Publications

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Contents

Acknowledgment

Please acknowledge the FP7-support of STRIKE, e.g. in papers / posters / presentations, by a specific Acknowledgment Statement.

In presentations / posters it is obligatory to add a EU-Logo (cf. Annex II.12.1). Also include the STRIKE-Logo (to be found on same page).

STRIKE is a Marie Curie International Training Network (ITN, 01/2013 - 12/2016)

Acknowledgement:

This ITN Research Project STRIKE is supported by the
European Union in the FP7-PEOPLE-2012-ITN Program under
Grant Agreement Number 304617 (FP7 Marie Curie Action, Project Multi-ITN STRIKE - Novel Methods in Computational Finance)
.
Short reference for contract: PITN-GA-2012-304617 STRIKE.




Follow Up Events




Announcement

A course for the STRIKE Fellows on Lie Group Analysis in Computational Finance led to a book:

Prof. Ljudmila A. Bordag
(University of Applied Sciences Zittau / Görlitz, Saxony, Germany)
Geometrical Properties of Differential Equations. Applications of Lie group analysis in Financial Mathematics.
310 pages, World Scientific Publishing, 2015, ISBN: 978-981-4667-24-1 (hard cover).



Public Reports

Deliverable D6.5 is the Public Report on the ITN-STRIKE Project Results: Public Report (pdf, 170207).

An overview of all Publications and Presentations was compiled within Deliverable D6.3.2 on Publication and Exploitation: Publications and Presentations (pdf, 160731).

An Online general overview is given in



Each STRIKE Fellow did publish with his/her supervisor(s) an "A4 report/flyer" in the Online ECMI Newsletter 56, 2014, pp. 71-91:



Public Video

Ivan P. Yamshchikov (ESR7) was involved in preparing the International Yandex conference on Machine-Learning: Prospects and Applications, October 5-8, 2015, Berlin, Germany. The program lists several videos.
Special video: Ivan Yamshchikov interviews plenary speakers.


PhD Theses ERs: Experienced Researchers

The ERs did defend their theses before joining STRIKE:

  • ER1 (BU Wuppertal, Germany, Oct. 2014 - Oct. 2015) C. Heuer: High-order compact finite difference schemes for parabolic partial differential equations with mixed derivative terms and applications in computational finance. PhD-Thesis, Univ. of Sussex, Brighton, UK, 2014. Online.
  • ER2 (CU Bratislava, Slovakia, since Oct. 2015) S. Kafková: Probabilistic models in motor insurance (Pravděpodobnostní modely v pojištění automobilů). PhD-Thesis, Masaryk University, Brno, Czech Republic, 2015. Online.
  • ER3 (UP Valencia, Spain, since Jan. 2016) F. Soleymani: On the numerical solution of stochastic ordinary differential equations with discrete and continuous approaches. PhD-Thesis, Ferdowsi University of Mashhad, Iran, 2015.
  • ER4 (TU Delft, Oct. 2013 - Aug. 2014) M. Pou Bueno: Drift-Free Simulation and Libor Market Models. PhD-Thesis 2013, U A Coruña, Spain. Online.
  • ER5 (U Greenwich, London, UK, since Feb. 2016) A.M. da Silva Ribeiro: Essays on Option Pricing, Hedging and Calibration. PhD-Thesis, Univ. of Copenhagen, Denmark, 2015. ResearchGate.



PhD Theses ESRs: Early Stage Researchers

This is a growing list of glory. It started in April 2016.

  • ESR1 (BU Wuppertal, Germany, Sept. 2013 - Aug. 2016) Zuzana Bučková: Analytical and Numerical Approximative Methods for solving Multifactor Models for pricing of Financial Derivatives. PhD-Thesis, both (cotutelle) Comenius University, Bratislava, Slovakia and Bergische Universität Wuppertal, Germany, March 24, 2017.
  • ESR4 (UP Valencia, Spain, Sept. 2013 - July 2016) Vera N. Egorova: Finite difference methods for American option pricing problems: numerical analysis and computing. PhD-Thesis, Universitat Politècnica de Valencia, Spain, July 18, 2016.
  • ESR5 (U Ruse/Rousse, Bulgaria, Dec. 16, 2013 - Dec. 15, 2016) Walter Mudzimbabwe: Numerical Analysis of Nonlinear Systems of Parabolic Equations Modelling Markets with Liquidity Shocks. PhD-Thesis, Ruse University Angel Kanchev, Ruse, Bulgaria, Nov. 24, 2016.
  • ESR7 (UA Zittau/Gorlitz, Germany, Feb. 2013 - Jan. 2016) Ivan P. Yamshchikov: Optimization problem of portfolios with an illiquid asset. PhD-Thesis, Brandenburgische Technische Universität Cottbus-Senftenberg, Germany, April 25, 2016.
  • ESR8 (TU Wien, Austria, June 2013 - May 2016) Lara Trussardi: Kinetic and diffusive equations for socio-economical scenarios]. PhD-Thesis, Technische Universität Wien, Austria, June 13, 2016.
  • ESR9 (TU Delft, the Netherlands, Sept 2013 - June 2017) Álvaro Leitao Rodríguez: Hybrid Monte Carlo Methods in Computational Finance (Abstract & Download). PhD-Thesis, Technische Universiteit Delft, the Netherlands, June 27, 2017.
  • ESR11 (U Würzburg, Germany, April 2013-March 2016) Beatrice Gaviraghi: Theoretical and numerical analysis of Fokker-Planck optimal control problems for jump-diffusion processes. PhD-Thesis, Julius-Maximilians-Universität Würzburg, Germany, March 7, 2017.
  • ESR12 (U Antwerp, Belgium, Nov. 2013 - Oct. 2016) Radoslav Valkov: Numerical analysis of nonlinear PDEs in option pricing: finite difference and splitting methods. PhD-Thesis, University of Antwerp / Universiteit Antwerpen, Belgium, Dec. 7, 2016.



Papers

Below, we list the publications made or planned by STRIKE Fellows and/or staff of the STRIKE Beneficiary Partners (mainly) in the period starting January 1, 2013. The order is alphabetically on the surname of the authors. ESRs and ERs are identified in the authors lists.



Press Releases



Presentations

We list presentations in which STRIKE Fellows were involved and presentations given at STRIKE Events.


STRIKE Summer School "Numerical Methods for Stochastic Differential Equations" at Vienna University of Technology, Sept. 3, 2013

STRIKE Fellows:

  • Zuzana Bučková (ESR1), Convergence model of interest rate, Poster Presentation at Summer School "Numerical Methods for Stochastic Differential Equations" at Vienna University of Technology, September 3, 2013.
  • Christof Heuer (U Sussex, becoming ER1): High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids, Poster Presentation at Summer School "Numerical Methods for Stochastic Differential Equations" at Vienna University of Technology, Sept 3, 2013.

Staff Presentations:

  • L. Teng (BU Wuppertal): A general approach for stochastic correlations using hyperbolic functions, Poster Presentation at Summer School "Numerical Methods for Stochastic Differential Equations" at Vienna University of Technology, Sept. 3, 2013.
  • M. Zitnanska (CU Bratislava): Option pricing, Poster Presentation at Summer School "Numerical Methods for Stochastic Differential Equations" at Vienna University of Technology, Sept. 3, 2013.



STRIKE Fellows Progress Presentations, Jornadas Conference, UP Valencia, Spain, Sept. 6, 2013

ESR 2 José Pedro Campos Moreira da Silva (BU Wuppertal, Germany)
MOR Techniques for Energy Derivatives. STRIKE Progress Report Session I, Jornadas Conference, UP Valencia, September 6, 2013.
ESR 4 Vera Egorova (UP Valencia, Spain)
Numerical Analysis of FDMs for nonlinear Black-Scholes models. STRIKE Progress Report Session I, Jornadas Conference, UP Valencia, September 6, 2013.
ESR 6 Nicola Cantarutti (ISEG Lisbon, Portugal)
Analysis of Lévy Market Models and PIDE. STRIKE Progress Report Session I, Jornadas Conference, UP Valencia, September 6, 2013.
ESR 7 Ivan Yamshchikov (UA Zittau/Görlitz, Germany)
Lie Group Analysis of Nonlinear Black-Scholes Equations. STRIKE Progress Report Session I, Jornadas Conference, UP Valencia, September 6, 2013.
ESR 8 Lara Trussardi (TU Vienna, Austria)
Herding and Contagion Effects in Financial Markets and possible Counteractions proposed by Optimal Control Techniques. STRIKE Progress Report Session I, Jornadas Conference, UP Valencia, September 6, 2013.
(Becoming) ESR 12 Radoslav Valkov (U Antwerp, Belgium)
ADI-Schemes for nonlinear multi-dimensional Black-Scholes Equations. STRIKE Progress Report Session II, Jornadas Conference, UP Valencia, September 6, 2013.


