
- M. Ehrhardt and L. Jódar Sánchez, "Novel methods in computational finance", International Journal of Computer Mathematics, vol. 93, no. 5, pp. 723–724, 2016. Taylor & Francis.
