Publikationen
- 2016
- J. Silva, E. 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 18, 2016, pp. 217--227.
- J. P. Silva, 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}, G. Russo and V. Capasso and G. Nicosia and V. Romano, Eds. Springer International Publishing, 2016, pp. 217--227.
- M. d. C. Calvo-Garrido, M. Ehrhardt and C. Vázquez Cendón, "Pricing swing options in electricity markets with two stochastic factors using a partial differential equation approach", Journal of Computational Finance, Forthcoming, vol. 20, no. 3, pp. 81--107, 2016.
- I. Kossaczk{\`y}, M. Ehrhardt and M. Günther, "Piecewise fixed policy timestepping schemes for Hamilton-Jacobi-Bellman equations", 2016.
- E. J. W. Maten, "Part V: Uncertainty Quantification" in Scientific Computing in Electrical Engineering at SCEE 2014, Wuppertal, A. Bartel and M. Clemens and M. Günther and E. J. W. ter Maten, Eds. Springer International Publishing, 2016, pp. 153-154.