Publications

J. Kienitz, "Monte Carlo Greeks for advanced financial applications- Jump diffusions and (time-Changed) Lévy processes based models", International Review of Applied Financial Issues and Economics, vol. 2, pp. 167–192, 2010. S.E.I.F at Paris.

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C. P. Fries and J. Kienitz, "Monte-Carlo simulation with boundary conditions (with applications to stress testing, CEV and variance-Gamma simulation)", SSRN Electronic Journal, pp. 1–40, 2010. Elsevier.

DOI: 10.2139/ssrn.1582466

K. Mohaghegh, M. Striebel, E. J. W. Maten and R. Pulch, "Nonlinear model order reduction based on trajectory piecewise linear approach: Comparing different linear cores" in Scientific Computing in Electrical Engineering SCEE 2008, Roos, Janne and Costa, Luis R.J., Eds. Springer Berlin Heidelberg, 2010, pp. 563–570.

DOI: 10.1007/978-3-642-12294-1_69

M. Günther, J. Schuster and M. Siegle, "Symbolic calculation of k-shortest paths and related measures with the stochastic process algebra tool CASPA" in Proceedings of the First Workshop on DYnamic Aspects in DEpendability Models for Fault-Tolerant Systems, Association for Computing Machinery, 2010, pp. 13–18.

DOI: 10.1145/1772630.1772635

M. Günther and A. Jüngel, "Numerische Lösung parabolischer Differentialgleichungen" in Finanzderivate mit MATLAB®: Mathematische Modellierung und numerische Simulation, Vieweg+ Teubner, 2010, pp. 146–194.

DOI: 10.1007/978-3-8348-9786-2_6

R. Pulch, "Polynomial chaos for the computation of failure probabilities in periodic problems" in Scientific Computing in Electrical Engineering SCEE 2008, Roos, Janne and Costa, Luis R.J., Eds. Springer Berlin Heidelberg, 2010, pp. 191–198.

DOI: 10.1007/978-3-642-12294-1_25

W. Römisch, T. Sickenberger and R. Winkler, "Simultaneous step-size and path control for efficient transient noise analysis" in Scientific Computing in Electrical Engineering SCEE 2008, Roos, J. and Costa, L.R., Eds. Springer Berlin Heidelberg, 2010, pp. 167–174.

DOI: 10.1007/978-3-642-12294-1_22

E. Buckwar, A. Rößler and R. Winkler, "Stochastic Runge–Kutta methods for Itô SODEs with small noise", SIAM Journal on Scientific Computing, vol. 32, no. 4, pp. 1789–1808, 2010. Society for Industrial and Applied Mathematics.

DOI: 10.1137/090763275

J. Kienitz, "Tempered Stable Process" in Encyclopedia of Quantitative Finance, John Wiley & Sons, 2010.

DOI: 10.1002/9780470061602.eqf08020

R. Winkler, "Wavelet-based methods for multirate PDAEs", PAMM: Proceedings in Applied Mathematics and Mechanics, vol. 10, no. 1, pp. 435–436, 2010. WILEY-VCH Verlag.

DOI: 10.1002/pamm.201010210

E. J. W. Maten and M. Günther, "Minisymposium multirate time integration for multiscaled systems" in Progress in Industrial Mathematics at ECMI 2008, Fitt, Alistair D. and Norbury, John and Ockendon, Hilary and Wilson, Eddie, Eds. Springer Berlin Heidelberg, 2010, pp. 317–318.

DOI: 10.1007/978-3-642-12110-4_48

Wave Propagation in Periodic Media: Analysis, Numerical Techniques and practical Applications. .... Bentham Science Publishers, 2010.

DOI: 10.2174/97816080515021100101

ISBN: 9781608051502

M. Ehrhardt, "Fixed domain transformations and split-step finite difference schemes for nonlinear Black-Scholes equations for American options" in Nonlinear Models in Mathematical Finance: New Research Trends in Option Pricing, Ehrhardt, Matthias, Eds. Nova Science Publishers, 2010, pp. 243–273.

DOI: 10.14279/depositonce-15674

M. Günther and A. Jüngel, "Die Monte-Carlo-Methode" in Finanzderivate mit MATLAB®: Mathematische Modellierung und numerische Simulation, Vieweg+ Teubner, 2010, pp. 100–145.

DOI: 10.1007/978-3-8348-9786-2_5

S. Schöps, H. De Gersem and A. Bartel, "Fitting lumped machine models on the fly" in XXI Symposium Electromagnetic Phenomena in Nonlinear Circuits - Proceedings EPNC 2010, PTETiS Publisher Poznań, 2010, pp. 137–138.

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S. Schöps, H. De Gersem and A. Bartel, "A cosimulation framework for multirate time integration of field/circuit coupled problems", IEEE Transactions on Magnetics, vol. 46, no. 8, pp. 3233–3236, 2010. IEEE.

DOI: 10.1109/TMAG.2010.2045156

M. Ehrhardt, "Absorbing boundary condition for hyperbolic systems", Numerical Mathematics: Theory, Methods and Applications, vol. 3, no. 3, pp. 295–337, 2010. Global Science Press.

DOI: 10.4208/nmtma.2010.33.3

G. Alì, A. Bartel, M. Culpo and C. Falco, "Analysis of a PDE thermal element model for electrothermal circuit simulation" in Scientific Computing in Electrical Engineering SCEE 2008, Roos, Janne and Costa, Luis R.J., Eds. Springer Berlin Heidelberg, 2010, pp. 273–280.

DOI: 10.1007/978-3-642-12294-1_35

M. Günther and A. Jüngel, "Die Binomialmethode" in Finanzderivate mit MATLAB®: Mathematische Modellierung und numerische Simulation, Vieweg+ Teubner, 2010, pp. 19–47.

DOI: 10.1007/978-3-8348-9786-2_3

M. Günther and A. Jüngel, "Die Black-Scholes-Gleichung" in Finanzderivate mit MATLAB®: Mathematische Modellierung und numerische Simulation, Vieweg+ Teubner, 2010, pp. 48–99.

DOI: 10.1007/978-3-8348-9786-2_4