Publications

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

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

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

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

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

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

R. Pulch, A. Bartel and S. Schöps, "Quadrature methods with adjusted grids for stochastic models of coupled problems" in Progress in Industrial Mathematics at ECMI 2014, Russo, Giovanni and Capasso, Vincenzo and Nicosia, Giuseppe and Romano, Vittorio, Eds. Springer Cham, 2016, pp. 377–384.

DOI: 10.1007/978-3-319-23413-7_50