Inhaltsverzeichnis - Mathematisches Institut der Universität zu Köln

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DMV Tagung 2011 - Köln, 19. - 22. September Ralf Korn University of Kaiserslautern Recent Advances in Option Pricing with Binomial Trees Binomial trees are used in option pricing for over 30 years. However, their irregular convergence and problems with multi-dimensional trees still call for research. In the talk, we will present the so-called optimal drift method to speed up the convergence of approximating binomial trees in the univariate setting by generalizing results by Chang and Palmer. Further, we introduce the orthogonal decomposition method to construct regular multivariate trees that can be applied universally for valueing options on multiple assets. Jan H. Maruhn UniCredit, München Exploiting GPUs and Adjoints for Rapid Monte Carlo Calibrations Due to performance constraints the class of Equity models used in the front office has often been limited to models with closed form solution for plain vanilla options, or models with on-the-fly calibration (like the Dupire local volatility model). In this talk we will show that recent developments on the hardware and algorithm side allow to break this paradigm. By combining the speedup of GPUs, adjoints and multi-layer techniques, the Monte Carlo calibration of financial market models has become feasible for large scale purposes - thus allowing to choose models based on their dynamics, and not their feasibility. Kees Oosterlee Techische Universität Delft Efficient valuation methods for contracts in finance and insurance In this presentation we will discuss the use of Fourier cosine expansions for pricing financial and insurance derivative contracts. We will discuss hybrid SDE models, like the Heston Hull-White model, modelling for example inflation options, and stochastic control problems. Christoph Winter Eidgenössische Technische Hochschule Zürich (ETHZ) Wavelet Galerkin schemes for option pricing in multidimensional Lévy models We consider a wavelet Galerkin scheme for solving partial integrodifferential equations arising from option pricing in multidimensional Lévy models. Sparse tensor product spaces are applied for the discretization to reduce the complexity in the number of degrees of freedom and wavelet compression methods are used to decrease the number of non-zero matrix entries. We give numerical examples. In particular, the regularization of the multidimensional Lévy measure is considered where small jumps are either neglected or approximated by an artificial Brownian motion. 180
Minisymposium 13 Operatortheorie DMV Tagung 2011 - Köln, 19. - 22. September Bernhard Gramsch (Mainz), Birgit Jacob (Wuppertal), Marko Lindner (Chemnitz), Carsten Trunk (Ilmenau) Wolfram Bauer Algebraic properties and the finite rank problem for Toeplitz operators 184 Swanhild Bernstein Inverse Scattering with Dirac Operators 184 Johannes Brasche On the absolutely continuous spectra of selfadjoint extensions 185 Jonathan Eckhardt Inverse spectral theory for Schrödinger operators with strongly singular potentials: a uniqueness theorem Kenro Furutani Heat Kernel of Grushin Operator and Complex Hamilton-Jacobi Method Bernhard Gramsch Fredholm Operatoren in topologischen Algebren der mikrolokalen Analysis Sebastian Häsler Generalized solutions and spectrum for Dirichlet forms on graphs 187 Joshua Isralowitz Schatten class Toeplitz and Hankel operators on the Segal-Bargmann and Bergman spaces Birgit Jacob Weighted interpolation in Paley-Wiener spaces and finite-time controllability Marko Lindner Spectra and Finite Sections of Random Jacobi Operators 188 Friedrich Philipp Bounds on the non-real spectrum of indefinite Sturm-Liouville operators Rainer Picard A Class of Time-Shift Invariant Evolutionary Equations with an Application to Acoustic Waves with Impedance Type Boundary Conditions. Sascha Trostorff Well-posedness and causality of a class of evolutionary inclusions 189 Carsten Trunk Variational Principles for Eigenvalues of a Class of Block Operator Matrices Christian Wyss Bounded solutions of operator Riccati equations 190 185 186 186 187 187 188 188 189 181
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Frank Kutzschebauch Universität Be
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Ulrich Derenthal Ludwig-Maximilians
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Anna Dall’Acqua Otto-von-Guericke
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André Fischer Center of Smart Inte
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Juliette Hell Freie Universität Be
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Felix Schulze Freie Universität Be
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Eleutherius Symeonidis Katholische
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Felix Schlenk Universität Neuchât
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Inhaltsverzeichnis - Mathematisches Institut der Universität zu Köln

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