Goethe Center for Scientific Computing (G-CSC)

Goethe University Frankfurt

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Thomas Gerstner

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Prof. Dr. Thomas Gerstner

Address

  Institut für Mathematik
  Postfach 11 19 32
  Johann Wolfgang Goethe-Universität
  D-60054 Frankfurt am Main

Office

  Room 105
  Robert-Mayer-Straße 10
  D-60325 Frankfurt am Main

Contact

  Phone: (+49) (0)69/798-28171
  Fax: (+49) (0)69/798-28846
  E-mail: gerstner (at) math.uni-frankfurt.de

Curriculum Vitae

1990-1995 Study of Computer Science at TU Munich
1995 Diploma in Computer Science
1996-2001 Research associate at the Institute for Applied Mathematics, University of Bonn
2001 Dissertation (Dr. rer. nat.)
2001-2007 Research assistant at the Institute for Applied Mathematics, University of Bonn
2007 Habilitation in Mathematics
2007-2008 Academic senior councillor (AOR) and private lecturer (PD) at the University of Bonn
2008-2009 Substitute professor for Numerical Mathematics, University of Oldenburg
2009 Substitute professor for Numerical Mathematics, Goethe-University Frankfurt
2009- Professor (W2) for Computational Finance, Goethe-University Frankfurt

Research Projects

Teaching

Winter 2008/09
(Bonn)
Lecture
Lab
Computational Finance I
Numerical Methods in Computational Finance
Summer 2008
(Bonn)
Lecture Computational Finance II
Winter 2008/09
(Oldenburg)
Lecture
Seminar
Introduction to Numerical Mathematics
Numerical Methods in Computational Finance
Summer 2009
(Frankfurt)
Lecture
Seminar
Numerical Methods for Differential Equations
Monte Carlo Methods in Financial Engineering
Winter 2009/10
(Frankfurt)
Lecture
Lecture
Introduction to Numerical Mathematics
Numerical Linear Algebra
Summer 2010
(Frankfurt)
Lecture
Lecture
Seminar
Computational Finance
Monte Carlo Methods
Numerical Methods in Computational Finance
Winter 2010/11
(Frankfurt)
Lecture
Lecture
Lecture
Seminar
Computer-oriented Mathematics
Numerical Linear Algebra
Numerical Methods for Partial Differential Equations
Numerical Methods for SDEs in Finance
Summer 2011
(Frankfurt)
Lecture
Lecture
Seminar
Proseminar
Computational Finance
Numerical Mathematics for Computer Scientists
High-dimensional Quadrature Methods
Matrix Algorithms
Winter 2011/12
(Frankfurt)
Lecture
Lecture
Seminar
Introduction to Numerical Mathematics
Quadrature Methods
Numerical Methods for PDEs in Finance

Recent Publications

  1. T. Gerstner, M. Holtz and R. Korn: Valuation of performance-dependent options in a Black-Scholes framework. In Numerical Methods for Finance, pp. 203-214. Chapman & Hall/CRC, 2007
  2. T. Gerstner, M. Griebel and M. Holtz. The effective dimension of asset-liability management problems in life insurance. In Proc. Third Brazilian Conference on Statistical Modelling in Insurance and Finance, pp. 148-153, 2007.
  3. T. Gerstner and M. Holtz: Valuation of performance-dependent options. Applied Mathematical Finance, 15(1):1-20, 2008.
  4. T. Gerstner, M. Griebel, M. Holtz, R. Goschnick and M. Haep: A General Asset-Liability Management Model for the Efficient Simulation of Portfolios of Life Insurance Policies. Insurance: Math. Economics, 42(2):704-716, 2008.
  5. T. Gerstner, M. Griebel, M. Holtz, R. Goschnick and M. Haep: Numerical Simulation for Asset-Liability Management in Life Insurance. In Mathematics - Key Technology for the Future. pp. 319-341. Springer, 2008.
  6. T. Gerstner and M. Griebel: Sparse grids. In Encyclopedia of Quantitative Finance, J. Wiley & Sons, 2009.
  7. T. Gerstner, M. Griebel and M. Holtz: Efficient deterministic numerical simulation of stochastic asset-liability management models in life insurance. Insurance: Math. Economics, 44:434-446, 2009.
  8. J. Garcke, T. Gerstner and M. Griebel. Intraday Foreign Exchange Rate Forecasting using Sparse Grids. SIAM Journal on Financial Mathematics, 2009, submitted.