S. Desmettre, R. Korn (2018) Moderne Finanzmathematik - Theorie und praktische Anwendung, Band II. Springer Spektrum. [doi]
FPGA Based Accelerators for Financial Applications, C. De Schryver, editor. Springer International Publishing, July, 2015. [doi]
Journal Papers
K. Losch, S. Schuff, F. Balle, T. Beck, C. Redenbach (2018): A Stochastic Microstructure Model for Particle Reinforced Aluminium Matrix Composites, Journal of Microscopy (accepted)
L. Schlachter, F. Schneider (2018): A hyperbolicity-preserving stochastic Galerkin approximation for uncertain hyperbolic systems of equations, Journal of Computational Physics 375,80-98.[doi]
S. Desmettre, S. Grün, R. Korn (2018): Portfolio Optimization with Early Announced Discrete Dividends, Operations Research Letters 46, 548-552. [doi]
S. Desmettre, S. Grün, R. Korn (2018): Can outstanding Dividend Payments be estimated by American Options?, Quantitative Finance 18(9), 1437-1446. [doi]
S. Coskun, R. Korn, S. Desmettre (2018): Application of the Heath-Platen Estimator in the Fong.Vasicek Short Rate Model, Journal of Computational Finance, to appear
A. Weber, H.-J. Bart, A. Klar (2017): Simulating Spiraling Bubble Movement in the EL Approach, Open Journal of Fluid Dynamics 07 (03), 288-309. [doi]
A. Weber, H.-J. Bart (2018): Flow Simulation in a 2D Bubble Column with the Euler-Lagrange and Euler-Euler Method, Open Chem. Eng. J. 12, 1-13. [doi]
M. B. Giles, M. Hefter, L. Mayer, K. Ritter (2018): Random Bit Quadrature and Approximation of Distributions on Hilbert Spaces, Foundations of Computational Mathematics, 1-34. [doi]
S. Coskun, R. Korn (2018) Pricing Barrier Options in the Heston Model using the Heath-Platen Estimator, Monte Carlo Methods and Application. [doi]
I. Vecchio, C. Redenbach, K. Schladitz, A.M. Kraynik, Improved Models of Solid Foams Based on Soap Froth.Computational Materials Science120, 60-69.
J.H. Fitschen and J. Ma and S. Schuff (2017): Removal of Curtaining Effects by a Variational Model with Directional First and Second Order Differences. Computer Vision and Image Understanding. 115, 24-32. [doi]
S. Desmettre, S. Grün, F.T. Seifried (2016): Estimating Discrete Dividens by No-Arbitrage, accepted for publication in Quantitative Finance.
P. Easwaran, M. J. Lehmann, O. Wirjadi, T. Prill, S. Didas, C. Redenbach (2016). Automatic Fiber Thickness Measurement in SEM Images Validated Using Synthetic Data. Chemical Engineering & Technology. 39, (3), 395-402. [www]
J.H. Fitschen and F. Laus and G. Steidl (2016): Transport between RGB Images Motivated by Dynamic Optimal Transport.Journal of Mathematical Imaging and Vision. 56, (3), 409-429. [www]
S. Desmettre, F.T. Seifried (2016): Optimal Asset Allocation with Fixed-Term Securities, Journal of Economic Dynamics and Control, Volume 66, Pages 1-19.
S. Desmettre, R. Korn, J. Varela, and N. Wehn (2016): Nested MC-Based Risk Measurement of Complex Portfolios: Acceleration and Energy Efficiency, Risks, Volume 4, no. 4, Pages 36, 2016. [www]
R. Bergmann, J.H. Fitschen, J. Persch, G. Steidl (2016): Iterative Multiplicative Filters for Data Labeling. International Journal of Computer Vision[www][doi]
R. Borsche, A. Klar, A. Meurer, O. Tse (2016): Mean field models for interacting ellipsoidal particles, Computers & Mathematics with Applications. An International Journal, Volume 72, Pages 704-719. [doi]
T. Rajala, C. Redenbach, A. Särkkä, M. Sormani, Variational Bayes Approach for Classification of Points in Superpositions of Point Processes. Spatial Statistics 15, 85-99, 2016. [www]
T. A. Rajala, A. Särkkä, C. Redenbach, M. Sormani, Estimating Geometric Anisotropy in Spatial Patterns, Spatial Statistics. [www]
C. Redenbach, A. Särkkä, M. Sormani, Classification of Points in Superpositions of Strauss and Poisson Processes, Spatial Statistics 12, pp. 81-95, 2015.