For the other ESRs, Progress Reports or Introductions to the research topics have been held by supervisors (see also below).

Staff presentations at Jornadas Conference, UP Valencia, Spain

  • L. Bordag (UA Zittau/Görlitz): Optimal allocation-consumption problem for a portfolio with an illiquid asset. Session Novel Methods in Computational Finance II, Jornadas Conference, UP Valencia, September 5, 2013.
  • M. Ehrhardt (BU Wuppertal): A general approach for stochastic correlations using hyperbolic functions. Session Novel Methods in Computational Finance II, Jornadas Conference, UP Valencia, September 5, 2013.
  • M. Ehrhardt (BU Wuppertal): Compact FDMs on Special Meshes (Research topic ESR1). STRIKE Progress Report Session I, Jornadas Conference, UP Valencia, September 6, 2013.
  • M. Ehrhardt (BU Wuppertal): Optimal Control Tools in Computational Finance (Research topic ESR11, at U Würzburg, Germany). STRIKE Progress Report Session I, Jornadas Conference, UP Valencia, September 6, 2013.
  • M. Fakharany, R. Company, L. Jódar Sánchez (UP Valencia): Numerical valuation of infinite activity Lévy option pricing models. Session Novel Methods in Computational Finance II, Jornadas Conference, Mathematical Modelling in Engineering & Human Behaviour 2013 Conference, Instituto de Matemática Multidisciplinar-UPV, Valencia, Spain, September 5, 2013.
  • M. do Rosàrio Grossinho (TU Lisbon, ISEG): Approximation of a Black-Scholes type equation in unbounded domains. Session Novel Methods in Computational Finance II, Jornadas Conference, UP Valencia, September 5, 2013.
  • S. Kilianova (CU Bratislava, Slovakia): Dynamic Worst Case Portfolio Optimization via a Hamilton-Jacobi-Bellman Equation. Session Novel Methods in Computational Finance III, Jornadas Conference, UP Valencia, September 5, 2013.
  • S. Kilianova (CU Bratislava, Slovakia): Modelling of Nonlinear Black-Scholes Equations (Research topic ESR3). STRIKE Progress Report Session I, Jornadas Conference, UP Valencia, September 6, 2013.
  • C.-H. Lai (U Greenwich): Newton-like Methods for the Commodity Market (Research topic ESR10). STRIKE Progress Report Session I, Jornadas Conference, UP Valencia, September 6, 2013.
  • C. Vázquez (Univ. A Coruña): New numerical methods for pricing fixed-rate mortgages with prepayment and default options. Session Novel Methods in Computational Finance II, Jornadas Conference, UP Valencia, September 5, 2013.
  • L. Vulkov (U Ruse, Bulgaria): Splitting numerical schemes for non-linear models of mathematical finance. Session Novel Methods in Computational Finance III, Jornadas Conference, UP Valencia, September 5, 2013.
  • L. Vulkov (U Ruse, Bulgaria): Fitted Operator Methods in Computational Finance (Research topic ESR5). STRIKE Progress Report Session I, Jornadas Conference, UP Valencia, September 6, 2013.



STRIKE Presentations at ECMI 2014 Minisymposia MS4.1-4 on Computational Finance, Taormina, Sicily, Italy, June 09-13, 2015

ECMI-2014, the 18th European Conference on Mathematics for Industry, took place in Taormina, Sicily, Italy, during June 09-13, 2014.

Jörg Kienitz (Postbank, Bonn, Germany)
Quantitative Analytics - xVAs and hybrids pricing (Invited Talk). 140613.
Alfio Borzi (U Würzburg, Germany)
A Fokker-Planck Strategy to Control Stochastic Processes. 140611.
Rubén Figueroa, Maria Grossinho, E. Morais (ISEG Lisbon, Portugal)
A class of nonlinear boundary value problems for a Black-Scholes type equation. 140611.
A.M. Ferreiro, J.A. García, José Germán López Salas, C.Vázquez (A Coruña, Spain)
Efficient calibration and pricing in LIBOR Market Models with SABR stochastic volatility using GPUs. 140611.
Long Teng, Matthias Ehrhardt, Michael Günther (BU Wuppertal, Germany)
Modelling Stochastic Correlation. 140612.
Mohamed El-Fakharany, R. Company, L. Jódar (UP Valencia, Spain)
Numerical solution of partial-integro differential option pricing models with cross derivative term. 140613.
ESR 1 Zuzana Bučková, Matthias Ehrhardt, Michael Günther (BU Wuppertal, Germany)
Fichera theory and its application in Finance. 140612.
ESR 3 Daniel Sevčovič, Manuel Guerra, Pedro Polvora (CU Bratislava, Slovakia)
Derivative pricing under transaction costs using a stochastic utility maximization model. 140612.
ESR 4 Vera Egorova (UP Valencia, Spain), R. Company, L. Jódar
A Positive, stable and consistent front-fixing numerical scheme for American Options. 140612.
ESR 5 Walter Mudzimbabwe (U Ruse, Bulgaria)
An efficient Monte Carlo algorithm for pricing arithmetic Asian options under a jump diffusion process.
ESR 6 Nicola Cantarutti (ISEG Lisbon, Portugal)
Option pricing in exponential Levy models with transaction costs. 140613.
ESR 7 Ivan Yamshchikov, Ljudmila Bordag, Dmtry Zhelezov (UA Zittau/Görlitz, Germany)
Portfolio optimization in the case of an asset with a given liquidation time distribution. 140613.
ESR 8 Ansgar Jüngel, Christian Kuehn, Lara Trussardi (TU Vienna, Austria)
Analysis of a cross-diffusion herding model in social economics. 140613.
ESR 11 Beatrice Gaviraghi, Alfio Borzì (U Würzburg)
An operator splitting method for solving a class of Fokker-Planck equations, 140611.
(Becoming) ER 1 Christof Heuer (U Sussex, UK; becoming ER1 at BU Wuppertal, Germany)
High-order compact finite difference schemes for parabolic differential equations with mixed derivative terms in n space dimensions and application to basket options. 140612.
ER 4 C.W. Oosterlee, Marta Pou Bueno (TU Delft, The Netherlands)
Extension of a Fourier-cosine method to solve BSDEs with higher dimensions. 140612.


STRIKE Presentations at ECMI 2014 Young Researcher's MS15.1-2 High Performance Computational Finance, Taormina, Sicily, Italy, June 13, 2014

ECMI-2014, the 18th European Conference on Mathematics for Industry, took place in Taormina, Sicily, Italy, during June 09-13, 2014.

This was a joint minisymposium of the 2 Marie Curie Initial Training Networks STRIKE Novel Methods in Computational Finance and HPCFinance Training in Modern Quantitative Methods and High-Performance Computing for Finance, organized by ESR 2 and ESR 9.

ESR 2 José Pedro Campos Moreira da Silva, J. ter Maten, M. Günther, M. Ehrhardt (BU Wuppertal, Germany)
Model Order Reduction Techniques for Basket Option Pricing. 140613.
ESR 9 Álvaro Leitao Rodríguez, C.W. Oosterlee (TU Delft, The Netherlands)
Modelling and Numerical Techniques for Credit Valuation Adjustment. 140613.



STRIKE Fellows Presentations at STRIKE Summer School on Financial Mathematics at MMEI-2014 Conference Mathematical Methods in Economy and Industry, Smolenice/Bratislava, Slovakia, Sept. 9-12, 2014

  • ESR1 Zuzana Bučková (BU Wuppertal, Germany) M. Ehrhardt, M. Günther, Numerical Analysis of the Alternating Direction Explicit Method and its Application in Finance. 140909.
  • ESR3 Pedro Pólvora (CU Bratislava, Slovakia), Derivative pricing with transaction costs using a stochastic utility maximization model. 140912.
  • ESR4 Vera Egorova (UP Valencia, Spain), R. Company, L. Jódar, Constructing Positive Reliable Numerical Solution for American Options: A New Front-Fixing Approach. 140909.
  • ESR5 Walter Mudzimbabwe (U Ruse/Rousse, Bulgaria), Numerical solution of a stochastic control problem of option pricing for a liquidity switching Market. 140909.

