| Publication | Date of Publication | Type |
|---|
| Efficient parallel Monte-Carlo techniques for pricing American options including counterparty credit risk | 2024-10-28 | Paper |
| Editorial | 2024-10-28 | Paper |
| PDEs for pricing interest rate derivatives under the new generalized forward market model (FMM) | 2024-08-09 | Paper |
| A drift-free simulation method for pricing commodity derivatives | 2024-07-18 | Paper |
| Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework | 2024-01-23 | Paper |
| Modelling and Computing the Total Value Adjustment for European Derivatives in a Multi-Currency Setting | 2023-09-15 | Paper |
| A Multi-Level Monte-Carlo with FEM for XVA in European Options | 2023-09-15 | Paper |
| XVA in a multi-currency setting with stochastic foreign exchange rates | 2023-06-26 | Paper |
| Model and numerical methods for pricing renewable energy certificate derivatives | 2023-02-16 | Paper |
| Pricing renewable energy certificates with a Crank-Nicolson Lagrange-Galerkin numerical method | 2022-12-09 | Paper |
| The stochastic \(\theta\)-SEIHRD model: adding randomness to the COVID-19 spread | 2022-09-06 | Paper |
| A Monte Carlo approach to American options pricing including counterparty risk | 2022-02-16 | Paper |
| Total value adjustment for European options in a multi-currency setting | 2021-11-16 | Paper |
| Numerical solution of a nonlinear PDE model for pricing renewable energy certificates (RECs) | 2021-11-11 | Paper |
| PDE models for the pricing of a defaultable coupon-bearing bond under an extended JDCEV model | 2021-08-16 | Paper |
| A new calibration of the Heston stochastic local volatility model and its parallel implementation on GPUs | 2021-03-06 | Paper |
| Parallel two-phase methods for global optimization on GPU | 2021-03-02 | Paper |
| Adaptive numerical methods for an hydrodynamic problem arising in magnetic reading devices | 2021-02-18 | Paper |
| Static and dynamic SABR stochastic volatility models: calibration and option pricing using GPUs | 2021-02-15 | Paper |
| AMFR-W Numerical Methods for Solving High-Dimensional SABR/LIBOR PDE Models | 2021-01-29 | Paper |
| PDE models for American options with counterparty risk and two stochastic factors: mathematical analysis and numerical solution | 2020-10-07 | Paper |
| A two-dimensional multi-species model for different \textit{Listeria monocytogenes} biofilm structures and its numerical simulation | 2020-06-17 | Paper |
| A new mathematical model for pricing a mine extraction project | 2020-01-22 | Paper |
| Numerical methods for a nonlinear reaction-diffusion system modelling a batch culture of biofilm | 2020-01-15 | Paper |
| Basin hopping with synched multi L-BFGS local searches. Parallel implementation in multi-CPU and GPUs | 2019-11-29 | Paper |
| Total value adjustment for European options with two stochastic factors. Mathematical model, analysis and numerical simulation | 2019-11-08 | Paper |
| Numerical methods for PDE models related to pricing and expected lifetime of an extraction project under uncertainty | 2019-08-28 | Paper |
| Mathematical analysis of a nonlinear PDE model for European options with counterparty risk | 2019-05-28 | Paper |
| PDE models and numerical methods for total value adjustment in European and American options with counterparty risk | 2019-03-29 | Paper |
| Numerical analysis of a method for a partial integro-differential equation model in regulatory gene networks | 2019-03-27 | Paper |
| PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique | 2019-03-25 | Paper |
| Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance | 2019-03-22 | Paper |
| Sparse Grid Combination Technique for Hagan SABR/LIBOR Market Model | 2019-02-28 | Paper |
| A new more consistent Reynolds model for piezoviscous hydrodynamic lubrication problems in line contact devices | 2018-10-10 | Paper |
| Multicurve LIBOR market models and drift-free simulation | 2018-07-18 | Paper |
| Pricing of mortgages with prepayment and default options: numerical methods for the case with adjustable (floating) rate | 2018-03-28 | Paper |
| Mathematical analysis of obstacle problems for pricing fixed-rate mortgages with prepayment and default options | 2017-11-17 | Paper |
| Stochastic modeling and numerical simulation of gene regulatory networks with protein bursting | 2017-09-12 | Paper |
| Pricing pension plans under jump-diffusion models for the salary | 2017-08-30 | Paper |
| CVA Computing by PDE Models | 2017-07-07 | Paper |
| Computing American option price under regime switching with rationality parameter | 2017-04-06 | Paper |
| A numerical strategy for telecommunications networks capacity planning under demand and price uncertainty | 2017-02-09 | Paper |
| Stratified regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs | 2016-11-18 | Paper |
| Modeling and Optimization Techniques with Applications in Food Processes, Bio-processes and Bio-systems | 2016-10-13 | Paper |
| A direct LU solver for pricing American bond options under Hull-White model | 2016-09-12 | Paper |
| A new numerical method for pricing fixed-rate mortgages with prepayment and default options | 2016-07-19 | Paper |
| SABR/LIBOR market models: pricing and calibration for some interest rate derivatives | 2016-04-28 | Paper |
| Finite difference methods for pricing American put option with rationality parameter: numerical analysis and computing | 2016-04-22 | Paper |
| Enthalpy balance methods \textit{versus} temperature models in ice sheets | 2016-01-26 | Paper |
| A new parameterization for the drift-free simulation in the Libor market model | 2015-04-21 | Paper |
