Student Projects in Data Analytics for Industries at IMACM / University of Wuppertal

During this winter term, 23 undergrad students of mathematics and economath make a special experience. In teams with up to fife students, they are invited to regional industry facilities where they are confronted with a data analytics task derived from a concrete industrial need. The industrial partners stem from markets […]

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Successful outcomes of ITN STRIKE

In Dec 2016 the European Initial Training Network project “STRIKE – Novel Methods in Computational Finance” did end. The Bergische Universität Wuppertal, Germany, coordinated this project that involved a network of eleven universities for training twelve PhD-students (4 females, 8 males) and five PostDocs (2 females, 3 males). The project […]

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Co-simulation & UQ within the SIMUROM project

In many applications, coupled problems appear very naturally. For example, Fig.1 depicts a field/circuit problem, where a transformer can be modeled by a partial differential equation (PDE) and an electric circuit subsystem, which can be modeled by differential algebraic equations (DAEs). The coupled system is a PDAE [5]. A semi-discretization […]

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High order ADI schemes for option pricing problems

In financial engineering the pricing of options and derivatives is a major field of interest. The behavior of assets is in general described via stochastic differential equations (SDEs). With the help of the Ito formula options prices can be shown to be solutions of parabolic partial differential equations (PDEs). Especially if option prices are […]

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Model Order Reduction in Option Pricing

My name is José Pedro Silva and I am a PhD-Student at the Applied Mathematics and Numerical Analysis Group at the University of Wuppertal together with an Early-Stage Researcher position in the ITN-Strike project. My PhD topic orbits around the use of Model Order Reduction in financial markets, with focus […]

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