American option pricing with an adaptive penalization strategy using the sparse grid combination technique combined with the Parareal-algorithm

My name is Anna Clevenhaus and I am a second year Phd-Student in the Applied Mathematics and Numerical Simulation (AMNA) group of the University of Wuppertal. My interest in numerical simulations and analysis started during my bachelor degree when I studied mathematics and chemistry. Afterwards I started with the international […]

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ITWM Researcher Stefanie Schwaar Establishes New Research Group for Artificial Intelligence

Dr. Stefanie Schwaar from the Fraunhofer Institute for Industrial Mathematics ITWM won the BMBF’s call for tenders for funding among young female AI researchers. She will establish and head her own research group at the mathematical institute from August 2020. Under the title “EP-KI: Decision Support for Business Management Processes […]

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Numerical Solution of SDEs on Matrix Lie Groups with Financial Applications

My name is Michelle Muniz and I am a second year PhD student at the Bergische Universität Wuppertal (BUW), where I have also received both my Bachelor’s and Master’s degree in mathematics. In my Bachelor’s and Master’s thesis I worked on geometric numerical methods for matrix ordinary differential equations (ODEs) […]

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GPU Computing and Machine Learning for solving high-dimensional BSDEs

My name is Lorenc Kapllani, I come from Albania. Currently, I’m following my first year of the PhD program in University of Wuppertal, group of Applied Mathematics and Numerical Analysis (AMNA). I completed the bachelor’s degree in Engineering Mathematics at the Polytechnic University of Tirana (Albania). My bachelor thesis was […]

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German-Slovakian Project MATTHIAS on Hamilton-Jacobi-Bellman Equations in Finance

  Bilateral German-Slovakian Project MATTHIAS – Modelling and Approximation Tools and Techniques for Hamilton-Jacobi-Bellman equations in finance and Innovative Approach to their Solution financed by DAAD and the Slovakian Ministry of Education (01/2020 – 12/2021) Scientific goals The project deals with qualitative and numerical analysis of nonlinear partial differential equations […]

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