Publications Ehrhardt

J. Backhaus, M. Bolten, O. Tanil Doganay, M. Ehrhardt, B. Engel, C. Frey, H. Gottschalk, M. Günther, C. Hahn, J. Jäschke and others, "GivEn - Shape optimization for gas turbines in volatile energy networks", Mathematical Modeling, Simulation and Optimization for Power Engineering and Management, pp. 71–106, 2021. Springer Cham.

DOI: 10.1007/978-3-030-62732-4_4

A. Araújo and M. Ehrhardt, "Mathematical models of the spread and consequences of the SARS-CoV-2 pandemics: Effects on health, society, industry, economics and technology", Journal of Mathematics in Industry, vol. 11, pp. 1–2, 2021. Springer Verlag.

DOI: 10.1186/s13362-021-00111-w

P. Csomós, M. Ehrhardt and B. Farkas, "Operator splitting for abstract Cauchy problems with dynamical boundary condition", Operators and Matrices, vol. 15, no. 3, pp. 903–935, 2021. Element d.o.o.

DOI: 10.7153/oam-2021-15-60

M. Ehrhardt, "Pricing basket default swaps using quasi-analytic techniques", Decisions in Economics and Finance, vol. 44, pp. 241–267, 2021. Springer Verlag Italia.

DOI: 10.1007/s10203-020-00310-x

M. Ehrhardt, "Reflectionless propagation of Manakov solitons on a line: A model based on the concept of transparent boundary conditions", Physical Review E, vol. 103, no. 4, pp. 043305, 2021. American Physical Society.

DOI: 10.1103/PhysRevE.103.043305

Rosenbrock-Wanner-Type Methods: Theory and Applications. Springer Cham, 2021.

DOI: 10.1007/978-3-030-76810-2

ISBN: 978-3-030-76809-6

L. Teng, X. Wu, M. Günther and M. Ehrhardt, "A new methodology to create valid time-dependent correlation matrices via isospectral flows", ESAIM: Mathematical Modelling and Numerical Analysis, vol. 54, no. 2, pp. 361–371, 2020. EDP Sciences.

DOI: 10.1051/m2an/2019064

M. Ehrhardt, "Dirac particles in transparent quantum graphs: Tunable transport of relativistic quasiparticles in branched structures", Physical Review E, vol. 101, no. 6, pp. 062208, 2020. American Physical Society.

DOI: 10.1103/PhysRevE.101.062208

M. Ehrhardt, "Elliptical and Archimedean copula models: An application to the price estimation of portfolio credit derivatives", Journal of Credit Risk, vol. 17, no. 1, pp. 1–29, 2020. Incisive Media.

DOI: 10.21314/JCR.2020.263

A. Clevenhaus, M. Ehrhardt, M. Günther and D. Ševčovič, "Pricing American options with a non-constant penalty parameter", Journal of Risk and Financial Management, vol. 13, no. 6, pp. 124, 2020. MDPI.

DOI: 10.3390/jrfm13060124

M. Ehrhardt, "Valuation of basket credit default swaps under stochastic default intensity models", Advances in Applied Mathematics and Mechanics, vol. 12, no. 5, pp. 1301–1326, 2020. Global Science Press.

DOI: 10.4208/aamm.OA-2019-0141

M. Ehrhardt, "Wide-angle mode parabolic equations for the modelling of horizontal refraction in underwater acoustics and their numerical solution on unbounded domains", Journal of Sound and Vibration, vol. 484, pp. 115526, 2020. Academic Press.

DOI: 10.1016/j.jsv.2020.115526

S. Treibert, H. Brunner and M. Ehrhardt, "Compartment models for vaccine effectiveness and non-specific effects for Tuberculosis", Mathematical Biosciences and Engineering, vol. 16, no. 6, pp. 7250–7298, 2019. AIMS Press.

DOI: 10.3934/mbe.2019364

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

M. Ehrhardt and C. Vázquez, "Pricing swing options in electricity markets with two stochastic factors: PIDE modeling and numerical solution" in 3rd International Conference on Computational Finance (ICCF2019), Universidade da Coruña, 2019, pp. 89–90.

Download

M. Ehrhardt, J. Gašper and S. Kilianová, "SIR-based mathematical modeling of infectious diseases with vaccination and waning immunity", Journal of Computational Science, vol. 37, pp. 101027, 2019. Elsevier.

DOI: 10.1016/j.jocs.2019.101027

I. Kossaczky, M. Ehrhardt and M. Günther, "The two-dimensional tree-grid method", Journal of Computational Finance, vol. 23, no. 2, pp. 29–57, 2019. Incisive Media.

DOI: 10.21314/JCF.2019.373

M. Ehrhardt, "Transparent nonlinear networks", Physical Review E, vol. 100, no. 3, pp. 032204, 2019. American Physical Society.

DOI: 10.1103/PhysRevE.100.032204

M. Ehrhardt, "Transparent quantum graphs", Physics Letters A, vol. 383, no. 20, pp. 2382–2388, 2019. North-Holland.

DOI: 10.1016/j.physleta.2019.04.059

M. Ehrhardt, "Wide-angle mode parabolic equation with transparent boundary conditions and its applications in shallow water acoustics" in 2019 Days on Diffraction (DD), IEEE, 2019, pp. 221–225.

DOI: 10.1109/DD46733.2019.9016598

I. Kossaczky, M. Ehrhardt and M. Günther, "A new convergent explicit tree-grid method for HJB equations in one space dimension", Numerical Mathematics: Theory, Methods and Applications, vol. 11, no. 1, pp. 1–29, 2018. Global Science Press.

DOI: 10.4208/nmtma.OA-2017-0066

A. Bartel and M. Ehrhardt, "A numerical tool for the study of the hydrodynamic recovery of the lattice Boltzmann Method", Computers & Fluids, vol. 172, pp. 241–250, 2018. Pergamon.

DOI: 10.1016/j.compfluid.2018.05.031

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, pp. 1–33, 2018. Incisive Media.

DOI: 10.21314/JCF.2018.342

M. Ehrhardt, "Numerical solution of iterative parabolic equations approximating the nonlinear Helmholtz equation" in 2018 Days on Diffraction (DD), IEEE, 2018, pp. 241–244.

DOI: 10.1109/DD.2018.8553359

L. Teng, M. Ehrhardt and M. Günther, "Quanto pricing in stochastic correlation models", International Journal of Theoretical and Applied Finance, vol. 21, no. 05, pp. 1850038, 2018. World Scientific Publishing.

DOI: 10.1142/S0219024918500383

Publications Prof. Dr. Matthias Ehrhardt