H. Berek, U. Ballaschk, C.G. Aneziris, K. Losch, K. Schladitz, The Correlation of Local Deformation and Stress-Assisted Local Phase Transformations in MMC Foams, Materials Characterization, Volume 107, 2015, Pages 139-148.
R. Bergmann, R. H. Chan, R. Hielscher, J. Persch, G.Steidl (2015): Restoration of Manifold-Valued Images by Half-Quadratic Minimization.Inverse Problems and Imaging.10, (2), 281-304.
R. Borsche, R.M. Colombo, M. Garavello, A. Meurer (2015): Differential Equations Modeling Crowd Interactions.Journal of Nonlinear Science. Vol. 25(2), 1-33. [www][doi]
C. Brugger, C. De Schryver, G. Liu, N. Wehn. (2015): Precision-Tuning and Hybrid Pricer for Closed-Form Solution based Heston Calibration. Journal of Concurrency and Computation: Practice and Experience (JCCPE), Wiley. [doi]
X. Cai, J.H. Fitschen, M. Nikolova, G. Steidl and M. Storath (2014): Disparity and Optical Flow Partitioning Using Extended Potts Priors. IMA Journal of Information and Inference.Vol. 4(1), 43-62. [www][doi]
Conference Proceedings
J. Varela, N. Wehn, S. Desmettre and R. Korn (2017): Real-Time Financial Risk Measurement of Dynamic Complex Portfolios with Python and PyOpenCL,Proceedings of the 7th Workshop on Python for High-Performance and Scientific Computing (PyHPC 2017), November 201, Denver CO, USA [doi]
R. Bergmann and J. H. Fitschen and J. Persch and G. Steidl (2017). Infimal Convolution Type Coupling of First and Second Order Differences on Manifold-Valued Images. Accepted for Scale Space and Variational Methods in Computer Vision 2017.
J. H. Fitschen and F. J. Laus and B. Schmitzer (2017). Generalized Optimal Transport for Manifold-Valued Images. Accepted for Scale Space and Variational Methods in Computer Vision 2017.
J. Varela, N. Wehn (2017): Near Real-Time Risk Simulation of Complex Portfolios on Heterogeneous Computing Systems with OpenCL, Proceedings of the 5th International Workshop on OpenCL (IWOCL 2017), May 2017, Toronto, Canada.
J. Varela, N. Wehn, Q. Liang, S. Tang (2017): Exploiting Decoupled OpenCL Work-Items with Data Dependencies on FPGAs: A Case Study, Proceedings of the 2017 IEEE International Parallel and Distributed Processing Symposium Workshops (IPDPSW)(RAW2017), May-June 2017, Orlando, USA.
P. Easwaran, F. Hahn, M. J. Lehmann, C. Redenbach, K. Schladitz (2016). Representative domain size study on simulated 3D fiber systems.Proceedings of FILTECH. Filtech Exhibitions Germany: Cologne
F. Balle, D. Eifler, J.H. Fitschen, S. Schuff, G.Steidl (2015): Computation and Visualization of Local Deformation for Multiphase Metallic Materials by Infirmal Convolution of TV-type Functionals.Scale Space and Variational Methods in Computer Vision. Aujol, Jean-François and Nikolova, Mila and Papadakis, Nicolas (eds.) Lecture Notes in Computer Science. 9087, 385-396. [www][doi]
J.H. Fitschen, M. Nikolova, F. Pierre, G. Steidl (2015): A Variational Model for Color Assignment.Scale Space and Variational Methods in Computer Vision. Aujol, Jean-François and Nikolova, Mila and Papadakis, Nicolas (eds.) Lecture Notes in Computer Science. 9087, 437-448.[www][doi]
J.H. Fitschen, F. Laus and G. Steidl (2015): Dynamic Optimal Transport with Mixed Boundary Condition for Color Image Processing. International Conference on Sampling Theory and Applications (SampTA), 2015. 558-562. [www]
J. Varela, C. Brugger, C. De Schryver, N. Wehn, S. Tang, S. Omland (2015): Exploiting the Brownian Bridge Technique to improve Longstaff-Schwartz American Option Pricing on FPGA Systems, Proceedings of the 2015 International Conference on Reconfigurable Computing and FPGAs (ReConFig 2015), December, 2015, Cancun, Mexico.
