Publikationen Ehrhardt

I. Kossaczky, M. Ehrhardt and M. Günther, "Piecewise fixed policy timestepping schemes for Hamilton-Jacobi-Bellman equations", Preprint IMACM, 2016. Bergische Universität Wuppertal.

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I. Kossaczky, M. Ehrhardt and M. Günther, "On the non-existence of higher order monotone approximation schemes for HJB equations", Applied Mathematics Letters, vol. 52, pp. 53–57, 2016. Pergamon.

DOI: 10.1016/j.aml.2015.08.005

L. Teng, M. Ehrhardt and M. Günther, "On the Heston model with stochastic correlation", International Journal of Theoretical and Applied Finance, vol. 19, no. 06, pp. 1650033, 2016. World Scientific Publishing.

DOI: 10.1142/S0219024916500333

E. J. W. Maten, M. Günther and M. Ehrhardt, "Proper orthogonal decomposition in option pricing: Basket options and Heston model" in Progress in Industrial Mathematics at ECMI 2014, Springer Cham, 2016, pp. 217–227.

DOI: 10.1007/978-3-319-23413-7_29

I. Kossaczkỳ, M. Ehrhardt and M. Günther, "Modifications of the PCPT method for HJB equations" in 8th International Conference for Promoting the Application of Mathematics in Technical and Natural Sciences - AMiTaNS’16, American Institute of Physics, 2016, pp. 030002.

DOI: 10.1063/1.4964962

L. Teng, M. Ehrhardt and M. Günther, "Modelling stochastic correlation", Journal of Mathematics in Industry, vol. 6, no. 1, pp. 1–18, 2016. Springer Verlag.

DOI: 10.1186/s13362-016-0018-4

C. Hendricks, M. Ehrhardt and M. Günther, "Integrated forecasting of day-ahead prices in the German electricity market" in Progress in Industrial Mathematics at ECMI 2014, Springer Cham, 2016, pp. 333–339.

DOI: 10.1007/978-3-319-23413-7_44

P. Pólvora, M. Ehrhardt and M. Günther, "Implementation of alternating direction explicit methods for higher dimensional Black-Scholes equations", AIP Conference Proceedings, vol. 1773, no. 1, pp. 030001, 2016. American Institute of Physics.

DOI: 10.1063/1.4964961

C. Hendricks, M. Ehrhardt and M. Günther, "High-order ADI schemes for diffusion equations with mixed derivatives in the combination technique", Applied Numerical Mathematics, vol. 101, pp. 36–52, 2016. North-Holland.

DOI: 10.1016/j.apnum.2015.11.003

M. Ehrhardt and M. Günther, "Fichera theory and its application in finance" in Progress in Industrial Mathematics at ECMI 2014, Springer Cham, 2016, pp. 103–111.

DOI: 10.1007/978-3-319-23413-7_13

M. Ehrhardt, "Discrete artificial boundary conditions for the linearized Korteweg-de Vries equation", Numerical Methods for Partial Differential Equations, vol. 32, no. 5, pp. 1455–1484, 2016. John Wiley & Sons.

DOI: 10.1002/num.22058

L. Teng, M. Ehrhardt and M. Günther, "Modelling stochastic correlation with modified Ornstein-Uhlenbeck process" in Progress in Industrial Mathematics at ECMI 2014, Springer Cham, 2016, pp. 113–120.

DOI: 10.1007/978-3-319-23413-7_14

Mathematical Modelling and Numerical Simulation of Oil Pollution Problems. Springer Cham, 2015.

DOI: 10.1007/978-3-319-16459-5

ISBN: 978-3-319-16458-8

M. Ehrhardt, "Transparent boundary conditions for the high-order parabolic approximations" in 2015 Days on Diffraction (DD), IEEE, 2015, pp. 255–261.

DOI: 10.1109/DD.2015.7354870

M. Ehrhardt, "Transparent boundary conditions for a hierarchy of high-order parabolic approximations", Preprint IMACM, 2015. Bergische Universität Wuppertal.

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L. Teng, M. Ehrhardt and M. Günther, "The pricing of Quanto options under dynamic correlation", Journal of Computational and Applied Mathematics, vol. 275, pp. 304–310, 2015. Elsevier.

DOI: 10.1016/j.cam.2014.07.017

L. Teng, M. Ehrhardt and M. Günther, "Option pricing with dynamically correlated stochastic interest rate", Acta Mathematica Universitatis Comenianae, vol. 84, no. 2, pp. 179–190, 2015. Univerzita Komenskeho.

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M. Ehrhardt, "On Mayfield’s stability proof for the discretized transparent boundary condition for the parabolic equation", Applied Mathematics Letters, vol. 44, pp. 45–49, 2015. Pergamon.

DOI: 10.1016/j.aml.2014.12.019

C. Hendricks, M. Ehrhardt and M. Günther, "High-order-compact ADI schemes for diffusion equations with mixed derivatives in the combination technique", Preprint IMACM, 2015. Bergische Universität Wuppertal.

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C. Hendricks, M. Ehrhardt and M. Günther, "High order combination technique for the efficient pricing of basket options", Acta Mathematica Universitatis Comenianae, vol. 84, no. 2, pp. 243–253, 2015. Univerzita Komenskeho.

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D. Shcherbakov, M. Ehrhardt, M. Günther and M. Peardon, "Force-gradient nested multirate methods for Hamiltonian systems", Computer Physics Communications, vol. 187, pp. 91–97, 2015. North-Holland.

DOI: 10.1016/j.cpc.2014.10.014

A. Bartel and M. Ehrhardt, "Discrete artificial boundary conditions for the lattice Boltzmann method in 2D", ESAIM: Proceedings and Surveys, vol. 52, pp. 47–65, 2015. EDP Sciences.

DOI: 10.1051/proc/201552003

A. Bartel and M. Ehrhardt, "Concept for a one-dimensional discrete artificial boundary condition for the lattice Boltzmann method", Computers & Mathematics with Applications, vol. 70, no. 10, pp. 2316–2330, 2015. Pergamon.

DOI: 10.1016/j.camwa.2015.08.030

M. Ehrhardt and M. Günther, "Alternating direction explicit methods for convection diffusion equations", Acta Mathematica Universitatis Comenianae, vol. 84, no. 2, pp. 309–325, 2015. Univerzita Komenskeho.

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L. Teng, M. Ehrhardt and M. Günther, "A versatile approach for stochastic correlation using hyperbolic functions", International Journal of Computer Mathematics, vol. 93, no. 3, pp. 524–539, 2015. Taylor & Francis.

DOI: 10.1080/00207160.2014.1002779

Publikationen Prof. Dr. Matthias Ehrhardt