Publikationen
- 2022
- A. Bartel and M. Ehrhardt, "Lagrangian instabilities in thermal convection with stable temperature profiles", Preprint IMACM, 2022. Bergische Universität Wuppertal.
- A. Bartel and M. Ehrhardt, "Large-scale convective flow sustained by thermally active Lagrangian tracers", Journal of Fluid Mechanics, vol. 953, pp. A5, 2022. Cambridge University Press.
- A. Bartel and M. Günther, "Multirate schemes—an answer of numerical analysis to a demand from applications" in Novel Mathematics Inspired by Industrial Challenges, Günther, Michael and Schilders, Wil, Eds. Springer Cham, 2022, pp. 5–27.
- N. Nowaczyk, J. Kienitz, S. K. Acar and Q. Liang, "How deep is your model? Network topology selection from a model validation perspective", Journal of Mathematics in Industry, vol. 12, no. 1, pp. 1, 2022. Springer Verlag.
- M. Felpel, J. Kienitz and T. McWalter, "Effective Markovian projection: Application to CMS spread options and mid-curve swaptions", Quantitative Finance, vol. 22, no. 6, pp. 1169–1192, 2022. Routledge.
- J. Kienitz, "Stochastic volatility – a story of two decades of SABR and Wilmott magazine", Wilmott, vol. 2022, no. 121, pp. 24–26, 2022. Wilmott Magazine.
- T. A. McWalter, J. Kienitz, N. Nowaczyk, R. Rudd and S. K. Acar, "Dynamic initial margin estimation based on quantiles of Johnson distributions", Journal of Credit Risk, vol. 18, pp. 93–116, 2022. Incisive Media.
- J. Kienitz, "Semi-analytical conditional expectations", Risk Cutting Edge, vol. 7, 2022. Incisive Media.
- J. Kienitz, G. Lee, N. Nowaczyk and N. Geng, "Dynamically controlled kernel estimation", Risk Cutting Edge, vol. 1, 2022. Incisive Media.
- R. Rudd, T. McWalter, J. Kienitz and E. Platen, "Robust product Markovian quantization", The Journal of Computational Finance, vol. 25, no. 4, pp. 55–78, 2022. Incisive Media.
- J. Kienitz, T. A. McWalter, R. Rudd and E. Platen, "Quantization methods for stochastic differential equations" in Novel Mathematics Inspired by Industrial Challenges, Günther, Michael and Schilders, Wil, Eds. Springer Cham, 2022, pp. 299–329.
- L. Kapllani and L. Teng, "Multistep schemes for solving backward stochastic differential equations on GPU", Journal of Mathematics in Industry, vol. 12, no. 1, pp. 1–22, 2022. Springer Verlag.
- L. Teng, "Gradient boosting-based numerical methods for high-dimensional backward stochastic differential equations", Applied Mathematics and Computation, vol. 426, pp. 127119, 2022. Elsevier.
- A. Clevenhaus, M. Ehrhardt and M. Günther, "The parareal algorithm and the sparse grid combination technique in the application of the Heston model" in Progress in Industrial Mathematics at ECMI 2021, Springer Cham, 2022, pp. 477–483.
- M. Muniz, M. Ehrhardt and M. Günther, "Correlation matrices driven by stochastic isospectral flows" in Progress in Industrial Mathematics at ECMI 2021, Springer Cham, 2022, pp. 455–461.
- J. Jäschke, M. Ehrhardt, M. Günther and B. Jacob, "Discrete port-Hamiltonian coupled heat transfer" in Progress in Industrial Mathematics at ECMI 2021, Ehrhardt, Matthias and Günther, Michael, Eds. Springer Cham, 2022, pp. 439–445.
- T. Kossaczká, M. Ehrhardt and M. Günther, "A deep smoothness WENO method with applications in option pricing" in Progress in Industrial Mathematics at ECMI 2021, Ehrhardt, Matthias and Günther, Michael, Eds. Springer Cham, 2022, pp. 417–423.
- M. Ehrhardt, "Transparent boundary conditions for the sine-Gordon equation: Modeling the reflectionless propagation of kink solitons on a line", Physics Letters, Section A, vol. 423, pp. 127822, 2022. Elsevier.
- J. Jäschke, M. Ehrhardt, M. Günther and B. Jacob, "A port-Hamiltonian formulation of coupled heat transfer", Mathematical and Computer Modelling of Dynamical Systems, vol. 28, no. 1, pp. 78–94, 2022. Taylor & Francis.
- M. Ehrhardt, "On decomposition of the fundamental solution of the Helmholtz equation over solutions of iterative parabolic equations", Asymptotic Analysis, vol. 126, no. 3-4, pp. 215–228, 2022. IOS Press.