Summer School & MMEI-2014 Presentations by staff from the STRIKE Project Partners or from Associated Partners

  • L.A. Bordag, I.P. Yamshchikov (ESR7, UA Zittau): Optimization problem for a portfolio with an illiquid asset: Lie group analysis, MMEI-2014 Conference Mathematical Methods in Economy and Industry, Smolenice, 140911.
  • M. Ehrhardt, E.J.W. ter Maten (BU Wuppertal): Project management and soft skills tutorials I. part - Risk Assessment, STRIKE Internal Summer School on Financial Mathematics at MMEI-2014 Conference Mathematical Methods in Economy and Industry, Smolenice, 140909.
  • M. Ehrhardt, E.J.W. ter Maten (BU Wuppertal): Project management and soft skills tutorials, II - Project Time Management, STRIKE Internal Summer School on Financial Mathematics at MMEI-2014 Conference Mathematical Methods in Economy and Industry, Smolenice, 140909.
  • M. Ehrhardt, E.J.W. ter Maten (BU Wuppertal): Project management and soft skills tutorials, III - Grant writing in Horizon 2020 framework program, STRIKE Internal Summer School on Financial Mathematics at MMEI-2014 Conference Mathematical Methods in Economy and Industry, Smolenice, 140909.
  • M. Guerra (TU Lisbon, ISEG): Stochastic dynamic programming and control of Markov processes I, STRIKE Internal Summer School on Financial Mathematics at MMEI-2014 Conference Mathematical Methods in Economy and Industry, Smolenice, 20140908
  • M. Guerra (TU Lisbon, ISEG): Stochastic dynamic programming and control of Markov processes II, STRIKE Internal Summer School on Financial Mathematics at MMEI-2014 Conference Mathematical Methods in Economy and Industry, Smolenice, 20140908
  • M. Guerra (TU Lisbon, ISEG): Stochastic dynamic programming and control of Markov processes III, STRIKE Internal Summer School on Financial Mathematics at MMEI-2014 Conference Mathematical Methods in Economy and Industry, Smolenice, 20140908
  • T. Gyulov, L. Vulkov (U Ruse/Rousse): Well-Posedness and Comparison Principle for Option Pricing with Liquidity Shocks, MMEI-2014 Conference Mathematical Methods in Economy and Industry, Smolenice, 140911.
  • C. Hendricks, M. Ehrhardt, M. Günther: High order Combination Technique for the efficient Pricing of Basket Options, MMEI-2014 Conference Mathematical Methods in Economy and Industry, Smolenice, 140909.
  • S. Kilianová, D. Sevčovič, M. Trnovská (CU Bratislava): Dynamic Worst Case Portfolio Optimization via a Hamilton-Jacobi-Bellman Equation, MMEI-2014 Conference Mathematical Methods in Economy and Industry, Smolenice, 140911.
  • R. Kukumberg (CU Bratislava): Methods for solving nonsmooth convex problems, MMEI-2014 Conference Mathematical Methods in Economy and Industry, Smolenice, 140911.
  • I. Melicherčík, I. Vilček, G. Szücs (CU Bratislava): Investment Strategies in the Funded Pillar of the Slovak Pension ystem, MMEI-2014 Conference Mathematical Methods in Economy and Industry, Smolenice, 140912.
  • F. Santos (ISEG, U Lisbon): Convexity adjustments for the pricing of futures and forwards, MMEI-2014 Conference Mathematical Methods in Economy and Industry, Smolenice, 140909.
  • D. Ševčovič, M. Trnovská (CU Bratislava): Solution to the inverse Wulff problem by means of the enhanced semidefinite relaxation method, MMEI-2014 Conference Mathematical Methods in Economy and Industry, Smolenice, 140911.
  • L. Teng (BU Wuppertal): Option Price with dynamically correlated Stochastic Interest Rate, MMEI-2014 Conference Mathematical Methods in Economy and Industry, Smolenice, 140909.
  • M. Trnovská (CU Bratislava): Conic relaxations and strong duality in quadratic programs, MMEI-2014 Conference Mathematical Methods in Economy and Industry, Smolenice, 140910.
  • L. Vulkov (U Ruse/Rousse), T. Chernogorova: On Fitted Finite Volume Splitting Operator Methods for the Valuation of Asian Options, MMEI-2014 Conference Mathematical Methods in Economy and Industry, Smolenice, 140911.


STRIKE Presentations at STRIKE 6th Workshop Nonlinear PDEs and Financial Mathematics, University of Applied Sciences Zittau/Görlitz, Zittau, Germany, March 23-27, 2015

  • Ljudmila A. Bordag, Ivan P. Yamshchikov (ESR7) (UA Zittau, Germany), Optimization problem for a portfolio with an illiquid asset: Lie group analysis. 150324.
  • Ljudmila A. Bordag, Ivan P. Yamshchikov (ESR7) (UA Zittau, Germany), Portfolio optimization with an exogenous random liquidation time. 150326.
  • Zuzana Bučková (ESR1), Matthias Ehrhardt, Michael Gunther (BU Wuppertal, Germany), ADE Methods - Numerical analysis and application to linear and nonlinear Black-Scholes models. 150325.
  • Vera Egorova (ESR4), Shih-Hau Tan (ESR10), Choi-Hong Lai, Rafael Company, Lucas Jódar (UPV Valencia, Spain and U Greenwich, UK), New fixing-domain transformation for nonlinear option pricing models. 150325.
  • Matthias Ehrhardt (BU Wuppertal, Germany), Modeling stochastic correlation, 150325.
  • Tihomir Gyulov, Lyuben Vulkov (U Ruse, Bulgaria), On a Nonlocal Problem for a Parabolic Integro-Differential Equation in Option Pricing with Switching Liquidity. 150325.
  • Miglena N. Koleva, Walter Mudzimbabwe (ESR5), Lubin G. Vulkov (U Ruse, Bulgaria), Fourth-order Compact IMEX Schemes for a Parabolic-Ordinary System of Option Pricing Liquidity Shocks Model. 150325.
  • Igor Kossacky, Matthias Ehrhardt, Michael Günther (BU Wuppertal, Germany), On Hamilton-Jacobi-Bellman Equation - Applications in Finance. 150323.
  • Michael Levin (Yandex, Moscow, Russia), Advanced machine learning in business. 150327.
  • Maria do Rosário Grossinho (CEMAPRE, ISEG, Univ of Lisbon, Portugal), Existence Results for Nonlinear PDEs arising in Financial Modelling. 150324.
  • L. Teng, C. van Emmerich, M. Ehrhardt, M. Günther (BU Wuppertal, Germany), Modelling Stochastic Correlation. 150325.
  • A. Tihonov (Yandex, Moscow, Russia), Cluster analysis. Ticks and tips. 150327.
  • Lara Trussardi (ESR8), Ansgar Jüngel, Bertram Düring (TUW Vienna, Austria and U Sussex, Brighton, UK), A kinetic equation for modelling irrationality and herding effects. 150325.


STRIKE Minisymposium at MathFinance Conference, Frankfurt, Germany, March 23-24, 2015

  • Christof Heuer (ER1), Bertram Düring (BU Wuppertal, Germany, and U Sussex, Brighton, UK), High-order compact finite difference schemes for stochastic volatility models. 150323.
  • Walter Mudzimbabwe (ESR5) (U Ruse, Bulgaria), Numerical Solution of an HJB Equation in a Liquidity Switching Market. 150323.
  • Pedro Pólvora (ESR3), D. Sevčovič, M.Guerra (CUB Bratislava, Slovakia and ISEG, U Lisbon, Portugal), Derivative pricing model with transaction costs using a stochastic utility maximization model. 150323.
  • José P.C.M. da Silva (ESR2) (BU Wuppertal, Germany), Fast Calibration of Heston-Hull-White. 150323.
  • Radoslav Valkov (ESR12) (U Antwerp, Belgium), Fitted SSP schemes for Black-Scholes-Barenblatt Equation. 150325.


STRIKE Poster Presentations at Workshop Models and Numerics in Financial Mathematics, Lorentz Center, Leiden, the Netherlands, May 26-29, 2015

  • Zuzana Bučková (ESR1), Pedro Pólvora (ESR3), Matthias Ehrhardt (BU Wuppertal, Germany; CU Bratislava, Slovakia), Implementation of the Alternating Direction Explicit Methods to high dimensional models in finance, 150526.
  • Nicola Cantarutti (ESR6) (CEMAPRE, ISEG, U Lison, Portugal), Portfolio selection problem using exponential Lévy processes and transaction costs, 150526.
  • Walter Mudzimbabwe (ESR5), Lubin Valkov (U Ruse, Bulgaria), American option pricing with liquidity shocks: NCP Approach, 150526.
  • José da Silva (ESR2), Michael Günther, Jan ter Maten (BU Wuppertal, Germany), Fast calibration of stochastic volatility models with pMOR, 150526.
  • Shih-Hau Tan (ESR10), Choi-Hong Lai, Konstantinos Skindilias (U Greenwich, London, UK), An efficient solver for multi-dimensional nonlinear Black-Scholes equation with Newton-like method, 150526.
  • Radoslav Valkov (ESR12) (U Antwerp, Belgium), Fitted SSP schemes for the Black-Scholes-Barenblatt equation, 150526.


