Applied and Computational Mathematics (ACM)

Publikationen



2014
D. Klindworth, M. Ehrhardt and T. Koprucki, "Discrete Transparent Boundary Conditions for Multi-Band Effective Mass Approximations", Multi-Band Effective Mass Approximations: Advanced Mathematical Models and Numerical Techniques, pp. 273--318, 2014. Springer International Publishing.
M. Ehrhardt, M. Günther and E. J. W. Maten, "ECMI SIG on Computational Finance" in ECMI Newsletter 56, 2014, pp. 20--22.
E. J. W. Maten, R. Pulch, W. H. A. Schilders and H. H. J. M. Janssen, "Efficient Calculation of Uncertainty Quantification" in {Progress in Industrial Mathematics at ECMI 2012}, M. Fontes and M. Günther and N. Marheineke, Eds. Springer International Publishing, 2014, pp. 361--370.
C. Kaufmann, M. Günther, D. Klagges, M. Knorrenschild, M. Richwin, S. Schöps and E. J. Ter Maten, "Efficient frequency-transient co-simulation of coupled heat-electromagnetic problems", Journal of Mathematics in Industry, vol. 4, no. 1, pp. 1--13, 2014. Springer Berlin Heidelberg.
M. Ehrhardt, "Nonstandard Finite Difference Schemes for the {Black-Scholes} Equation" in Mathematics of Continuous and Discrete Dynamical Systems, A. Gumel, Eds. AMS (Contemporary Mathematics), 2014, pp. 217--228.
2013
S. Ankirchner and T. Kruse, "Optimal trade execution under price-sensitive risk preferences", Quantitative Finance, vol. 13, no. 9, pp. 1395--1409, 2013. Taylor & Francis.
M. Ehrhardt, "A European Mathematics Network Against the Financial Crisis" in Forschungsmagazin Research bulletin Nr.~9 der Bergischen Universität Wuppertal - Sommersemester, 2013, pp. 18--23.
L. Teng, M. Ehrhardt and M. Günther, "Numerical evaluation of complex logarithms in the Cox--Ingersoll--Ross model", International Journal of Computer Mathematics, vol. 90, no. 5, pp. 1083--1095, 2013. Taylor & Francis.
M. Ehrhardt and R. E. Mickens, "A Nonstandard Finite Difference Scheme for Convection-Diffusion Equations having Constant Coefficients", Appl. Math. Comput., vol. 219, no. 12, pp. 6591--6604, 2013.
D. Heubes, A. Bartel and M. Ehrhardt, "An Introduction to the Lattice Boltzmann Method for Coupled Problems", Progress in Computational Physics Volume 3: Novel Trends in Lattice-Boltzmann Methods, vol. 3, pp. 3, 2013. Bentham Science Publishers.
S. Schöps, A. Bartel and M. Günther, "An Optimal p-Refinement Strategy for Dynamic Iteration of ODEs and DAEs", PAMM, pp. 549-552, 2013.
S. Schöps, A. Bartel and M. Günther, "An Optimal p-Refinement Strategy for Dynamic Iteration of Ordinary and Differential Algebraic Equations", PAMM, vol. 13, no. 1, pp. 549--552, 2013. WILEY-VCH Verlag Berlin.
M. Ehrhardt and R. Valkov, "An unconditionally stable explicit finite difference scheme for nonlinear European option pricing problems", 2013.
L. Teng, M. Ehrhardt and M. Günther, "Bilateral counterparty risk valuation of CDS contracts with simultaneous defaults", International Journal of Theoretical and Applied Finance, vol. 16, no. 07, pp. 1350040, 2013. World Scientific Publishing Company.
C. Hendricks and M. Ehrhardt, "Clean Spread Options in the German Electricity Market", 2013.
G. I. Ram{\'\i}rez-Espinoza and M. Ehrhardt, "Conservative and finite volume methods for the convection-dominated pricing problem", Advances in Applied Mathematics and Mechanics, vol. 5, no. 6, pp. 759--790, 2013. Cambridge University Press.
A. Bartel, M. Brunk, M. G\"unther and S. Sch\"ops, "Dynamic iteration for coupled problems of electric circuits and distributed devices", SIAM Journal on Scientific Computing, vol. 35, no. 2, pp. B315--B335, 2013. Society for Industrial and Applied Mathematics.
J. Kienitz and D. Wetterau,Financial modelling: Theory, implementation and practice with {MATLAB} source. .... John Wiley \& Sons, 2013.
S. Ankirchner, P. Kratz and T. Kruse, "Hedging forward positions: Basis risk versus liquidity costs", SIAM Journal on Financial Mathematics, vol. 4, no. 1, pp. 668--696, 2013. SIAM.
Novel Trends in Lattice-Boltzmann Methods - Reactive Flow, Physicochemical Transport and Fluid-Structure Interaction. .... Bentham Science Publishers Ltd, 2013.
L. Teng, M. Ehrhardt and M. G\"unther, "Numerical evaluation of complex logarithms in the {Cox-Ingersoll-Ross} model", Int. J. Comput. Math., vol. 90 (5), no. 5, pp. 1083--1095, Feb. 2013.
M. Ehrhardt,Progress in Computational Physics Volume 3: Novel Trends in Lattice-Boltzmann Methods, 2013.
A. Bartel, H. De Gersem, T. Huelsmann, U. Roemer, S. Schöps and T. Weiland, "Quantification of uncertainty in the field quality of magnets originating from material measurements", IEEE transactions on magnetics, vol. 49, no. 5, pp. 2367--2370, 2013. IEEE.
R. Pulch, E. J. W. Maten and F. Augustin, "Sensitivity analysis of linear dynamical systems in uncertainty quantification", {PAMM}, vol. 13, no. 1, pp. 507--508, Nov. 2013. Wiley.
2012
S. Schöps, H. De Gersem and A. Bartel, "Higher-order cosimulation of field/circuit coupled problems", IEEE transactions on magnetics, vol. 48, no. 2, pp. 535--538, 2012. IEEE.

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