| Numerical methods to solve PDE models for pricing business companies in different regimes and implementation in GPUs | 2015-01-28 | Paper |
| A nonlinear bilaplacian equation with hinged boundary conditions and very weak solutions: analysis and numerical solution | 2014-09-09 | Paper |
| Homogenization of the layer-structured dam problem with isotropic permeability | 2014-07-24 | Paper |
| Mathematical analysis and numerical methods for a PDE model of a stock loan pricing problem | 2014-01-28 | Paper |
| Mathematical analysis and numerical methods for pricing pension plans allowing early retirement | 2014-01-27 | Paper |
| Drift-free simulation methods for pricing cross-market derivatives with LIBOR market model | 2013-09-24 | Paper |
| A survey on mathematical aspects of lubrication problems | 2012-07-16 | Paper |
| Numerical solution of a PDE model for a ratchet-cap pricing with BGM interest rate dynamics | 2012-06-11 | Paper |
| Numerical solution of an optimal investment problem with proportional transaction costs | 2012-05-11 | Paper |
| MATHEMATICAL ANALYSIS AND NUMERICAL METHODS FOR A PARTIAL DIFFERENTIAL EQUATIONS MODEL GOVERNING A RATCHET CAP PRICING IN THE LIBOR MARKET MODEL | 2011-08-17 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3076664 | 2011-02-23 | Paper |
| A numerical method for pricing spread options on LIBOR rates with a PDE model | 2011-02-13 | Paper |
| A characteristics-finite differences method for the Hobson-Rogers uncertain volatility model | 2010-12-14 | Paper |
| Temperature-dependent shear flow and the absence of thermal runaway in valley glaciers | 2010-10-02 | Paper |
| Numerical solution of a free boundary problem associated to investments with instantaneous irreversible environmental effects | 2010-02-09 | Paper |
| Numerical solution of a 1-d elastohydrodynamic problem in magnetic storage devices | 2008-09-01 | Paper |
| Numerical Analysis of Convection‐Diffusion‐Reaction Problems with Higher Order Characteristics/Finite Elements. Part I: Time Discretization | 2007-10-22 | Paper |
| Numerical Analysis of Convection‐Diffusion‐Reaction Problems with Higher Order Characteristics/Finite Elements. Part II: Fully Discretized Scheme and Quadrature Formulas | 2007-10-22 | Paper |
| About a generalized Buckley-Leverett equation and lubrication multifluid flow | 2007-10-22 | Paper |
| A coupled multivalued model for ice streams and its numerical simulation | 2007-07-02 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5291977 | 2007-06-19 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3436962 | 2007-05-11 | Paper |
| Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange--Galerkin methods | 2006-10-05 | Paper |
| Sensitivity and approximation of coupled fluid-structure equations by virtual control method | 2006-06-12 | Paper |
| HOMOGENIZATION OF A NONLOCAL ELASTOHYDRODYNAMIC LUBRICATION PROBLEM: A NEW FREE BOUNDARY MODEL | 2006-02-07 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5708963 | 2005-11-21 | Paper |
| Anisotropic effects by homogenization in a free boundary problem. | 2005-04-28 | Paper |
| A duality method for the compressible Reynolds equation. application to simulation of read/write processes in magnetic storage devices | 2005-02-23 | Paper |
| Numerical techniques for pricing callable bonds with notice | 2005-02-22 | Paper |
| On the existence of solution for a nonhomogeneous Stokes-rod coupled problem | 2004-11-22 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4810896 | 2004-08-17 | Paper |
| TWO-SCALE HOMOGENIZATION STUDY OF A REYNOLDS-ROD ELASTOHYDRODYNAMIC MODEL | 2004-08-06 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4445101 | 2004-01-28 | Paper |
| Mathematical analysis and numerical simulation of a Reynolds-Koiter model for the elastohydrodynamic journal-bearing device | 2003-08-25 | Paper |
| Finite element solution of a Reynolds-Koiter coupled problem for the elastic journal-bearing | 2003-07-06 | Paper |
| Mathematical analysis of a Stefan problem with Dirichlet-Signorini boundary conditions appearing in polythermic ice sheet modeling | 2002-07-02 | Paper |
| Existence of solution of an elastohydrodynamic Reynolds-Koiter model | 2002-05-20 | Paper |
| Numerical simulation of a lubricated Hertzian contact problem under imposed load. | 2002-03-03 | Paper |
| Efficient parallel numerical solver for the elastohydrodynamic Reynolds--Hertz problem | 2002-03-03 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4945825 | 2001-12-10 | Paper |
| Mathematical analysis of some new Reynolds-rod elastohydrodynamic models. | 2001-01-01 | Paper |
| Characteristics method for the formulation and computation of a free boundary cavitation problem | 1999-09-12 | Paper |
| An elastohydrodynamic coupled problem between a piezoviscous Reynolds equation and a hinged plate model | 1998-01-29 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4341565 | 1997-06-16 | Paper |
| A mixed dirichlet-neumann problem for a nonlinear reynolds equation in elastohydrodynamic piezoviscous lubrication | 1997-03-09 | Paper |
| Numerical computation of free boundary problems in elastohydrodynamic lubrication | 1996-12-02 | Paper |
| Existence of solutions for elastohydrodynamic piezoviscous lubrication problems with a new model of cavitation | 1996-11-07 | Paper |
| Mathematical analysis of an elastohy-drodynamic lubrication problem with cavitation | 1996-04-24 | Paper |
| Existence of a solution for a lubrication problem in elastic journal‐bearing devices with thin bearing | 1995-09-21 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4321157 | 1995-01-19 | Paper |
| An upwind method for solving transport-diffusion-reaction systems | 1989-01-01 | Paper |
