Publications
- 2013
- R. Pulch, "Polynomial chaos for semiexplicit differential algebraic equations of index 1", International Journal for Uncertainty Quantification, vol. 3, no. 1, pp. 1–23, 2013. Begell House.
- L. Teng, M. Ehrhardt and M. Günther, "Numerical evaluation of complex logarithms in the Cox-Ingersoll-Ross model", International Journal of Computer Mathematics, vol. 90, no. 5, pp. 1083–1095, 2013. Taylor & Francis.
- Novel Trends in Lattice-Boltzmann Methods: Reactive Flow, Physicochemical Transport and Fluid-Structure Interaction. .... Bentham Science Publishers, 2013.
ISBN: 978-1-60805-717-7
- C. Hendricks and M. Ehrhardt, "Clean spread options in the German electricity market", Preprint IMACM, 2013. Bergische Universität Wuppertal.
- A. Bartel, M. Brunk, M. Günther and S. Schöps, "Dynamic iteration for coupled problems of electric circuits and distributed devices", SIAM Journal on Scientific Computing, vol. 35, no. 2, pp. B315–B335, 2013. Society for Industrial and Applied Mathematics.
- L. Teng, M. Ehrhardt and M. Günther, "Bilateral counterparty risk valuation of CDS contracts with simultaneous defaults", International Journal of Theoretical and Applied Finance, vol. 16, no. 07, pp. 1350040, 2013. World Scientific Publishing.
- M. Ehrhardt, "An unconditionally stable explicit finite difference scheme for nonlinear European option pricing problems", Preprint IMACM, 2013. Bergische Universität Wuppertal.
- S. Schöps, A. Bartel and M. Günther, "An optimal p-Refinement strategy for dynamic iteration of ordinary and differential algebraic equations", PAMM: Proceedings in Applied Mathematics and Mechanics, vol. 13, no. 1, pp. 549–552, 2013. WILEY-VCH Verlag.
- A. Bartel and M. Ehrhardt, "An Introduction to the lattice Boltzmann method for coupled problems" in Novel Trends in Lattice-Boltzmann Methods, Bentham Science Publishers, 2013, pp. 3–30.
- M. Ehrhardt, "A nonstandard finite difference scheme for convection-diffusion equations having constant coefficients", Applied Mathematics and Computation, vol. 219, no. 12, pp. 6591–6604, 2013. Elsevier.
- A. Sandu and M. Günther, "A class of generalized additive Runge-Kutta methods", Preprint, 2013.
- G. I. Ramírez-Espinoza and M. Ehrhardt, "Conservative and finite volume methods for the convection-dominated pricing problem", Advances in Applied Mathematics and Mechanics, vol. 5, no. 6, pp. 759–790, 2013. Cambridge University Press.
- 2012
- J. Kienitz and H. Küpker, "Risikomanagement – Monte-Carlo-Methoden für Nicht-Gaußsche Verteilungen" in Kontrahentenrisiko : Bewertung, Steuerung, Unterlegung nach Basel III und IFRS, Martin, Marcus R. W. and Wehn, Carsten S. and Ludwig, Sven, Eds. Schaeffer-Poeschel Verlag, 2012, pp. 189–210.
- R. Pulch, "Modelling and simulation of forced oscillators with random periods" in Scientific Computing in Electrical Engineering SCEE 2010, Michielsen, Bastiaan and Poirier, Jean-René, Eds. Springer Berlin Heidelberg, 2012, pp. 275–283.
- Q. A. Dang and M. Ehrhardt, "On Dirac delta sequences and their generating functions", Applied Mathematics Letters, vol. 25, no. 12, pp. 2385–2390, 2012. Pergamon.
- M. Ehrhardt, "Optimized far field boundary conditions for hyperbolic systems", Preprint IMACM, 2012. Bergische Universität Wuppertal.
- R. Pulch, "Polynomial chaos for boundary value problems of dynamical systems", Applied Numerical Mathematics, vol. 62, no. 10, pp. 1477–1490, 2012. Elsevier.
- Progress in Industrial Mathematics at ECMI 2010. .... Springer Berlin Heidelberg, 2012.
ISBN: 978-3-642-25099-6
- H. Kammeyer and J. Kienitz, "The Heston-Hull-White Model Part III: Design and Implementation", Wilmott, vol. 2012, no. 59, pp. 44–49, 2012. John Wiley & Sons.
- R. M. Boroujeni, E. J. W. T. Maten, T. G. J. Beelen, W. H. A. Schilders and A. Abdipour, "Robust periodic steady state analysis of autonomous oscillators based on generalized eigenvalues" in Scientific Computing in Electrical Engineering SCEE 2010, Michielsen, Bastiaan and Poirier, Jean-René, Eds. Springer Berlin Heidelberg, 2012, pp. 293–302.
