The bilateral research project MACFIRE (Mathematical Analysis and Computational Finance: Innovation, Research, Exchange) is a collaborative initiative uniting the University of Wuppertal (Germany) and Comenius University in Bratislava (Slovakia). Financed jointly by the DAAD (German Academic Exchange Service) and the Slovakian Ministry of Education, the project runs from January 2026 through December 2027.
MACFIRE addresses fundamental and applied challenges in computational finance by rigorously studying advanced mathematical models and numerical methods. The project primarily focuses on:
- Partial Differential Equations (PDEs): Examining Hamilton-Jacobi-Bellman (HJB) equations, obstacle problems for American-style options, and pricing models under jump processes or Lévy dynamics.
- Forward-Backwards Stochastic Differential Equations (FBSDEs): Investigating complex structures that naturally emerge in portfolio optimization, derivative pricing, and financial risk management.
By leveraging the complementary strengths of the German team (specialized in numerical analysis) and the Slovakian team (specialized in stochastic modeling), MACFIRE emphasizes young researcher involvement through structured exchange visits, co-supervised theses, and joint seminars.
- German Team Leaders & Members: Prof. Dr. Matthias Ehrhardt (Leader), Prof. Dr. Michael Günther, Dr. Julia Ackermann, Daniel Cezar, Dr. Anna Clevenhaus, Ludrila Ingrid Kouam Tuedem, Karel Nana Kemajou, Viet Ninh Nguyen, and PD Dr. Long Teng (Department of Mathematics and Informatics, Faculty of Mathematics and Natural Sciences, University of Wuppertal).
- Slovakian Team Leaders & Members: Dr. Tatiana Kossaczká, PhD. (Leader), Prof. RNDr. Daniel Ševčovič, DrSc., Neda Bagheri Renani, Bernadett Bertóková, Jakub Hrdina, Anna Hlubinová, Prof. RNDr. Igor Melicherčík, Pál Somogyi, Dr. Beáta Stehlíková, and Prof. RNDr. Mária Trnovská (Division of Applied Mathematics, Faculty of Mathematics, Physics and Informatics, Comenius University Bratislava).
Spotlight: The 2nd Joint Bratislava-Wuppertal MACFIRE Workshop
As part of the project’s ongoing academic exchanges, the 2nd Joint Bratislava-Wuppertal MACFIRE Workshop on Mathematical Analysis and Computational Finance took place on Tuesday, September 22, 2026, hosted at Comenius University in Bratislava.
The scientific program showcased a diverse range of cutting-edge topics presented by researchers from both universities:
- Bernadett Bertóková (Comenius University Bratislava)
Measuring DEA Accuracy under Alternative Definitions of Technical Efficiency - Viet Ninh Nguyen (Bergische Universität Wuppertal)
Forward-Backwards Stochastic Neural Networks: Deep Learning of High-dimensional Partial Differential Equations in TensorFlow 2 - Ingrid Kouam (Bergische Universität Wuppertal)
Backward stochastic differential equations with singular terminal conditions and application to constrained optimal liquidation problems - Petr Petrov (Bergische Universität Wuppertal)
Multidimensional Riccati BSDEs with singular terminal condition and stochastic LQ control with terminal constraint - — Lunch Break —
- Karel Nana (Bergische Universität Wuppertal)
Optimal Strategies and Rolling Intrinsic Approaches for Battery Storage Trading in Intraday Electricity Markets: A Comparative Analysis - Beáta Stehlíková (Comenius University Bratislava)
Archetypal analysis - Pál Somogyi (Comenius University Bratislava)
Optimising Multi-Response Experimental Designs - Discussion & Collaborative Outlook
Recent Project Publications (2026)
Collaboration under the MACFIRE framework and related initiatives continues to produce high-impact scientific output. Notable recent publications include:
- A. Clevenhaus, C. Totzeck, and M. Ehrhardt, A Numerical Study of the Impact of Variance Boundary Conditions for the Heston Model, in K. Burnecki, J. Szwabiński, and M. Teuerle (eds.), Progress in Industrial Mathematics at ECMI 2023, Springer, 2026, pp. 19–25. DOI: 10.1007/978-3-032-20404-2_3.
- T. Kossaczká, M. Ehrhardt, and M. Günther, Deep Finite Difference Method for Solving Asian Option Pricing Problems, in K. Burnecki, J. Szwabiński, and M. Teuerle (eds.), Progress in Industrial Mathematics at ECMI 2023, Springer, 2026, pp. 417–423. DOI: 10.1007/978-3-032-20404-2_39.
- M. Ehrhardt, M. Günther, and D. Sevcovic, Structure-Preserving Coupling and Decoupling of Port-Hamiltonian Systems, Applied Mathematics Letters, Vol. 177 (June 2026), 109894. DOI: 10.1016/j.aml.2026.109894.
- N. Bagheri and D. Ševčovič, Finite Element Solution of the Two-Dimensional Bates Model for Option Pricing Under Stochastic Volatility and Jumps, New Trends in the Applications of Differential Equations in Sciences 2025 (Bulgaria), Springer, pp. 325–336. DOI: 10.1007/978-3-032-17071-2.
- D. Ševčovič and C. Izuchukwu Udeani, Learning the solution operator of HJB equation arising from portfolio management using deep learning, Progress in Industrial Mathematics at ECMI 2023, pp. 47–53. DOI: 10.1007/978-3-032-20404-2.
- N. Bagheri, M. Jaefarzadeh, and D. Ševčovič, Efficiency and Convergence Insights in Large-Scale Optimization Using the Improved Inexact-Newton-Smart Algorithm and Interior-Point Framework, Mathematics, 13(22) (2025), 3657. DOI: 10.3390/math13223657.
Stay tuned to the ECMI blog for more updates on how industrial mathematics bridges theoretical rigor with real-world financial solutions!