Publications

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

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

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

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

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

A. Gabbana, M. Mendoza, S. Succi and R. Tripiccione, "Towards a unified lattice kinetic scheme for relativistic hydrodynamics", Physical Review E, vol. 95, pp. 053304, 2017. American Physical Society.

DOI: 10.1103/PhysRevE.95.053304

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

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

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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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

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

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

ISBN: 978-3-319-61281-2

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

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

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

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. 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

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

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

P. Putek, P. PAPLICKI, R. Pulch, E. J. W. Maten, M. Günther, R. Paƚka and D. Lahaye, "Multi-objective topology optimization of a permanent magnet machine to reduce electromagnetic losses and cogging torque", International Journal of Applied Electromagnetics and Mechanics, vol. 53, no. 2_suppl, pp. S203–S212, 2017. IOS Press.

DOI: 10.3233/JAE-140162

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