Additional presentations by staff from Beneficiaries or from Associated Partners:

  • Matthias Ehrhardt (BU Wuppertal, Germany): STRIKE - Novel Methods in Computational Finance - Introduction to ITN STRIKE, Plenary presentation, 150528.
  • Lech Grzelak (TUD Delft and RABOBank, NL): Arbitrage-free volatility parameterizations with stochastic collocation, Plenary presentation, 150529.
  • Christof Heuer (ER1) (BU Wuppertal, Germany): STRIKE Computational Finance Toolbox, (Extra) Plenary presentation, 150528.
  • Drona Kandhai (U Amsterdam and ING Bank, NL): Challenges in Managing and Modeling Counterparty Exposure, Plenary presentation, 150527.
  • Carlos Vázquez-Cendón (U A Coruña, Spain): Numerics and modeling for investment problems with proportional transaction costs, Plenary presentation, 150528.
  • Uwe Wystup (MathFinance AG, Frankfurt am Main, Germany): FX Derivatives: Model and Product Trends, Plenary presentation, 150527.



STRIKE Presentations at SCF-2015, Stochastics & Computational Finance, ISEG, Univ. of Lisbon, Portugal, July 6-10, 2015

SCF-2015 Presentations by STRIKE Fellows

  • Zuzana Bučkova (ESR1, BU Wuppertal, Germany) and Pedro Polvóra (ESR3, CU Bratislava, Slovakia), Implementation of Alternating Direction Explicit methods to higher dimensional models in finance, 150707.
  • Nicola Cantarutti (ESR6, ISEG, U Lisbon, Portugal), Indifference pricing in exponential Lévy models with transaction costs, 150709.
  • Vera Egorova (ESR4, UP Valencia, Spain), R. Company, L. Jódar, Computing American options in regime switching model using front fixing transformation, 150706.
  • Tihomir Gyulov (U Ruse, Bulgaria) and Radoslav Valkov (ESR12, U Antwerp, Belgium), Contractivity results in Hilbert spaces for ADI schemes for convection-diffusion equation with mixed derivative term, 150706.
  • Christian Heuer (ER1, BU Wuppertal, Germany), Essentially high-order compact schemes applied to option pricing with stochastic volatility, 150706.
  • Sona Kilianova (CU Bratislava, Slovakia) and Pedro Polvóra (ESR3, CU Bratislava, Slovakia), Startup company valuation using a product growth model, 150709.
  • Alvaro Leitao (ESR9, TU Delft, the Netherlands), GPU Acceleration of the Stochastic Grid Bundling Method for early-exercise options, 150707.
  • Walter Mudzimbabwe (ESR5, U Ruse, Bulgaria), A penalty method for American option pricing with liquidity shocks, 150707.
  • José Pedro da Silva (ESR2, BU Wuppertal, Germany), Calibration of stochastic volatility models with MOR, 150707.
  • Shih-Hau Tan (ESR10, U Greenwich, London, UK), An efficient solver for multi-dimensional nonlinear Black-Scholes equation with Newton-like method, 150709.
  • Ivan Yamshchikov (ESR7, UA Zittau, Germany), Optimization problem for a portfolio with an illiquid asset: Lie group analysis, 150707.

SCF-2015 Presentations by staff from the STRIKE Project Partners or from Associated Partners

  • Matthias Ehrhardt (BU Wuppertal, Germany), Solving numerically problems of computational finance on unbounded domains, 150707.
  • Mohamed El Fakharany (UP Valencia, Spain), A two asset option pricing problem in jump diffusion models: numerical analysis and computing, 150709.
  • Tihomir Gyulov (U Ruse, Bulgaria), Contractivity results in Hilbert spaces for ADI schemes for convection-diffusion equation with mixed derivative term, 150706.
  • Christian Hendricks (BU Wuppertal, Germany), High-Order-Compact ADI schemes for pricing basket options in the combination technique, 150706.
  • Soňa Kilianová (CU Bratislava, Slovakia), Startup company valuation using a product growth model, 150709.
  • Carlos Oliveira (ISEG, U Lisbon, Portugal), Value of a firm with suspension and exit options, 150709.
  • Cornelis (Kees) Oosterlee (TU Delft, the Netherlands), Accurate and robust numerical methods for the dynamic portfolio management problem, 150708.
  • Daniel Sevčovič (CU Bratislava, Slovakia), Transformation methods for solving nonlinear PDE models in mathematical finance, 150707.
  • Long Teng (BU Wuppertal, Germany), Incorporation of stochastic correlation into the Heston model, 150707.
  • Carlos Vázquez Cendón (U A Coruña, Spain), Drift/free simulation techniques for market models of interest rates, 150707.
  • Uwe Wystup (MathFinance AG, Frankfurt, Germany), Products and model trends in FX options, 150709.


STRIKE Presentations at ICCF-2015, International Conference on Computational Finance 2015, Univ. of Greenwich, UK, December 14-18, 2015

ICCF-2015 Presentations by STRIKE Fellows

  • Zuzana Bučková (ESR1, BU Wuppertal, Germany), Matthias Ehrhardt, Michael Günther (BU Wuppertal, Germany), Alternating direction explicit methods for nonlinear and multidimensional models, 151214.
  • Vera N. Egorova (ESR4, UP Valencia, Spain), Carlos Vazquez (U A Coruna, Spain), Rafael Company, Lucas Jodar (UP Valencia, Spain), Finite difference methods for pricing American put option with rationality parameter', 151214.
  • Nicola Cantarutti (ESR6, ISEG, U Lisboa, Portugal), Pedro Polvóra (ESR3, CU Bratislava, Slovakia), Option pricing in exponential Lévy models with transaction costs: A viscosity solution approach, 151214.
  • Walter Mudzimbabwe (ESR5, U Rousse, Bulgaria), Front-fixing technique for American option pricing with liquidity shocks, 151215.
  • Bertram Düring (U Sussex, Brighton, UK), Ansgar Jüngel (TU Wien, Vienna, Austria), Lara Trussardi (ESR8, TU Wien, Vienna, Austria), A kinetic equation for modelling irrationality and herding effects, 151215.
  • José P. Silva (ESR2, BU Wuppertal, Germany), Michael Günther, E. Jan W. ter Maten (BU Wuppertal, Germany), Calibration of Heston model with MOR, 151215.
  • Beatrice Gaviraghi (ESR11, U Würzburg, Germany), M. Annunziato, Alfio Borzi (U Würzburg, Germany), Optimal control problems governed by partial-integro differential equations of Fokker-Planck type, 151216.
  • Silvie Kafková (ER2, CU Bratislava, Slovakia), Bayesian relativities in bonus malus systems, 151216.
  • Pedro Pólvora (ESR3, CU Bratislava, Slovakia), Pricing derivatives in markets with transaction costs using utility maximisation, 151217.
  • Alvaro Leitao Rodriguez (ESR9, TU Delft, the Netherlands), C.W. Oosterlee (TU Delft, the Netherlands), GPU acceleration of the stochastic grid bundling method for early-exercise options., 151217.
  • Shih-Hau Tan (ESR10, U Greenwich, London, UK) Choi-Hong Lai, Konstantinos Skindilias (U Greenwich, London, UK), Acceleration of nonlinear option pricing problem with GPU computing", 151217.
  • Miglena N. Koleva (U. Ruse, Bulgaria), Radoslav L. Valkov (ESR12, U Antwerp, Belgium), Convergence behaviour of Newton-HSS methods for penalised American option problems, 151217.
  • C.W. Oosterlee (TU Delft, the Netherlands), Alvaro Leitao (ESR9, TU Delft, the Netherlands), GPU computing for calibration of financial derivatives and credit valuation adjustment computations, 151217.


