Publications

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

M. Ehrhardt, "Multiscale approach to parabolic equations derivation: Beyond the Linear theory", Procedia Computer Science, vol. 108, pp. 1823–1831, 2017. Elsevier.

DOI: 10.1016/j.procs.2017.05.085

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

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

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

ISBN: 978-3-319-61281-2

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

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

M. Ehrhardt and C. Vázquez, "Pricing swing options in electricity markets with two stochastic factors using a partial differential equation approach", Journal of Computational Finance, vol. 20, no. 3, pp. 81–107, 2017. Incisive Media.

DOI: 10.21314/JCF.2016.317

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

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

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

M. Ehrhardt and D. Ševčovič, "Stochastic and Computational Finance (Preface)", International Journal of Computer Mathematics, vol. 94, no. 11, pp. 2145–2146, 2017. Taylor & Francis.

DOI: 10.1080/00207160.2017.1386373

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

I. Kossaczky, M. Ehrhardt and M. Günther, "The tree-grid method with control-independent stencil", Proceedings of Equadiff 2017 Conference, pp. 79–88, 2017. SPEKTRUM STU Publishing.

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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

K. Gausling and A. Bartel, "Analysis of the contraction condition in the co-simulation of a specific electric circuit" in Progress in Industrial Mathematics at ECMI 2014, Russo, Giovanni and Capasso, Vincenzo and Nicosia, Giuseppe and Romano, Vittorio, Eds. Springer Cham, 2016, pp. 853–860.

DOI: 10.1007/978-3-319-23413-7_119

K. Gausling and A. Bartel, "Coupling interfaces and their impact in field/circuit co-simulation", IEEE Transactions on Magnetics, vol. 52, no. 3, pp. 1–4, 2016. IEEE.

DOI: 10.1109/TMAG.2015.2471181

M. Ehrhardt, "Discrete artificial boundary conditions for the linearized Korteweg-de Vries equation", Numerical Methods for Partial Differential Equations, vol. 32, no. 5, pp. 1455–1484, 2016. John Wiley & Sons.

DOI: 10.1002/num.22058

M. Wandelt and M. Günther, "Efficient numerical simulation of the Wilson Flow in lattice QCD" in Progress in Industrial Mathematics at ECMI 2014, Russo, Giovanni and Capasso, Vincenzo and Nicosia, Giuseppe and Romano, Vittorio, Eds. Springer Cham, 2016, pp. 1065–1071.

DOI: 10.1007/978-3-319-23413-7_148

B. Tasic, J. J. Dohmen, E. J. W. Maten, T. G. J. Beelen, H. H. J. M. Janssen, W. H. A. Schilders and M. Günther, "Fast fault simulation to identify subcircuits involving faulty components" in Progress in Industrial Mathematics at ECMI 2014, Russo, Giovanni and Capasso, Vincenzo and Nicosia, Giuseppe and Romano, Vittorio, Eds. Springer Cham, 2016, pp. 369–376.

DOI: 10.1007/978-3-319-23413-7_49