J. Varela, C. Kestel, C. De Schryver, N. Wehn, S. Desmettre, R. Korn (2015): Optimization Strategies for Portable Code for Monte Carlo-Based Value-at-Risk Systems, Proceedings of the Eight Workshop on High Performance Computational Finance (WHPCF '15), November, 2015, Austin, USA.
P. Easwaran, M. J. Lehmann, O. Wirjadi, T. Prill, S. Didas, C. Redenbach (2015): Automatic Fiber Thickness Measurement in SEM Images Validated Using Synthetic Data. Proceedings of FILTECH. Filtech Exhibitions Germany: Cologne
S. Desmettre, P. Ruckdeschel, B. Spangl (2015): Statistical Models for Dynamics in Extreme Value Processes, Proceedings of the 30th International Workshop on Statistical Modelling. Linz, Austria, 6-10 July 2015
P. Easwaran, C. Redenbach, K. Schladitz & O. Wirjadi: Stochastic Modeling of 3D fibre Systems with Fibre Bundles and Parameter Estimation From CT Image Data. Proceedings of the 14th International Congress for Stereology and Image Analysis, 6-10 July 2015, Liège (Belgium).
C. Brugger, J. Varela, N. Wehn, S. Tang and R. Korn (2015): Reverse Longstaff-Schwartz American Option Pricing on Hybrid CPU/FPGA Systems.IEEE Conference Design, Automation and Test in Europe (DATE). Grenoble, France.
C. Brugger, L. Gongda, C. De Schryver, N. Wehn(2014): A Systematic Methodology for Analyzing Closed Form Heston Pricer Regarding their Accuracy and Runtime. Proceedings of the 7th Workshop on High Performence Computational Finance. New Orleans, USA. [doi]
C. Brugger, C. De Schryver and N. Wehn,(2014): HyPER: A Runtime Reconfigurable Architecture for Monte Carlo Option Pricing in the Heston Model. IEEE Field Programmable Logic and Applications (FPL) 2014. Munich, Germany. [doi]
Book Chapters
C. Brugger, C. De Schryver, N. Wehn (2015): Bringing Flexibility to FPGA Based Pricing Systems.FPGA Based Accelerattors for Financial Applications, Springer.
S. Desmettre, R. Korn (2014):10 Computational Challenges in Finance. FPGA Based Accelerators for Financial Applications, Springer.
G. Liu, C. Brugger, C. De Schryver, N. Wehn (2015). Accelerating Closed-Form Heston Pricers for Calibration. FPGA Based Accelerators for Financial Applications, 221, Springer.
S. Omland, M. Hefter, K. Ritter, C. Brugger, C. De Schryver, N. Wehn & A. Kostiuk (2015). Exploiting Mixed-Precision Arithmetics in a Multilevel Monte Carlo Approach on FPGAs. FPGA Based Accelerators for Financial Applications, 191, Springer.
J.A. Varela, C. Brugger, S. Tang, N. Wehn & R. Korn (2015). Pricing High-Dimensional American Options on Hybrid CPU/FPGA Systems. FPGA Based Accelerators for Financial Applications, 143, Springer.
