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Chair of Applied Mathematics / Numerical Analysis
Bergische Universität Wuppertal
Faculty of Mathematics and Natural Sciences
Gaußstraße 20
D-42119 Wuppertal
Germany

Phone: +49 202 439 5296
Fax: (Fax currently unavailable)
E-Mail: sek-amna{at}math.uni-wuppertal.de

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References
152.
Roland Pulch
Polynomial chaos for linear differential algebraic equations with random parameters
Int. J. Uncertainty Quantification, 1(3):223-240
2011
151.
Roland Pulch
Modelling and simulation of autonomous oscillators with random parameters
Math. Comput. Simulat., 81:1128-1143
2011
150.
Anton Mezentsev; Anton Pomelnikov; Matthias Ehrhardt
Efficient Numerical Valuation of Continuous Installment Options
Advances in Applied Mathematics and Mechanics, 3(2):141--164
2011

Abstract: In this work we investigate the novel Kryzhnyi method for the numerical inverse Laplace transformation and apply it to the pricing problem of continuous installment options. We compare the results with the one obtained using other classical methods for the inverse Laplace transformation, like the Euler summation method or the Gaver-Stehfest method.

149.
A. Mezent; Matthias Ehrhardt
Efficient Numerical Valuation of Continuous Installment Options
Advances in Applied Mathematics and Mechanics, 3(2):141-164
2011
148.
P. Klein; X. Antoine; C. Besse; Matthias Ehrhardt
Absorbing Boundary Conditions for Solving N-Dimensional Stationary Schrödinger Equations with Unbounded Potentials and Nonlinearities
Communications in Computational Physics, 10(5):1280-1304
2011
147.
E. Dremkova; Matthias Ehrhardt
A high-order compact method for nonlinear Black-Scholes option pricing equations of American Options
International Journal for Computer Mathematics, 88(13):2782-2797
2011
146.
Markus Clemens; Sebastian Schöps; Herbert De Gersem; Andreas Bartel
Decomposition and Regularization of Nonlinear Anisotropic Curl-Curl DAEs
COMPEL: The International Journal for Computation and Mathematics in Electrical and Electronic Engineering, 30(6):1701 - 1714
2011
145.
Sebastian Schöps
Multiscale Modeling and Multirate Time-Integration of Field/Circuit Coupled Problems
of Elektrotechnik
Publisher: VDI Verlag, Düsseldorf
2011
ISBN: 978-3-18-339821-8

Abstract: This treatise is intended for mathematicians and computational engineers that work on modeling, coupling and simulation of electromagnetic problems. This includes lumped electric networks, magnetoquasistatic field and semiconductor devices. Their coupling yields a multiscale system of partial differential algebraic equations containing device models of any dimension interconnected by the electric network. It is solved in time domain by multirate techniques that efficiently exploit the structure. The central idea is the usage of lumped surrogate models that describe latent model parts sufficiently accurate (e.g. the field model by an inductance) even if other model parts (e.g. the circuit) exhibit highly dynamic behavior. We propose dynamic iteration and a bypassing technique using surrogate Schur complements. A mathematical convergence analysis is given and numerical examples are discussed. They show a clear reduction in the computational costs compared to single rate approaches.

144.
M. Beitz; Matthias Ehrhardt
A New Method for Stress Testing on Investment Products.
In Wong, Michael C S, editor,
page 223-238.
Publisher: World Scientific Publishing,
2011
143.
P. Klein; X. Antoine; C. Besse; Matthias Ehrhardt
Absorbing boundary conditions for solving stationary Schr
Proceedings of the 16th European Conference in Mathematics for Industry, July 26-30,2010, Wuppertal
Publisher: Springer, Heidelberg
2011
142.
Dmitry Shcherbakov; Matthias Ehrhardt
Multistep Methods for Lattice QCD SSimulation
Proceedings of LATTICE 2011 - XXIX International Symposium on Lattice Field Theory, July 10-16,2011, Squaw Valley , page 327-333.
2011
141.
M. Beitz; Matthias Ehrhardt
A New Method for Stress Testing on Investment Products
In Michael C S Wong, editor, The Risk of Investment Products: From Product Innovation to Risk Compliance , page 223-238.
Publisher: World Scientific Publishing,
2011
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