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Financial Mathematics

Modeling and numerical simulation of problems in financial mathematics using stochastic and partial differential equations, Monte Carlo simulations, transformation techniques, semi-analytic Fourieransätze. Master theses are in general in cooperation with financial institutes and companies for energy supply. The University of Wuppertal is 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).

zuletzt bearbeitet am: 04.02.2014