Preprint Series
2018/05: N. Bäuerle, S. Desmettre. Portfolio Optimization in Fractional and Rough Heston Models.http://arxiv.org/abs/1809.10716
2018/06: C. Laudagé, S. Desmettre, J. Wenzel. Severity Modeling of Extreme Insurance Claims for Tariffication. https://ssrn.com/abstract=3168441
2018/04: S. Desmettre. Change of Measure in the Heston Model given a violated Feller Condition. http://arxiv.org/abs/1809.10955
2018/03: M.B. Giles, M. Hefter, L, Mayer, K. Ritter. Random Bit Multilevel Algorithms for Stochastic Differential Equations. ArXiv Preprint 1808.10623.
2018/02: S. Desmettre, S. Grün, R. Korn. PORTFOLIO OPTIMIZATION WITH EARLY ANNOUNCED DISCRETE DIVIDENDS.
2018/01: J. Varela, N. Wehn. Running Financial Risk Management Applications on FPGA in the Amazon Cloud, Whitepaper, January 2018.
2017/13: L. Schlachter, F. Schneider. A hyperbolicity-preserving stochastic Galerkin approximation for uncertain hyperbolic systems of equations. ArXiv Preprint 1710.03587.
2017/12: J. A. Varela, N. Wehn, S. Desmettre, R. Korn. Real-Time Financial Risk Measurement of Dynamic Complex Portfolios with Python and PyOpenCL
2017/10: S. Coskun, R. Korn, S. Desmettre. Applications of the Heath-Platen Estimator in the Fong-Vasicek Short Rate Model
2017/09: T. H. Loeber, B. Laegel, S. Wolff, S. Schuff, F. Balle, T. Beck, D. Eifler, J. H. Fitschen, G. Steidl. Reducing curtaining effects in FIB/SEM applications by a goniometer stage and an image processing method
2017/07: M. B. Giles, T. Nagapetyan, K. Ritter. Adaptive Multilevel Monte Carlo Approximation of Distribution Functions
2017/06: S. Desmettre, S. Grün, R. Korn. Can outstanding dividend payments be estimated by american options?
2017/05: J. A. Varela, N. Wehn, Q. Liang, S. Tang. Exploiting Decoupled OpenCL Work-Items with Data Dependencies on FPGAs: A Case Study
2017/04: J. A. Varela, N. Wehn. Near Real-Time Risk Simulation of Complex Portfolios on Heterogeneous Computing Systems with OpenCL
2017/03: J. H. Fitschen, K. Losch, G. Steidl. Unsupervised Multi Class Segmentation of 3D Images with Intensity Inhomogeneities.
2017/02: F. Balle, R. Beck, D. Eifler, J. H. Fitschen, S. Schuff, G. Steidl. Strain Analysis by a Total Generalized Variation Regularized Optical Flow Model.
2017/01: S. Desmettre, J. de Kock, P. Ruckdeschel, F. T. Seifried. Generalized Pareto Processes and Liquidity
2016/11: A. Meurer, A. Weber, H.-J. Bart, A. Klar. Experimental Validation of a Microscopic Ellipsoidal Particle Model Immersed in Fluid flow.
2016/10: J. H. Fitschen, F. Laus, B. Schmitzer. Optimal Transport for Manifold-Valued Images.
2016/09: R. Bergmann, J. H. Fitschen, J. Persch, G. Steidl. Infimal Convolution Coupling of First and Second Order Differences on Manifold Valued Images.
2016/08: O. Wirjadi, K. Schladitz, P. Easwaran, J. Ohser. Estimating fiber direction distributions of reinforced composites from tomographic images.
2016/07: B. Spangl, S. Desmettre, P. Ruckdeschel. Statistical models for dynamics in extreme value processes.
2016/06: R. Bergmann, J. H. Fitschen, J. Persch, G. Steidl. Iterative Multiplicative Filters for Data Labeling.
2016/05: S. Desmettre, R. Korn, J. A. Varela, N. Wehn. Nested MC-Based VaR Computation of Complex Portfolios: Accleration and Energy Efficiency.
2016/04: A. Meurer and A. Weber and H.J. Bart and A. Klar. Experimental Validation of a Microscopic Ellipsoidal Particle Model Immersed in Fluid Flow.
