Financial Data Analysis; Mathematical Finance; Stochastic Processes; Numerical Analysis
Dr. Linus Wunderlich (Postdoctoral Researcher)
Christian Pötz (PhD student)
Domagoj Demeterfi (PhD student)
Financial data and low-rank tensor techniques: Boosting data-driven machine learning algorithms, creation of synthetic datasets, storing and processing large financial datasets, approximation of high-dimensional nonlinear data, modelling.
Function approximation methods: Fourier transform, Partial (integral) differential equations, reduced basis, interpolation, sparse grids, low-rank tensor approximation, deep neural networks, Monte Carlo, kernel learning,...
Modelling with stochastic processes: modelling with semimartingales, particularly Lévy processes
Applications in Finance: pricing, hedging, calibration, credit exposure calculation,
- (2022), Stability and convergence of Galerkin schemes for parabolic equations with application to Kolmogorov pricing equations in time-inhomogeneous Lévy models Journal of Computational Finance $nameOfConference(2020), Low-rank tensor approximation for Chebyshev interpolation in parametric option pricing SIAM Journal on Financial Mathematics $nameOfConference(2020), Speed-up credit exposure calculations for pricing and risk management Quantitative Finance $nameOfConference(2019), The chebyshev method for the implied volatility Journal of Computational Finance $nameOfConference(2019), COMPLEXITY REDUCTION FOR CALIBRATION TO AMERICAN OPTIONS The Journal of Computational Finance $nameOfConference(2019), A new approach for American option pricing: The dynamic Chebyshev method SIAM Journal on Scientific Computing $nameOfConference(2018), A Flexible Galerkin Scheme for Option Pricing in Lévy Models SIAM Journal on Financial Mathematics $nameOfConference(2018), Chebyshev Interpolation for Parametric Option Pricing Finance and Stochastics $nameOfConference(2018), Calibration to American Options: Numerical Investigation of the de–Americanization Method Quantitative Finance $nameOfConference(2017), Parametric Integration by Magic Point Empirical Interpolation IMA Journal of Numerical Analysis $nameOfConference(2017), Magic Points in Finance: Empirical Integration for Parametric Option Pricing SIAM Journal on Financial Mathematics $nameOfConference(2016), A Feynman–Kac-type formula for Lévy processes with discontinuous killing rates Finance and Stochastics $nameOfConference(2016), Classification of Lévy Processes with Parabolic Kolmogorov Backward Equations Theory of Probability and Its Applications $nameOfConference