Goethe Center for Scientific Computing (G-CSC)

Goethe University Frankfurt

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Publications

Pubications

Books and edited conference proceedings

  1. P.E. Kloeden and E. Platen, The Numerical Solution of Stochastic Differential Equations,  Springer–Verlag, 1992 (revised reprinting 1995, 3rd revised and updated printing 1999). 
  2. P.E. Kloeden, E. Platen and H. Schurz, The Numerical Solution of Stochastic Differential Equations through Computer Experiments, Springer–Verlag, Unitext, 1994 (revised reprinting 1997). 
  3. S. Cyganowski, P.E. Kloeden and J. Ombach, From Elementary Probability to Stochastic DEs with MAPLE, Springer–Verlag, Heidelberg, 2001. 

Recent papers

  1. D. Belomestny, S. Mathew and J. Schoenmakers, Multiple Stochastic Volatility Extension of a Libor Market Model and its Implementation Monte Carlo Methods and Applications, 2009, to appear.
  2. T. Gerstner and M. Griebel, Sparse grids, In Encyclopedia of Quantitative Finance, J. Wiley & Sons, 2009.
  3. 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.
  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 and M. Holtz, Valuation of performance-dependent options, Applied Mathematical Finance, 15 (1):1-20, 2008.
  6. N. Halidias and P.E. Kloeden, Comparison and existence theorems for backwards stochastic
    DEs with discontinuous generators,  Electronic Journal of Differential Equations, 110:1-6, 2011.
  7. D.J. Higham and P.E. Kloeden, Numerical schemes for stochastic differential equation models, in Encyclopedia of Quantative Risk Assessment and Analysis, B. Everitt and E. Melnick (eds.), Wiley, Chichester, pp. 1197–1201, 2008.
  8. A. Jentzen and P.E. Kloeden, The numerical approximation of stochastic partial differential equations, Milan J. Math., 2009, to appear.
  9. A. Jentzen, P.E. Kloeden and A. Neuenkirch, Convergence of numerical approximations of stochastic differential equations on domains: higher order convergence rates without global Lipschitz coefficients, Numerische Mathematik 112 (1), 41–64, 2009.
  10. P.E. Kloeden and Carlos Sanz-Chacon, Efficient price sensitivity estimation of path-dependent derivatives by weak derivatives, Monte Carlo Methods & Applications 17:47-75, 2011.
  11. P.E. Kloeden and T. Lorenz, Stochastic differential equations with nonlocal sample dependence, J. Stoch. Anal. Applns. 28:937-945, 2010.
  12. P. Kloeden, A. Neuenkirch and R. Pavani, Multilevel Monte Carlo for SDEs with additive fractional noise, Annals of Operations Research, 189:255-276, 2011.

Working papers

  1. J. Garcke, T. Gerstner and M. Griebel, Intraday Foreign Exchange Rate Forecasting using Sparse Grids. SIAM Journal on Financial Mathematics, 2009, submitted.