DFG-Graduiertenkolleg 1932

Publikationen

im Rahmen des GrK 1932


Books

  • 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 Science 120, 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 & Technology39, (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 SecuritiesJournal 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 particlesComputers & 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 Conditionhttp://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.
  • 2015/03C. 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
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