ICCF-2015 Presentations by staff from the STRIKE Project Partners or from Associated Partners

  • N. Azevedo, D. Pinheiro (U. Lisbon, Portugal), Dynamic programming for semi-Markov modulated SDEs, 151215.
  • F. Cong (TU Delft, the Netherlands), Multi-period mean-variance portfolio optimisation based on Monte Carlo simulation, 151215.
  • M. Coulon (U Sussex, Brighton, UK), Analysing energy markets: Structural price models, computational finance techniques and on-going challenges, 151214.
  • J.L. Fernandez-Perez, A. Ferreiro-Ferreiro, J.A. Garcia-Rodriguez, C. Vazquez-Cendon (U A Coruna, Spain), GPU implementation of stochastic ALM model for life insurance companies, 151217
  • C.S.L. de Graaf (U Amsterdam, the Netherlands), B.D. Kandhai (U Amsterdam and ING Bank Amsterdam, the Netherlands), C. Reisinger (U Oxford, UK), Efficient CVA computation by risk factor decomposition, 151215.
  • Z. van der Have, C.W. Oosterlee (TU Delft, the Netherlands), Numerical methods for decoupled forward-backward SDEs in finance, 151215.
  • M. do Rosario Grossinho (ISEG, U Lisboa, Portugal), Daniel Sevčovič (CU Bratislava, Slovakia), Pricing perpetual put options by the Black-Scholes equation with a nonlinear volatility function, 151215.
  • E.J.W. ter Maten, M. Ehrhardt (BU Wuppertal, Germany), STRIKE - Novel Methods in Computational Finance - STRIKE Exposition, 151218.
  • J. Miles, B. Düring (U Sussex, Brighton, UK), High order compact ADI scheme for option pricing in stochastic volatility models, 151214.
  • D. Sevčovič (CU Bratislava, Slovakia), Transformation methods for optimal exercise boundary problem for a class of nonlinear Black-Scholes equations and path dependent options, 151215.
  • G. Silva (U Lisbon, Portugal), A jump-telegraph diffusion model with jumps of random size: Option pricing and numerical experiments, 151214.
  • A.W. van der Stoep, L.A. Grzelak (CWI, Amsterdam, the Netherlands), C.W. Oosterlee (CWI, Amsterdam, and TU Delft, the Netherlands), The hybrid local volatility model: Efficient Monte Carlo simulation based on stochastic collocation, 151215.
  • J. du Toit (NAG, Oxford, UK), Adjoints on GPU: C++11 takes the hand out of handwritten adjoint, 151217.



STRIKE Presentations at Algoritmy-2016, Conference on Scientific Computing, Vysoke Tatry, Podbanske, Slovakia, March 13-18, 2016

Algoritmy-2016 Presentations by STRIKE Fellows

  • Zuzana Bučková (ESR1, BU Wuppertal, Germany), Matthias Ehrhardt, Michael Günther (BU Wuppertal, Germany), Pedro Pólvora (ESR3, CU Bratislava, Slovakia), Alternating direction explicit schemes for BS models - How to handle multidimensionality and nonlinearity, 160314.
  • José P. C. M. da Silva (ESR2, BU Wuppertal, Germany), Jan ter Maten, M. Günther (BU Wuppertal, Germany), Forward and backward reduced models for calibration in finance, 160314.
  • Pedro Pólvora (ESR3, CU Bratislava, Slovakia), Pricing derivatives in markets with transaction costs using utility maximization, 160314.
  • Laurent Boudin (U Pierre et Marie Curie, Paris, France), Ansgar Jüngel (TU Vienna, Austria), Lara Trussardi (ESR8, TU Vienna, Austria), Kinetic model for wealth and knowledge, 160314.
  • Shih-Hau Tan (ESR10, U Greenwich, London, UK), Kevin Parrott, Choi-Hong Lai (U Greenwich, London, UK), Towards efficient nonlinear option pricing with GPU Computing, 160314.
  • Miglena N. Koleva (U. Ruse, Bulgaria), Radoslav L. Valkov (ESR12, U Antwerp, Belgium), Two-grid algorithms for pricing American options by a penalty method, 160314.
  • Radoslav L. Valkov (ESR12, U Antwerp, Belgium), Projective splitting methods for the pricing of American options, 160314.
  • Silvie Kafková (ER2, CU Bratislava, Slovakia), Credibility theory in car insurance, 160314.


Algoritmy-2016 Presentations by staff from the STRIKE Project Partners or from Associated Partners

  • Cornelis W. Oosterlee (TU Delft, the Netherlands), Different applications of Fourier cosine expansions and wavelets in Computational Finance
  • Choi-Hong Lai (U Greenwich, London, UK), On a defect correction method for Black-Scholes PDE, 160314.
  • Sona Kilianová (CU Bratislava, Slovakia), Dynamic Worst Case Portfolio Optimization via Hamilton-Jacobi-Bellman equation', 160314.
  • Daniel Sevčovič (CU Bratislava, Slovakia), On American style of Asian path dependent options, 160314.



STRIKE Presentations at 6th International Conference, NAA 2016 - Numerical Analysis and Its Applications, Lozenetz, Bulgaria, June 15-22, 2016

  • Zuzana Bučková (ESR1, BU Wuppertal, Germany), Beáta Stehlíková: Modelling of the interest rate, Multi-factor short rate models.
  • Walter Mudzimbabwe (ESR5, U Rousse, Bulgaria): American options in an illiquid market: Nonlinear complementary method.
  • Radoslav L. Valkov (ESR12, U Antwerp, Belgium): Projective splitting methods for the pricing of American options.



STRIKE Presentations at the ITN-STRIKE Closing Meeting, Univ. of Antwerp, Belgium, Dec. 05-06, 2016

  • BUW: Zuzana Bučková (ESR1), Jos&eactute; da Silva (ESR2), Christof Heuer (ER1) (BU Wuppertal, Germany)
    • BUW: Matthias Ehrhardt, Jan ter Maten: Snapshot Project Overview
  • CUB: Pedro P&oactute;lvora (ESR3), Silvie Kafková (ER2) (CU Bratislava, Slovakia)
    • CUB: Daniel Ševčovič: WP1 - Modeling and Analysis
  • UPV: Vera Egorova (ESR4), Fazlollah Soleymani (ER3) (UP Valencia, Spain)
    • UPV: Lucas Jódar, Rafael Company: UPV Research Team
  • UR: Walter Mudzimbabwe (ESR5) (U Ruse/Rousse, Bulgaria)
    • Lubin Vulkov: UR Research Team
  • ISEG Nicola Cantarutti (ESR6) (ISEG, U Lisbon, Portugal)
    • ISEG: Manuel Guerra, Maria do Rosário Grossinho: ISEG Research Team
  • UAZ: Ivan P. Yamshchikov (ESR7) (U Applied Sciences, Zittau, Germany)
    • UAZ: Ljudmila A. Bordag: Lie Group Analysis of nonlinear Black-Scholes Models
  • TUW: Lara Trussardi (ESR8) (TU Wien, Austria)
  • TUD: A. Leitao Rodríguez (ESR9), M. Pou Bueno (ER4) (TU Delft, the Netherlands)
    • TUD: C.W. Oosterlee: TU Delft Research Team
  • UG: Shih-Hau Tan (ESR10), A. Ribeiro (ER5) (University of Greenwich, London, UK)
    • Choi-Hong Lai: UG Research Team
  • UW: B. Gaviraghi (ESR11) (U Würzburg, Germany)
    • A. Borzì: UW Research Team
  • UA: Radoslav Valkov (ESR12) (U Antwerp, Belgium)



STRIKE Fellows Presentations

Additional Fellows' presentations were given at:

