Publications

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

T. A. McWalter, R. Rudd, J. Kienitz and E. Platen, "Recursive marginal quantization of higher-order schemes", Quantitative Finance, vol. 18, no. 4, pp. 693–706, 2018. Routledge.

DOI: 10.1080/14697688.2017.1402125

P. Putek, R. Janssen, J. Niehof, E. J. W. Maten, R. Pulch, M. Günther and B. Tasic, "Robust optimization of an RFIC isolation problem under uncertainties" in Scientific Computing in Electrical Engineering, Langer, Ulrich and Amrhein, Wolfgang and Zulehner, Walter, Eds. Springer Cham, 2018, pp. 177–186.

DOI: 10.1007/978-3-319-75538-0_17

E. Calore and A. Gabbana, "Software and DVFS tuning for performance and energy-efficiency on Intel KNL processors", Journal of Low Power Electronics and Applications, vol. 8, no. 2, 2018. MDPI.

DOI: 10.3390/jlpea8020018

P. A. Putek, E. J. W. Maten, M. Günther and J. K. Sykulski, "Variance-based robust optimization of a permanent magnet synchronous machine", IEEE Transactions on Magnetics, vol. 54, no. 3, pp. 1–4, 2018. IEEE.

DOI: 10.1109/TMAG.2017.2750485

M. Ehrhardt, "A new two-way artificial boundary condition for wave propagation" in 23rd AIAA/CEAS Aeroacoustics Conference, 2017, pp. 3509.

DOI: 10.2514/6.2017-3509

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

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, "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

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

E. Calore and A. Gabbana, "Evaluation of DVFS techniques on modern HPC processors and accelerators for energy-aware applications", Concurrency and Computation: Practice and Experience, vol. 29, no. 12, pp. e4143, 2017.

DOI: 10.1002/cpe.4143

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, 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

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-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

R. Pulch, P. Putek, H. De Gersem and R. Gillon, "Identification of probabilistic input data for a Glue-Die-Package problem" in Progress in Industrial Mathematics at ECMI 2016, Quintela, Peregrina and Barral, Patricia and Gómez, Dolores and Pena, Francisco J. and Rodríguez, Jerónimo and Salgado, Pilar and Vázquez-Méndez, Miguel E., Eds. Springer Cham, 2017, pp. 255–262.

DOI: 10.1007/978-3-319-63082-3_40

J. Kienitz and P. Caspers,Interest Rate Derivatives Explained: Volume 2: Term Structure and Volatility Modelling. Palgrave Macmillan UK, 2017.

DOI: 10.1057/978-1-137-36019-9

ISBN: 9781137360199

A. Gabbana, M. Mendoza, S. Succi and R. Tripiccione, "Kinetic approach to relativistic dissipation", Physical Review E, vol. 96, pp. 023305, 2017. American Physical Society.

DOI: 10.1103/PhysRevE.96.023305

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

E. J. W. Maten and M. Ehrhardt, "Minisymposium: Computational methods for finance and energy markets" in Progress in Industrial Mathematics at ECMI 2016, Springer Cham, 2017, pp. 141–143.

DOI: 10.1007/978-3-319-63082-3_20