2016/03: I. Vecchio, C. Redenbach, K. Schladitz, A. M. Kraynik. Improved Models of solid foams based on soap froth.
2016/02: J. H. Fitschen, F. Laus, G. Steidl. Transport between RGB Images Motivated by Dynamic Optimal Transport .
2016/01: J. H. Fitschen, J. Ma, S. Schiff. Removal of Curtaining Effects by a Variational Model with Directional Forward Differences.
2015/15: J. A. Varela, C. Brugger, C. De Schryver, N. Wehn, S. Tang, S. Omland. Exploiting the Brownian Bridge Technique to improve Longstaff-Schwartz American Option Pricing on FPGA Systems.
2015/14: R. Borsche, A. Klar, A. Meurer, O. Tse. Mean Field Models For Interacting Ellipsoidal Particles.
2015/13: J. A. Varela, C. Kestel, C. De Schryver, N. Wehn, S. Desmettre, R. Korn. Optimization Strategies for Portable Code for Monte Carlo-Based Value-at-Risk Systems.
2015/12: R. Bergmann, R. H Chang, R. Hielscher, J. Persch, G. Steidl. Restoration of Manifold-Valued Images by Half-Quadratic Minimization.
2015/11:R. Rajala, C. Redenbach, A. Särkää, M. Sormani. Variational Bayes Approach for Classification of Points in Superpositions of Point Processes.
2015/10: J. H. Fitschen, F. Laus, G. Steidl. Dynamic Optimal Transport with Mixed Boundary Conditions for Color Image Processing.
2015/09: P. Easwaran, M. J. Lehmann, O. Wirjadi, T. Prill, S. Didas, C. Redenbach. Automatic fiber thickness measurement in sem images validated using synthetic data.
2015/08: R. A. Rajala, A. Särkää, C. Redenbach, M. Sormani. Estimating geometric anisotropy in spatial point patterns.
2015/07: B. Spangl, S. Desmettre, P. Ruckdeschel. Statistical Models for dynamics in extreme value processes.
2015/06: S. Desmettre, S. Grün, F. T. Seifried. Forecasting Discrete Dividends by no Arbitrage
2015/05: C. Redenbach, A. Särkää, M. Sormani. Classification of Points in Superpositions of Strauss and Poison Processes.
2015/04: S. Desmettre, F. T. Seifried. Optimal Investment with Illiquid Assets.
2015/03: C. Brugger, J.A. Varela, N. Wehn, S. Tang, R. Korn. Reverse Longstaff- Schwartz American Option Pricing on hybrid CPU/FPGA Systems.
2015/02: G. Steidl. Combined First and Second Order Variational Approaches for Image Processing.
2015/01: H. Bereck, U. Ballaschk, C. G. Aneziris, K. Losch, K. Schladitz. The Correlation of local deformation and stress-assisted local phase transformations in MMC Foams
2014/07: J. H. Fitschen, M. Nikolova, F. Pierre, G. Steidl. A Variational Model for Color Assignment
2014/06: C. Brugger, G. Liu, C. de Schryver, N. Wehn. Precision-Tuning and Hybrid Pricer for Closed-Form Solution based Heston Calibration
2014/05: F. Balle, D. Eifler, J. H. Fitschen, S. Schuff, G. Steidl. Computation and Visualization of Local Deformation for Multiphase Metallic Materials by Infimal Convolution of TV-type Functionals
2014/04: C. Brugger, G. Liu, C. de Schryver, N. Wehn. A systematic Methodology for Analyzing Closed-Form Heston Pricer regarding their Accuracy and Runtime
2014/03: C. Brugger, C. de Schryver, N. Wehn. HyPER: A Runtime Reconfigurable Architecture for Monte Carlo Option Pricing in the Heston Model
2014/02: R. Borsche, R. M. Colombo, M. Garavello, Anne Meurer. Differential Equations Modeling Crowd Interactions
2014/01: X. Cai, J. H. Fitschen, M. Nikolova, M. Storath. Disparity and Optical Flow Partitioning Using Extended Potts Priors