  • Zuzana Bučková (ESR1), On the Fichera Theory, AMNA seminar, Wuppertal, November 19, 2013.
  • Zuzana Bučková (ESR1), M. Ehrhardt, Alternating direction explicit method for nonlinear Black-Scholes model, 6th Conference on Finite Difference Methods: Theory and Applications, Lozenetz, Bulgaria, June 19, 2014.
  • Zuzana Bučková (ESR1), M. Ehrhardt, M. Günther, ADE Methods - Numerical Analysis and Application to Linear and Nonlinear Black-Scholes Models, ICIAM 2015, International Congress on Industrial and Applied Mathematics, Beijing, China, Aug. 10, 2015.
  • Zuzana Bučková (ESR1), M. Ehrhardt, M. Günther, Advanced Numerical Methods in Finance for Black-Scholes model, Special Session 'Computational Finance', AMiTaNS’16, 8th Int. Conference on Application of Mathematics in Technical and Natural Sciences, Albena, Bulgaria, June 25, 2016.
  • Zuzana Bučková (ESR1), M. Ehrhardt, I. Tsukerman, Traditional vs. Trefftz Difference Schemes for the Black-Scholes Equation, Special Session 'Computational Finance', AMiTaNS’16, 8th Int. Conference on Application of Mathematics in Technical and Natural Sciences, Albena, Bulgaria, June 25, 2016.
  • José Pedro Campos Moreira da Silva (ESR2), Model Order Reduction in Finance, AMNA seminar, Wuppertal, December 3, 2013.
  • José Pedro Campos Moreira da Silva (ESR2), Introduction to Python and Benchmarking with Matlab, STRIKE Compact Course Lie Group Methods, UA Zittau/Görlitz, October 14-27, 2013.
  • José Pedro Silva (ESR2), M. Günther, E.J.W. ter Maten: Calibration in Option Pricing with Forward and Backward Reduced Models, ICASQF 2016, Second International Congress on Actuarial Science and Quantitative Finance, Cartagena, Columbia, June 16, 2016.
  • José Pedro Silva (ESR2), M. Günther, E.J.W ter Maten, M. Ehrhardt, Fast calibration of stochastic volatility models with pMOR. ECMI-2016, 19th European Conference on Mathematics for Industry, Santiago de Compostela, Spain, June 16, 2016.
  • Pedro Pólvora (ESR3), Optimal Value of a Firm Investing in Exogeneous Technology, Czech-Japanese Seminar on Applied Mathematics, Meiji University, Tokyo, Japan, September 6, 2013.
  • Pedro Pólvora (ESR3), Option pricing with transaction costs and a nonlinear Black-Scholes equation, FinMath Autumn Meeting, Lisbon, Portugal, November 13, 2013.
  • Pedro Pólvora (ESR3), Extensions of the Barles and Soner Model for Derivatives Pricing with Transaction Costs, IFORS 2014 Conference, Barcelona, Spain, July 18, 2014.
  • Pedro Pólvora (ESR3), Liquidity, risk-aversion and transaction costs in financial markets, Non-linear Models in Financial Mathematics, Lisbon, Portugal, July 25, 2014.
  • Pedro Pólvora (ESR3), Derivative pricing model with transaction costs using a stochastic utility maximisation model, SJCAM, 2nd Slovak - Japan Conference on Applied Mathematics, Radzovce - Obrucna, Cerova vrchovina, Slovakia, September 14-18, 2014.
  • Pedro Pólvora (ESR3), Pricing derivatives with transaction costs with non-constant risk-aversion, ICIAM 2015, International Congress on Industrial and Applied Mathematics, Beijing, China, Aug. 11, 2015.
  • Pedro Pólvora (ESR3), Pricing derivatives in markets with transaction costs using utility maximization, Special Session 'Computational Finance', AMiTaNS’16, 8th Int. Conference on Application of Mathematics in Technical and Natural Sciences, Albena, Bulgaria, June 25, 2016.
  • Pedro Pólvora (ESR3), C. Nunes, M. Guerra, Optimal Value of a Firm Investing in Exogeneous Technology, OR2015, International Conference on Operations Research -- Optimal Decisions and Big Data, Vienna, Austria, Sept. 3, 2015.
  • V.N. Egorova (ESR4), R. Company, L. Jódar, Transforming American call option problem preserving qualitative properties of solution, Mathematical Modelling in Engineering & Human Behaviour 2014 Conference, September 2-5, 2014, Instituto de Matemática Multidisciplinar-UPV, Valencia, Spain. Proceedings of the conference ISBN 978-84-606-5746-0, pp. 38-42.
  • V.N. Egorova (ESR4), R. Company, L. Jódar, Front-fixing transformation for regime switching model of American options, Mathematical Modelling in Engineering & Human Behaviour 2015 Conference, September 9-11, 2015, Instituto de Matemática Multidisciplinar-UPV, Valencia, Spain.
  • Walter Mudzimbabwe (ESR5), Monotone Numerical Method for a Model of European Option with Liquidity Shocks, 40th International Conference Applications of Mathematics in Engineering and Economics (AMEE14), Sozopol, Bulgaria, June 8-13, 2014.
  • Walter Mudzimbabwe (ESR5), Monotone Numerical Method for a Model of European Option with Liquidity Shocks, 6th Conference on Finite Difference Methods: Theory and Applications, Lozenetz, Bulgaria, June 19, 2014.
  • Nicola Cantarutti (ESR6), Option pricing in exponential Lévy models, Lisbon Financial Mathematics 2013 - Autumn Meeting Nonlinear PDEs in Finance – numerical methods and applications, CEMAPRE, ISEG, Universidade de Lisboa, Portugal, November 12-13, 2013.
  • Nicola Cantarutti (ESR6), Applications of Lie group analysis, CEMAPRE seminar series, CEMAPRE, ISEG, Universidade de Lisboa, Portugal, November 22, 2013.
  • Nicola Cantarutti (ESR6), Option pricing in exponential Lévy models with transaction costs, CEMAPRE seminar series, CEMAPRE, ISEG, Universidade de Lisboa, Portugal, July 3, 2014.
  • Nicola Cantarutti (ESR6), Jump diffusion model for option pricing in presence of transaction costs, Lisbon Financial Mathematics 2014 - Meeting on Non-linear Models of Financial Mathematics, ISEG, Universidade de Lisboa, July 3, 2014.
  • Ivan P. Yamshchikov (ESR7), plenary talk Analytics and Decision Making, conference Yet Another Conference on Marketing, on the session Quantitative and Experimental Marketing, Yandex, Moscow, May 16, 2013.
  • Ivan P. Yamshchikov (ESR7), plenary talk Psychological User-Segmentation, conference Yet Another Conference on Marketing, on the session Quantitative and Experimental Marketing, Yandex, Moscow, May 16, 2013. This talk was chosen as the best talk of the conference by the on-line voting of the audience.
  • Ivan P. Yamshchikov (ESR7), Digital marketing that does not exist, OdesseYa, Odessa, Ukraine, July 11, 2013.
  • Ivan P. Yamshchikov (ESR7), Analytics and big data. Ecosystem. NEXT, Berlin, Germany, May 5, 2014.
  • Ivan P. Yamshchikov (ESR7), plenary talk Social Economics, how can graph theory help your business?, conference Yet Another Conference on Marketing, on the session Online Marketing, Yandex, Moscow, June 5, 2014. Best talk of the conference.
  • Ivan P. Yamshchikov (ESR7), Crowd-funding - involving your audience into creation and financing. OdesseYa, Odessa, Ukraine, July 10, 2014.
  • Ivan P. Yamshchikov (ESR7), Happiness of the user, conference Yet Another Conference on Marketing, on the session Online Marketing, Yandex, Moscow, June 4, 2015.
  • Ivan P. Yamshchikov (ESR7), How does big data analytics works in the real world? Moderator of a panel discussion. Machine Learning: Prospects and Applications, Berlin, Germany, October 8, 2015.
  • Ivan P. Yamshchikov (ESR7), Optimization problem for a portfolio with an illiquid asset, Seminar of the University of Cottbus-Senftenberg, Germany, March 10, 2016.
  • Ivan P. Yamshchikov (ESR7), The mystery of the Russian soul, Yandex Expert Summit, Berlin, Germany, June 2, 2016.
  • Ivan P. Yamshchikov (ESR7), Lie-symmetry analysis of the nonlinear problems that arise in a portfolio with an illiquid asset (tentative title), SIAM Conf. on Financial Mathematics & Engineering, Austin, TX, USA, Nov. 17-19, 2016.
  • Lara Trussardi (ESR8), Analysis of a cross-diffusion herding model, DK Seminar at TU Vienna, organized in the framework of the Doctoral School NPDE, December 18, 2013.
  • Lara Trussardi (ESR8), Ansgar Jüngel, Bertram Düring, A kinetic equation for modelling irrationality and herding of agents, Equadiff 2015, Lyon, France, July 7, 2015.
  • Á. Leitao (ESR9), Static and dynamic SABR model, CWI, Amsterdm, 18/11/2013.
  • Á. Leitao (ESR9), Parallel computing with Python, ISEG, Lisbon, 11/12/2014.
  • Á. Leitao (ESR9), Stochastic Grid Bundling Method - GPU Acceleration, UDC, A Coruña, June 2015.
  • Á. Leitao (ESR9), Efficient one and multiple time-step simulation of the SABR model, CWI, Amsterdam, 15/2/2016.
  • Á. Leitao (ESR9), Pricing Early-exercise options - GPU Acceleration of SGBM method, SIAM UQ16, Lausanne, 6/4/2016.
  • Á. Leitao (ESR9), L.A. Grzelak, C.W. Oosterlee, On an efficient one and multiple time-step Monte Carlo simulation of the SABR model. ECMI-2016, 19th European Conference on Mathematics for Industry, Santiago de Compostela, Spain, June 14, 2016.
  • Á. Leitao (ESR9), Python for computational finance, SSQM 2016, A Coruña, 28/6/2016.
  • Shih-Hau Tan (ESR10), C.-H. Lai, K. Skindilias, Vera Egorova (ESR4), An efficient solver for multi-dimensional nonlinear Black-Scholes equation with Newton-like method, ICIAM 2015, International Congress on Industrial and Applied Mathematics, Beijing, China, Aug. 10, 2015.
  • Shih-Hau Tan (ESR10), An Efficient Solver for Multi-dimensional Nonlinear Black-Scholes Equation with Newton-like Method, AMaMeF 2015, Advanced Mathematical Methods in Finance, Lausanne, Switzerland, Sept. 7-10, 2015.
  • Shih-Hau Tan (ESR10), Kevin Parrott, Choi-Hong Lai (U Greenwich), Towards efficient nonlinear option pricing with GPU Computing, 4th Asian Quantitative Finance Conference, Osaka, Japan, February 21-23, 2016.
  • Shih-Hau Tan (ESR10), Kevin Parrott, Choi-Hong Lai (U Greenwich), Towards efficient nonlinear option pricing with GPU Computing, GPU Technology Conference 2016, San Jose, CA, USA, April 6, 2016.
  • Shih-Hau Tan (ESR10), Kevin Parrott, Choi-Hong Lai (U Greenwich), Towards efficient nonlinear option pricing with GPU Computing, Student Computational Finance Day, Delft, the Netherlands, May 23, 2016.
  • Shih-Hau Tan (ESR10), Towards efficient nonlinear option pricing with GPU Computing, Special Session 'Computational Finance', AMiTaNS’16, 8th Int. Conference on Application of Mathematics in Technical and Natural Sciences, Albena, Bulgaria, June 25, 2016.
  • Beatrice Gaviraghi (ESR11), An operator splitting method for solving a class of Fokker-Planck equations, Berlin-Padova Young Researchers Meeting in Probability, WIAS, TU Berlin und University of Potsdam, October 23-25, 2014.
  • Beatrice Gaviraghi (ESR11), Tim Breitenbach, Fokker-Planck optimal control problems, Poster at Study-bazaar for Master and Bachelor students of the Faculty of Mathematics, University of Würzburg, January 18, 2016.
  • Radoslav Valkov (becoming ESR12, Univ. of Sofia, Bulgaria): American option pricing problem transformed on finite interval. Session Novel Methods in Computational Finance III, Jornadas Conference, UP Valencia, September 5, 2013.
  • Radoslav Valkov (becoming ESR 12), American option pricing problem transformed on finite interval, AMNA seminar, Wuppertal, October 22, 2013.
  • R. Valkov (ESR12): Local Crank-Nicolson Method for Nonlinear Option Pricing Problems. BGSIAM’13, Eighth Annual Meeting of the Bulgarian Section of SIAM, Sofia, Bulgaria, Dec. 18-19, 2013.
  • Radoslav Valkov (ESR12), ADI finite difference schemes for the uncertain correlation option pricing problem, 6th Conference on Finite Difference Methods: Theory and Applications, Lozenetz, Bulgaria, June 19, 2014.
  • Radoslav Valkov (ESR12), Fitted strong stability-preserving schemes for the Black-Scholes-Barenblatt equation, BGSIAM’14 December 18-19, 2014, Sofia, Bulgaria
  • R. Valkov (ESR12), Valuation framework for OTC financial contracts accounting for CVA, DVA, FVA and collaterization, Centrum Wiskunde en Informatica, February 10, 2015, Amsterdam, The Netherlands.
  • Andre Ribeiro (ER5), Pricing and Hedging Correlation Swaps with a 2-factor model, Special Session 'Computational Finance', AMiTaNS’16, 8th Int. Conference on Application of Mathematics in Technical and Natural Sciences, Albena, Bulgaria, June 25, 2016.


