Applied and Computational Mathematics (ACM)

Publikationen Prof. Dr. Michael Günther

2017
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.

DOI: 10.1007/978-3-319-61282-9_19

F. Knechtli, M. Günther and M. Peardon, "Calculating observables of quantum fields" in Lattice Quantum Chromodynamics: Practical Essentials, Springer Dordrecht, 2017, pp. 97–133.

DOI: 10.1007/978-94-024-0999-4_4

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.

DOI: 10.4208/nmtma.2017.m1511

F. Knechtli, M. Günther and M. Peardon, "Handling fermions on the lattice" in Lattice Quantum Chromodynamics: Practical Essentials, Springer Netherlands, 2017, pp. 55–96.

DOI: 10.1007/978-94-024-0999-4_3

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.

DOI: 10.1016/j.cam.2016.08.044

C. Hendricks, M. Ehrhardt and M. Günther, "High-order methods for parabolic equations in multiple space dimensions for option pricing problems", 2017.

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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.

DOI: 10.1007/978-3-319-61282-9_21

F. Knechtli, M. Günther and M. Peardon,Lattice Quantum Chromodynamics: Practical Essentials. Springer Netherlands, 2017.

DOI: 10.1007/978-94-024-0999-4

ISBN: 978-94-024-0997-0

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

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

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

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

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

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.

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

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

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

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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2016
M. Wandelt and M. Günther, "Efficient numerical simulation of the Wilson Flow in lattice QCD" in Progress in Industrial Mathematics at ECMI 2014, Russo, Giovanni and Capasso, Vincenzo and Nicosia, Giuseppe and Romano, Vittorio, Eds. Springer Cham, 2016, pp. 1065–1071.

DOI: 10.1007/978-3-319-23413-7_148

B. Tasic, J. J. Dohmen, E. J. W. Maten, T. G. J. Beelen, H. H. J. M. Janssen, W. H. A. Schilders and M. Günther, "Fast fault simulation to identify subcircuits involving faulty components" in Progress in Industrial Mathematics at ECMI 2014, Russo, Giovanni and Capasso, Vincenzo and Nicosia, Giuseppe and Romano, Vittorio, Eds. Springer Cham, 2016, pp. 369–376.

DOI: 10.1007/978-3-319-23413-7_49

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

K. Gausling and A. Bartel, "First results for uncertainty quantification in co-simulation of coupled electrical circuits" in Scientific Computing in Electrical Engineering: SCEE 2014, Wuppertal, Germany, July 2014, Bartel, Andreas and Clemens, Markus and Günther, Michael and ter Maten, E. Jan W., Eds. Springer Cham, 2016, pp. 243–251.

DOI: 10.1007/978-3-319-30399-4_24

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

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