Bergische Universität Wuppertal Fachbereich Mathematik und Naturwissenschaften Angewandte Mathematik - Numerische Analysis (AMNA)

People Research Publications Teaching

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Summary

In recent years the computational complexity of mathematical models employed in financial mathematics has witnessed a tremendous growth. Advanced numerical techniques are imperative for the most present-day applications in financial industry, especially as a consequence of the recent financial crisis.

The motivation for this bilateral exchange project is the need to promote networks of highly educated scientists in the field of financial mathematics and scientific computing, so as to exchange and discuss current insights and ideas, and to lay groundwork for future collaborations. Hereby, the main training objective is to prepare young researchers from Germany and Spain with a broad scope of high level scientific knowledge in computational finance and practical programming skills in modern computer languages like CUDA for GPU computing.

One of our principal goals is also aimed at providing training in advanced techniques in scientific computing with application to complex financial models. This training will cover the use of the hardware and software tools related to the very recent many-core GPUs (Graphical Processing Units) based cluster technologies. These new tools reveal extremely efficient for Monte Carlo simulations, finite differences and calibration methods, so that the financial industry highly demands professionals and training courses on these topics to drastically reduce the time of the computer intensive calculus related to price and hedge large portfolios.

Scientific Objectives

German team:

• Matthias Ehrhardt (Leader)
• Michael Günther
• Christian Hendricks
• Alexej Nesmejanow
• Long Teng

Spanish team:

• Carmen Calvo-Garrido
• Ana Ferreiro Ferreiro
• José Antonio García Rodríguez
• José Germán López-Salas
• Carlos Vázquez Cendón(Leader)

German institutions:

• Department of Mathematics and Informatics, Faculty of Mathematics and Natural Sciences, University of Wuppertal.

Spanish institutions:

• Department of Mathematics at the Computer Science Faculty in Universidad de A Coruña

Events related to the Project

• Minisymposium Computational Finance (16 Speakers) and Mathematical Modelling in Energy Markets (8 Speakers) in the framework of ECMI 2014 Conference, European Consortium for Mathematics in Industry, June 9-13, 2014 at Taormina, Italy.
• Mini-Symposium Computational Finance in the framework of 14th International Conference Computational and Mathematical Methods in Science and Engineering, Cadiz, Spain, July 3-7, 2014.
• Minisymposium Computational Methods for Finance and Energy Markets in the framework of ECMI 2016 Conference, European Consortium for Mathematics in Industry, June 13-17, 2016, Santiago de Compostela, Spain.
• Minisymposium Recent trends in the analysis and computations of nonlinear partial differential equations and systems, in the framework of CMMSE2017 - XVII International Conference Computational & Mathematical Methods in Science and Engineering, July 4-8, 2017, Rota, Spain,

Publications related to the Project

[CGEV17]	M.C. Calvo-Garrido, M. Ehrhardt and C. Vázquez,
	Pricing swing options in electricity markets with two stochastic factors using a partial differential equation approach, Journal of Computational Finance 20(3), March 2017, 1-27, DOI: 10.21314/JCF.2016.317
[CGEV19]	M.C. Calvo-Garrido, M. Ehrhardt and C. Vázquez,
	Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations, Appl. Numer. Math. Vol. 139 (May 2019), 77-92. DOI:10.1016/j.apnum.2019.01.001
[HeEh14]	C. Hendricks, M. Ehrhardt,
	Evaluating the Effects of Changing Market Parameters and Policy Implications in the German Electricity Market, The Journal of Energy Markets, 2014.
[HeEhGu14]	C. Hendricks, M. Ehrhardt, M. Günther
	High Order Combination Technique for the efficient Pricing of Basket Options, to appear: Acta Math. Univ. Comenianae, 84(2) September 2015, 243-253.
[TEG14]	L. Teng, M. Ehrhardt and M. Günther,
	The Pricing of Quanto Options under Dynamic Correlation, in: (J. Vigo-Aguiar, ed.) Proceedings of the 14th International Conference on Computational and Mathematical Methods in Science and Engineering, CMMSE 2014, July 3-7, 2014, Cadiz, Spain, Volume 1, pp. 1228-1238.

Talks related to the Project

• July 4-8, 2014, Long Teng, Minisymposium (organized by Carlos Vázquez Cendón), Cadiz, Spain.
• September 16, 2014 Matthias Ehrhardt, Modelling Stochastic Correlation, Seminar, University of A Coruña, Spain online conference with U Santiago and U Vigo.
• November 4, 2014 José Germán López-Salas, Calibration of SABR/LIBOR market models, Seminar, University of Wuppertal.
• December 9, 2014 Christian Hendricks, Combination Technique for high dimensional PDEs, Seminar, University of A Coruña, Spain online conference with U Santiago and U Vigo.

Related Projects

• Marie Curie Multi ITN STRIKE: Novel Methods in Computational Finance (01/2013-12/2016)