Further STRIKE Presentations

The presentations listed are from staff of project Beneficiaries or from Associated Partners.

  • M. Aichinger, A. Binder (MathConsult GmbH, Linz, Austria), M. Schwaiger, Developing a tool-chain for computational finance in a regulated universe. ECMI-2016, 19th European Conference on Mathematics for Industry, Santiago de Compostela, Spain, June 15, 2016.
  • L.A. Bordag (UA Zittau/Görlitz): Optimization problem for a portfolio with an illiquid asset: Lie group analysis. The Seventh International Conference on Differential and Functional Differential Equations, Moscow, Russia, August 22-29, 2014.
  • L.A. Bordag (UA Zittau/Görlitz): Optimization problem for a portfolio with an illiquid asset: Lie group analysis. International Workshop Haindorf Seminar 2015, Hejnice, Czech Republic, Jan. 27-31, 2015.
  • L.A. Bordag (UA Zittau/Görlitz): Optimization problem for a portfolio with an illiquid asset: Lie group analysis. ICPARAM 2015 - International Conference on Recent Advances in Pure and Applied Mathematics, Istanbul, Turkey, June 3-6, 2015.
  • L.A. Bordag (UA Zittau/Görlitz): Optimization problem for a portfolio with an illiquid asset: Lie group analysis. International Conference A.N. Shiryaev and Contemporary Probability Theory, Angers, France, Nov. 30 - Dec. 2, 2015.
  • L.A. Bordag (UA Zittau/Görlitz): Optimization problem for a portfolio with an illiquid asset: Lie group analysis. Invited Colloquium Lecture at Uppsala University, Uppsala, Sweden, Feb. 12, 2016.
  • L.A. Bordag (UA Zittau/Görlitz): Optimization problem for a portfolio with an illiquid asset: Lie group analysis. International Conference Estate Quantistica, Scalea, Italy, June 13-17, 2016.
  • A. Borzì (U. Würzburg): Wissenschaftliches Rechnen in Würzburg, prepared for presentation at major of Würzburg, Würzburg, November 2013 (pdf).
  • A. Borzì (U. Würzburg): Fokker-Planck-Kolmogorov Control Framework for Stochastic Processes, Lomonosov State University and Steklov Institut of Mathematics, Moscow, Russia, March 2014.
  • A. Borzì (U. Würzburg): Optimal control through leadership of multi-agent systems, 27th IFIP TC7 Conference, Sophia-Antipolis, France, June 2015.
  • A. Borzì (U. Würzburg): Modelling and control of stochastic hybrid PDP systems, International Workshop From Open to Closed Loop Control, Mariatrost/Graz, Austria, June 22-26, 2015.
  • A. Borzì (U. Würzburg): On the control through leadership of multi-agent systems, Workshop OCDE - Optimal Control of Partial and Ordinary Differential Equations, Ecole Polytechnique, Palaiseau, France, November 16-17, 2015.
  • A. Borzì (U. Würzburg): On the Fokker-Planck-Kolmogorov Framework to Model and Control Stochastic Processes, TU Berlin, Feb. 2016.
  • M.C. Calvo-Garrido (U A Coruna), M. Ehrhardt (BU Wuppertal), C. Vázquez (U A Coruna), PDE modeling and numerical methods for swing option pricing in electricity markets. ECMI-2016, 19th European Conference on Mathematics for Industry, Santiago de Compostela, Spain, June 16, 2016.
  • R. Company, M. Fakharany, L. Jódar (UP Valencia): Un nuevo enfoque numérico de la componente no local de los modelos, XXIII Congreso de Ecuaciones Diferenciales y Aplicaciones (CEDYA) / XIII Congreso de Matemática Aplicada (CMA), Castellón, Spain, September 9-13, 2013. (ISSN 978-84-8021-963-1), pp. 25-34, 2013.
  • F. Cong, C. Oosterlee (CWI Amsterdam), An Accurate Simulation-based Approach to the Dynamic Portfolio Management Problem, ICIAM 2015, International Congress on Industrial and Applied Mathematics, Beijing, China, Aug. 10, 2015.
  • B. Düring (U Sussex), High-order Compact Finite Difference Methods for Parabolic Problems with Mixed Derivative Terms and Applications in Computational Finance, ICIAM 2015, International Congress on Industrial and Applied Mathematics, Beijing, China, Aug. 10, 2015.
  • M. Ehrhardt (BU Wuppertal): A General Approach for Stochastic Correlation using Hyperbolic Functions, European Science Foundation OPTPDE Workshop Modelling and Control of Large Interacting Dynamical Systems, Université Paris-Dauphine, September 11, 2013.
  • M. Ehrhardt (BU Wuppertal): A General Approach for Stochastic Correlation using Hyperbolic Functions, Minisymposium MS21 Modelling and Numerical Methods in Financial Mathematics, SciCADE 2013 - International Conference on Scientific Computation and Differential Equations, University of Valladolid, Spain, September 16, 2013.
  • M. Ehrhardt (BU Wuppertal): Finite Differences for Financial Derivative Models, Italian-German Workshop on Stochastic Modelling of Financial Crises, University of Wuppertal, December 12, 2013.
  • M. Ehrhardt (BU Wuppertal): On the Numerical Solution of Nonlinear Black-Scholes Equations, Italian-German Workshop on Stochastic Modelling of Financial Crises, University of Wuppertal, December 12, 2013.
  • M. Ehrhardt (BU Wuppertal): Modelling stochastic correlation, Univ. A Coruña, September 16, 2014. (distance learning lecture with U Santiago and U Vigo)
  • M. El-Fakharany, R. Company, L. Jódar (UP Valencia): A mixed difference scheme guaranteeing positive solutions for European option pricing under a tempered stable process, International Conference on Computational and Mathematical Methods in Science and Engineering CMMSE 2013, Cabo de Gata, Almeria-Spain, June 24-27, 2013.
  • M. Fakharany, R. Company, L. Jódar Sánchez (UP Valencia): A five-point stencil scheme for pricing American options under Bates model; Mathematical Modelling in Engineering & Human Behaviour 2014, Valencia, Spain, September 2-5, 2014. 16th Edition of the Mathematical Modelling Conference Series at the Institute for Multidisciplinary Mathematics (ISSN 978-84-606-5746-0, pp. 50-54, 2014.
  • M. Fakharany, R. Company, L. Jódar (UP Valencia): Positive numerical solution of two asset jump-diffusion partial-integro differential models, Mathematical Modelling in Engineering & Human Behaviour 2015, Valencia, Spain, September 9-11, 2015. 17th Edition of the Mathematical Modelling Conference Series at the Institute for Multidisciplinary Mathematics, ISSN 978-84-608-5355-8, pp 135-140, 2015.
