Publikationen

2019: I. Kossaczky, M. Ehrhardt and M. Guenther, "The two-dimensional tree-grid method", JOURNAL OF COMPUTATIONAL FINANCE, vol. 23, no. 2, pp. 29--57, 2019. INCISIVE MEDIA HAYMARKET HOUSE, 28-29 HAYMARKET, LONDON, SW1Y 4RX, ENGLAND.
DOI: 10.21314/JCF.2019.373; M. C. Calvo-Garrido, M. Ehrhardt and C. Vázquez, "Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations", Applied Numerical Mathematics, vol. 139, pp. 77--92, 2019. North-Holland.
DOI: 10.1016/j.apnum.2019.01.001
2018: S. Ankirchner, M. Klein, T. Kruse and M. Urusov, "On a certain local martingale in a general diffusion setting", 2018.; C. Hendricks, M. Ehrhardt and M. Günther, "Hybrid Finite--Difference/Pseudospectral Methods for the Heston and Heston--Hull--White Partial Differential Equations", Journal of Computational Finance, vol. 21, no. 5, 2018.; I. Kossaczk{\`y}, M. Ehrhardt and M. Günther, "A new convergent explicit Tree-Grid method for HJB equations in one space dimension", Preprint, vol. 17, no. 06, 2018.