Publications Ehrhardt

C. Hendricks, M. Ehrhardt and M. Günther, "Integrated forecasting of day-ahead prices in the German electricity market" in Progress in Industrial Mathematics at ECMI 2014, Springer Cham, 2016, pp. 333–339.

DOI: 10.1007/978-3-319-23413-7_44

L. Teng, M. Ehrhardt and M. Günther, "Modelling stochastic correlation", Journal of Mathematics in Industry, vol. 6, no. 1, pp. 1–18, 2016. Springer Verlag.

DOI: 10.1186/s13362-016-0018-4

L. Teng, M. Ehrhardt and M. Günther, "Modelling stochastic correlation with modified Ornstein-Uhlenbeck process" in Progress in Industrial Mathematics at ECMI 2014, Springer Cham, 2016, pp. 113–120.

DOI: 10.1007/978-3-319-23413-7_14

I. Kossaczkỳ, M. Ehrhardt and M. Günther, "Modifications of the PCPT method for HJB equations" in 8th International Conference for Promoting the Application of Mathematics in Technical and Natural Sciences - AMiTaNS’16, American Institute of Physics, 2016, pp. 030002.

DOI: 10.1063/1.4964962

M. Ehrhardt and L. Jódar Sánchez, "Novel methods in computational finance", International Journal of Computer Mathematics, vol. 93, no. 5, pp. 723–724, 2016. Taylor & Francis.

DOI: 10.1080/00207160.2015.1071692

L. Teng, M. Ehrhardt and M. Günther, "On the Heston model with stochastic correlation", International Journal of Theoretical and Applied Finance, vol. 19, no. 06, pp. 1650033, 2016. World Scientific Publishing.

DOI: 10.1142/S0219024916500333

I. Kossaczky, M. Ehrhardt and M. Günther, "On the non-existence of higher order monotone approximation schemes for HJB equations", Applied Mathematics Letters, vol. 52, pp. 53–57, 2016. Pergamon.

DOI: 10.1016/j.aml.2015.08.005

I. Kossaczky, M. Ehrhardt and M. Günther, "Piecewise fixed policy timestepping schemes for Hamilton-Jacobi-Bellman equations", Preprint IMACM, 2016. Bergische Universität Wuppertal.

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E. J. W. Maten, M. Günther and M. Ehrhardt, "Proper orthogonal decomposition in option pricing: Basket options and Heston model" in Progress in Industrial Mathematics at ECMI 2014, Springer Cham, 2016, pp. 217–227.

DOI: 10.1007/978-3-319-23413-7_29

L. Teng, M. Ehrhardt and M. Günther, "The dynamic correlation model and its application to the Heston model" in Innovations in Derivatives Markets: Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation, Glau, Kathrin and Grbac, Zorana and Scherer, Matthias and Zags, Rudi, Eds. Springer Cham, 2016, pp. 437–449.

DOI: 10.1007/978-3-319-33446-2_21

M. Ehrhardt, "Transparent boundary conditions for iterative high-order parabolic equations", Journal of Computational Physics, vol. 313, pp. 144–158, 2016. Academic Press.

DOI: 10.1016/j.jcp.2016.02.037

D. V. Makarov and M. Ehrhardt, "Wide-angle parabolic approximations for the nonlinear Helmholtz equation in the Kerr media", Europhysics Letters, vol. 116, no. 2, pp. 24004, 2016. IOP Publishing.

DOI: 10.1209/0295-5075/116/24004

M. Ehrhardt, "A transparent boundary condition for an elastic bottom in underwater acoustics" in Finite Difference Methods, Theory and Applications: 6th International Conference, FDM 2014, Lozenetz, Bulgaria, June 18-23, 2014, Revised Selected Papers, Springer Cham, 2015, pp. 15–24.

DOI: 10.1007/978-3-319-20239-6_2

L. Teng, M. Ehrhardt and M. Günther, "A versatile approach for stochastic correlation using hyperbolic functions", International Journal of Computer Mathematics, vol. 93, no. 3, pp. 524–539, 2015. Taylor & Francis.

DOI: 10.1080/00207160.2014.1002779

M. Ehrhardt and M. Günther, "Alternating direction explicit methods for convection diffusion equations", Acta Mathematica Universitatis Comenianae, vol. 84, no. 2, pp. 309–325, 2015. Univerzita Komenskeho.

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A. Bartel and M. Ehrhardt, "Concept for a one-dimensional discrete artificial boundary condition for the lattice Boltzmann method", Computers & Mathematics with Applications, vol. 70, no. 10, pp. 2316–2330, 2015. Pergamon.

DOI: 10.1016/j.camwa.2015.08.030

A. Bartel and M. Ehrhardt, "Discrete artificial boundary conditions for the lattice Boltzmann method in 2D", ESAIM: Proceedings and Surveys, vol. 52, pp. 47–65, 2015. EDP Sciences.

DOI: 10.1051/proc/201552003

D. Shcherbakov, M. Ehrhardt, M. Günther and M. Peardon, "Force-gradient nested multirate methods for Hamiltonian systems", Computer Physics Communications, vol. 187, pp. 91–97, 2015. North-Holland.

DOI: 10.1016/j.cpc.2014.10.014

C. Hendricks, M. Ehrhardt and M. Günther, "High order combination technique for the efficient pricing of basket options", Acta Mathematica Universitatis Comenianae, vol. 84, no. 2, pp. 243–253, 2015. Univerzita Komenskeho.

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C. Hendricks, M. Ehrhardt and M. Günther, "High-order-compact ADI schemes for diffusion equations with mixed derivatives in the combination technique", Preprint IMACM, 2015. Bergische Universität Wuppertal.

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Mathematical Modelling and Numerical Simulation of Oil Pollution Problems. Springer Cham, 2015.

DOI: 10.1007/978-3-319-16459-5

ISBN: 978-3-319-16458-8

M. Ehrhardt, "On Mayfield’s stability proof for the discretized transparent boundary condition for the parabolic equation", Applied Mathematics Letters, vol. 44, pp. 45–49, 2015. Pergamon.

DOI: 10.1016/j.aml.2014.12.019

L. Teng, M. Ehrhardt and M. Günther, "Option pricing with dynamically correlated stochastic interest rate", Acta Mathematica Universitatis Comenianae, vol. 84, no. 2, pp. 179–190, 2015. Univerzita Komenskeho.

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L. Teng, M. Ehrhardt and M. Günther, "The pricing of Quanto options under dynamic correlation", Journal of Computational and Applied Mathematics, vol. 275, pp. 304–310, 2015. Elsevier.

DOI: 10.1016/j.cam.2014.07.017

M. Ehrhardt, "Transparent boundary conditions for a hierarchy of high-order parabolic approximations", Preprint IMACM, 2015. Bergische Universität Wuppertal.

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Publications Prof. Dr. Matthias Ehrhardt