Publications Günther

C. Heuer, P. Pólvora, M. Ehrhardt, M. Günther and E. J. W. Maten, "The STRIKE computational finance toolbox", Novel Methods in Computational Finance, pp. 561–601, 2017. Springer Cham.

DOI: 10.1007/978-3-319-61282-9_30

B. Düring, C. Hendricks and J. Miles, "Sparse Grid High-Order ADI Scheme for Option Pricing in Stochastic Volatility Models" in Novel Methods in Computational Finance, Ehrhardt, Matthias and Günther, Michael and ter Maten, E. Jan W., Eds. Springer Cham, 2017, pp. 295–312.

DOI: 10.1007/978-3-319-61282-9_16

E. J. W. Maten, M. Günther and M. Ehrhardt, "Reduced models in option pricing" in Progress in Industrial Mathematics at ECMI 2016, Quintela, Peregrina and Barral, Patricia and Gómez, Dolores and Pena, Francisco J. and Rodríguez, Jerónimo and Pilar, Salgado and Vázquez-Méndez, Miguel E., Eds. Springer Cham, 2017, pp. 161–168.

DOI: 10.1007/978-3-319-63082-3_23

J. Kienitz, T. McWalter and R. Sheppard, "PDE methods for SABR" in Novel Methods in Computational Finance, Ehrhardt, Matthias and Günther, Michael and ter Maten, E. Jan W., Eds. Springer Cham, 2017, pp. 265–291.

DOI: 10.1007/978-3-319-61282-9_15

L. Teng, M. Ehrhardt and M. Günther, "Numerical simulation of the Heston model under stochastic correlation", International Journal of Financial Studies, vol. 6, no. 1, pp. 3, 2017. MDPI.

DOI: 10.3390/ijfs6010003

Novel Methods in Computational Finance (Book). Springer Cham, 2017.

DOI: 10.1007/978-3-319-61282-9

ISBN: 978-3-319-61281-2

J. Kienitz, "Negative rates: New market practice" in Novel Methods in Computational Finance, Ehrhardt, Matthias and Günther, Michael and ter Maten, E. Jan W., Eds. Springer Cham, 2017, pp. 47–63.

DOI: 10.1007/978-3-319-61282-9_4

E. J. W. Maten, M. Günther and M. Ehrhardt, "Proper orthogonal decomposition in option pricing" in Novel Methods in Computational Finance, Ehrhardt, Matthias and Günther, Michael and ter Maten, E. Jan W., Eds. Springer Cham, 2017, pp. 441–452.

DOI: 10.1007/978-3-319-61282-9_24

L. Teng, M. Ehrhardt and M. Günther, "Modelling and calibration of stochastic correlation in finance" in Novel Methods in Computational Finance, Ehrhardt, Matthias and Günther, Michael and ter Maten, E. Jan W., Eds. Springer Cham, 2017, pp. 83–105.

DOI: 10.1007/978-3-319-61282-9_6

D. Shcherbakov, M. Ehrhardt, J. Finkenrath, M. Günther, F. Knechtli and M. Peardon, "Adapted nested force-gradient integrators: The Schwinger model case", Communications in Computational Physics, vol. 21, no. 4, pp. 1141–1153, 2017. Cambridge University Press.

DOI: 10.4208/cicp.OA-2016-0048

C. Hendricks, C. Heuer, M. Ehrhardt and M. Günther, "High-order-compact ADI schemes for pricing basket options in the combination technique" in Novel Methods in Computational Finance, Ehrhardt, Matthias and Günther, Michael and ter Maten, E. Jan W., Eds. Springer Cham, 2017, pp. 399–405.

DOI: 10.1007/978-3-319-61282-9_21

C. Hendricks, M. Ehrhardt and M. Günther, "High-order methods for parabolic equations in multiple space dimensions for option pricing problems", 2017.

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C. Hendricks, C. Heuer, M. Ehrhardt and M. Günther, "High-order ADI finite difference schemes for parabolic equations in the combination technique with application in finance", Journal of Computational and Applied Mathematics, vol. 316, pp. 175–194, 2017. North-Holland.

DOI: 10.1016/j.cam.2016.08.044

F. Knechtli, M. Günther and M. Peardon, "Handling fermions on the lattice" in Lattice Quantum Chromodynamics: Practical Essentials, Springer Netherlands, 2017, pp. 55–96.

DOI: 10.1007/978-94-024-0999-4_3

C. Hendricks, M. Ehrhardt and M. Günther, "Error splitting preservation for high order finite difference schemes in the combination technique", Numerical Mathematics: Theory, Methods and Applications, vol. 10, no. 3, pp. 689–710, 2017. Cambridge University Press.

DOI: 10.4208/nmtma.2017.m1511

F. Knechtli, M. Günther and M. Peardon, "Calculating observables of quantum fields" in Lattice Quantum Chromodynamics: Practical Essentials, Springer Dordrecht, 2017, pp. 97–133.

DOI: 10.1007/978-94-024-0999-4_4

M. Ehrhardt, M. Günther and P. Pólvora, "Alternating direction explicit methods for linear, nonlinear and multi-dimensional Black-Scholes models" in Novel Methods in Computational Finance, Ehrhardt, Matthias and Günther, Michael and ter Maten, E. Jan W., Eds. Springer Cham, 2017, pp. 333–371.

DOI: 10.1007/978-3-319-61282-9_19

F. Knechtli, M. Günther and M. Peardon,Lattice Quantum Chromodynamics: Practical Essentials. Springer Netherlands, 2017.

DOI: 10.1007/978-94-024-0999-4

ISBN: 978-94-024-0997-0

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

F. Knechtli, M. Günther and M. Peardon, "Quantum Field Theory (QFT) on the Lattice" in Lattice Quantum Chromodynamics: Practical Essentials, Springer Netherlands, 2016, pp. 1–34.

DOI: 10.1007/978-94-024-0999-4_1

P. Putek, K. Gausling, A. Bartel, K. M. Gawrylczyk, R. Pulch and M. Günther, "Robust topology optimization of a permanent magnet synchronous machine using multi-level set and stochastic collocation methods" in Scientific Computing in Electrical Engineering: SCEE 2014, Wuppertal, Germany, July 2014, Bartel, Andreas and Clemens, Markus and Günther, Michael and ter Maten, E. Jan W., Eds. Springer Cham, 2016, pp. 233–242.

DOI: 10.1007/978-3-319-30399-4_23

Scientific Computing in Electrical Engineering: SCEE 2014, Wuppertal, Germany, July 2014. Springer Cham, 2016.

DOI: 10.1007/978-3-319-30399-4

ISBN: 978-3-319-30398-7

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

Publications Prof. Dr. Michael Günther