  • Q. Feng, C.W. Oosterlee (CWI Amsterdam), Credit value adjustement, wrong way risk and Bermudan options. ECMI-2016, 19th European Conference on Mathematics for Industry, Santiago de Compostela, Spain, June 14, 2016.
  • J.A. García Rodríguez (U A Coruña): An Introduction to the Marie Curie Multi-ITN STRIKE Network, at HPCFinance, Tampere, Finland, May 13-15, 2013 (pdf).
  • E. Gobet, J.G. López-Salas, P. Turkedjiev, C. Vázquez (U A Coruna), Parallel stratified regression Monte-Carlo scheme for BSDEs with applications in finance. ECMI-2016, 19th European Conference on Mathematics for Industry, Santiago de Compostela, Spain, June 16, 2016.
  • M. do Rosàrio Grossinho (ISEG, U Lisbon): Approximation of nondivergent type parabolic PDEs in finance, International Conference "Advanced Finance and Stochastics", Moscow, Russia, June 24-28, 2013.
  • M. do Rosàrio Grossinho (ISEG, U Lisbon): Mathematics and Finance -- a continuous interplay, Université de Lorraine à Nancy, April 15, 2014.
  • M. Günther (BU Wuppertal): Smooting Splines under Tension in Computational Finance, Italian-German Workshop on Stochastic Modelling of Financial Crises, University of Wuppertal, December 16, 2013.
  • M. Günther (BU Wuppertal): A General Approach for Stochastic Correlation using Hyperbolic Functions, Italian-German Workshop on Stochastic Modelling of Financial Crises, University of Wuppertal, December 16, 2013.
  • Z. van der Have, C.W. Oosterlee (TU Delft, CWI Amsterdam), The COS method for option valuation under the SABR dynamics. ECMI-2016, 19th European Conference on Mathematics for Industry, Santiago de Compostela, Spain, June 15, 2016.
  • C. Hendricks (BU Wuppertal): High order Combination Technique for the efficient Pricing of Basket Options, Distance learning lecture with U Santiago and U Vigo. Univ. A Coruña, Dec 10, 2014
  • C. Hendricks, M. Ehrhardt, M. Günther (BU Wuppertal): Hybrid finite difference / pseudospectral methods for stochastic volatility models. ECMI-2016, 19th European Conference on Mathematics for Industry, Santiago de Compostela, Spain, June 16, 2016.
  • K. in 't Hout (U Antwerp): ADI schemes for pricing options under the Heston model, WBS Quants Hub Workshop, London, November 2013. Website.
  • K. in 't Hout (U Antwerp): Efficient pricing of American-style options by ADI schemes, 6th Conference on Finite Difference Methods: Theory and Applications, Lozenetz, Bulgaria, June 19, 2014.
  • K. in 't Hout (U Antwerp): ADI methods for the numerical valuation of American-style options, Invited Talk at MathFinance 2016, Frankfurt am Main, Germany, March 21, 2016.
  • J. Kienitz (Deloitte, BU Wuppertal): Numerics for PDEs used for Financial Modelling, Inaugural Lecture, BU Wuppertal, May 24, 2016.(pdf).
  • J. Kienitz, M. Wittke, P. Büchel (Deloitte & Touch, Düsseldorf, Germany): Advanced Exposure Modelling - Applications, FRTB-CVA and Validation, Invited Talk at MathFinance 2016, Frankfurt am Main, Germany, March 22, 2016.
  • N. Kokulan, A. Ribeiro (ER5), C.-H. Lai (U Greenwich, UK): On transformation methods and their parallel computing for nonlinear option pricing, DCABES2016, International Conference on Distributed Computing and Algorithms for Business, Engineering, and Science, Paris, August 24-26, 2016.
  • M. Koleva, L. Vulkov (U Ruse): On the Numerical Solution of time-fractional Black-Scholes Equation. BGSIAM’13, Eighth Annual Meeting of the Bulgarian Section of SIAM, Sofia, Bulgaria, Dec. 18-19, 2013.
  • Y. Kord (ISEG, U Lisbon): On the numerical solution of nonlinear Black-Scholes equations, Lisbon Financial Mathematics 2013 - Autumn Meeting on Nonlinear PDEs in Finance - Numerical Methods and Applications, November 12-13, 2013.
  • Y. Kord (ISEG, U Lisbon): Approximation of non-divergent type parabolic PDEs in Finance, CEMAPRE Seminar Series, CEMAPRE, ISEG, Universidade of Lisboa, July 2, 2014.
  • I. Kossaczky (BU Wuppertal): An introduction to Hamilton-Jacobi-Bellman Equations, Distance learning lecture with U Santiago and U Vigo. Univ. A Coruña, June 16, 2015.
  • I. Kossaczky (BU Wuppertal): Modifications of PCPT method for HJB equation, Piecewise predicted policy timestepping method, Special Session 'Computational Finance'; AMiTaNS’16, 8th Int. Conference on Application of Mathematics in Technical and Natural Sciences, Albena, Bulgaria, June 25, 2016.
  • C.-H. Lai (U Greenwich): On transformation methods and the induced parallel properties for the temporal domain of nonlinear problems, 6th Conference on Finite Difference Methods: Theory and Applications, Lozenetz, Bulgaria, June 19, 2014.
  • C. Oliviera, M. Guerra (ISEG, U Lisbon): A Black-Scholes equation for illiquid markets, Poster at the 8th World Congress of the Bachelier Finance Society, Brussels, June 2-6, 2014.
  • C. Oliviera, M. Guerra (ISEG, U Lisbon), C. Nunes: The value of a firm with exit and suspension options, 11th German Statistics and Probability Days, Ulm, March 4-7, 2014.
  • C. Oliviera, M. Guerra (ISEG, U Lisbon), C. Nunes: Value of a firm with Suspension and Exit Options, 20th Conference of the International Federation of Operational Research Societies (IFORS), Barcelona, July 13-18, 2014.
  • A. Santos, J.M.E. Guerra (ISEG, U Lisbon): Risk-Neutral Densities Estimation: performance of Non-Structural Methods in a "true" world marked by jumps in asset returns, 2014 Conference of the Financial Engineering and Banking Society (F.E.B.S) -- Global Trends in Financial Intermediation, University of Surrey, June 21-23, 2014.
  • M. Suárez-Taboada (U A Coruna), J.W.S. Witteveen, C.W. Oosterlee, L.A. Grzelak (CWI Amsterdam): Uncertainty quantification and Heston model. ECMI-2016, 19th European Conference on Mathematics for Industry, Santiago de Compostela, Spain, June 14, 2016.
  • L. Teng (BU Wuppertal): The Pricing of Quanto Options under Dynamic Correlation, in Minisymposium (organized by associated Partner U A Coruña) in the framework of 14th International Conference Computational and Mathematical Methods in Science and Engineering, Cadiz, Spain, July 4, 2014.
  • L. Teng, M. Ehrhardt, M. Günther (BU Wuppertal), On the Heston Model with Stochastic Correlation, ICIAM 2015, International Congress on Industrial and Applied Mathematics, Beijing, China, Aug. 10, 2015.


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