Modeling and numerical simulation of problems in financial mathematics using stochastic and partial differential equations, Monte Carlo simulations, transformation techniques, semi-analytic Fourier methods, stochastic correlation approaches, symplectic integration methods in finance. Master theses are in general in cooperation with financial institutes and companies for energy supply. The University of Wuppertal was the coordinator of the European Marie Curie International Training Network „STRIKE - Novel Methods in Computational Finance“ (2013-2016) and of the projects “Advanced structural properties preserving numerical integration schemes for stochastic differential equations with applications in finance” (financed by ABN AMRO London).
Currently, the chair of Applied Mathematics and Numerical Analysis leads the DAAD projects "MATTHIAS: Modelling and Approximation Tools and Techniques for Hamilton-Jacobi-Bellman equations in finance and Innovative Approach to their Solution" (01/2020-12/2021) and "FRACTAL: FRActional models and CompuTationAL Finance" (01/2019-12/2020).
zuletzt bearbeitet am: 12.04.2022