Publications
- 2021
- P. Csomós, M. Ehrhardt and B. Farkas, "Operator splitting for abstract Cauchy problems with dynamical boundary condition", Operators and Matrices, vol. 15, no. 3, pp. 903–935, 2021. Element d.o.o.
- M. Ehrhardt, "Pricing basket default swaps using quasi-analytic techniques", Decisions in Economics and Finance, vol. 44, pp. 241–267, 2021. Springer Verlag Italia.
- M. Bannenberg and A. Ciccazzo, "Reduced order multirate schemes for coupled differential-algebraic systems", Applied Numerical Mathematics, vol. 168, pp. 104–114, 2021. North-Holland.
- M. Ehrhardt, "Reflectionless propagation of Manakov solitons on a line: A model based on the concept of transparent boundary conditions", Physical Review E, vol. 103, no. 4, pp. 043305, 2021. American Physical Society.
- Rosenbrock-Wanner-Type Methods: Theory and Applications. Springer Cham, 2021.
ISBN: 978-3-030-76809-6
- M. Günther, A. Sandu and A. Zanna, "Symplectic GARK methods for Hamiltonian systems", Preprint, 2021.
- M. Günther, A. Sandu, K. Schäfers and A. Zanna, "Symplectic GARK methods for partitioned Hamiltonian systems", Preprint, 2021.
- L. Teng, "The Heston model with time-dependent correlation driven by isospectral flows", Mathematics, vol. 9, no. 9, 2021. MDPI.
- 2020
- L. Teng, A. Lapitckii and M. Günther, "A multi-step scheme based on cubic spline for solving backward stochastic differential equations", Applied Numerical Mathematics, vol. 150, pp. 117–138, 2020. Elsevier.
- L. Teng, X. Wu, M. Günther and M. Ehrhardt, "A new methodology to create valid time-dependent correlation matrices via isospectral flows", ESAIM: Mathematical Modelling and Numerical Analysis, vol. 54, no. 2, pp. 361–371, 2020. EDP Sciences.
- J. Kühn, A. Bartel and P. Putek, "A thermal extension of Tellinen’s scalar hysteresis model" in Scientific Computing in Electrical Engineering: SCEE 2018, Taormina, Italy, September 2018, Nicosia, Giuseppe and Romano, Vittorio, Eds. Springer Cham, 2020, pp. 55–63.
- M. Günther, R. Höllwieser and F. Knechtli, "Constrained hybrid Monte Carlo algorithms for Gauge-Higgs models", Computer Physics Communications, vol. 254, pp. 107192, 2020. Elsevier.
- M. Ehrhardt, "Dirac particles in transparent quantum graphs: Tunable transport of relativistic quasiparticles in branched structures", Physical Review E, vol. 101, no. 6, pp. 062208, 2020. American Physical Society.
- M. Ehrhardt, "Elliptical and Archimedean copula models: An application to the price estimation of portfolio credit derivatives", Journal of Credit Risk, vol. 17, no. 1, pp. 1–29, 2020. Incisive Media.
- A. Bartel and M. Günther, "Inter/extrapolation-based multirate schemes: A dynamic-iteration perspective" in Progress in Differential-Algebraic Equations II, Reis, Timo and Grundel, Sara and Schöps, Sebastian, Eds. Springer Cham, 2020, pp. 73–90.
- A. Clevenhaus, M. Ehrhardt, M. Günther and D. Ševčovič, "Pricing American options with a non-constant penalty parameter", Journal of Risk and Financial Management, vol. 13, no. 6, pp. 124, 2020. MDPI.
- P. Putek, A. Bartel and M. Günther, "Shape optimization of a PM synchronous machine under probabilistic constraints" in Scientific Computing in Electrical Engineering: SCEE 2018, Taormina, Italy, September 2018, Nicosia, Giuseppe and Romano, Vittorio, Eds. Springer Cham, 2020, pp. 243–253.
- C. Günther, M. Günther and D. Günther, "Tracing contacts to control the COVID-19 pandemic", Preprint, 2020.
- M. Ehrhardt, "Valuation of basket credit default swaps under stochastic default intensity models", Advances in Applied Mathematics and Mechanics, vol. 12, no. 5, pp. 1301–1326, 2020. Global Science Press.
- M. Ehrhardt, "Wide-angle mode parabolic equations for the modelling of horizontal refraction in underwater acoustics and their numerical solution on unbounded domains", Journal of Sound and Vibration, vol. 484, pp. 115526, 2020. Academic Press.
