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Details about Bertram Düring

E-mail:
Homepage:https://homepages.warwick.ac.uk/staff/Bertram.During/
Workplace:University of Warwick, Mathematics Institute

Access statistics for papers by Bertram Düring.

Last updated 2023-05-11. Update your information in the RePEc Author Service.

Short-id: pdr43


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Working Papers

2021

  1. A stylized model for wealth distribution
    Papers, arXiv.org Downloads
  2. Time-adaptive high-order compact finite difference schemes for option pricing in a family of stochastic volatility models
    Papers, arXiv.org Downloads

2020

  1. Continuum and thermodynamic limits for a simple random-exchange model
    Papers, arXiv.org Downloads
    See also Journal Article Continuum and thermodynamic limits for a simple random-exchange model, Stochastic Processes and their Applications, Elsevier (2022) Downloads View citations (1) (2022)

2019

  1. High-order compact finite difference scheme for option pricing in stochastic volatility jump models
    Papers, arXiv.org Downloads View citations (3)
  2. High-order compact finite difference scheme for option pricing in stochastic volatility with contemporaneous jump models
    Papers, arXiv.org Downloads View citations (1)

2018

  1. Kinetic models for optimal control of wealth inequalities
    Papers, arXiv.org Downloads View citations (11)
    See also Journal Article Kinetic models for optimal control of wealth inequalities, The European Physical Journal B: Condensed Matter and Complex Systems, Springer (2018) Downloads View citations (11) (2018)

2017

  1. Efficient hedging in Bates model using high-order compact finite differences
    Papers, arXiv.org Downloads

2016

  1. Essentially high-order compact schemes with application to stochastic volatility models on non-uniform grids
    Papers, arXiv.org Downloads
  2. Sparse grid high-order ADI scheme for option pricing in stochastic volatility models
    Papers, arXiv.org Downloads

2015

  1. High-order ADI scheme for option pricing in stochastic volatility models
    Papers, arXiv.org Downloads
  2. High-order compact schemes for Black-Scholes basket options
    Papers, arXiv.org Downloads

2014

  1. High-order compact finite difference scheme for option pricing in stochastic volatility models
    Papers, arXiv.org Downloads View citations (1)
  2. High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids
    Papers, arXiv.org Downloads View citations (10)

2008

  1. A Boltzmann-type approach to the formation of wealth distribution curves
    CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) Downloads View citations (6)
  2. Asset pricing under information with stochastic volatility
    CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) Downloads
    See also Journal Article Asset pricing under information with stochastic volatility, Review of Derivatives Research, Springer (2009) Downloads View citations (1) (2009)
  3. International and domestic trading and wealth distribution
    CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) Downloads View citations (11)
  4. Kinetic equations modelling wealth redistribution: A comparison of approaches
    CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) Downloads View citations (27)

2007

  1. Hydrodynamics from kinetic models of conservative economies
    CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) Downloads View citations (14)
    See also Journal Article Hydrodynamics from kinetic models of conservative economies, Physica A: Statistical Mechanics and its Applications, Elsevier (2007) Downloads View citations (14) (2007)

2006

  1. A sequential quadratic programming method for volatility estimation in option pricing
    CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) Downloads
    See also Journal Article Sequential Quadratic Programming Method for Volatility Estimation in Option Pricing, Journal of Optimization Theory and Applications, Springer (2008) Downloads (2008)

2004

  1. A Quasilinear Parabolic Equation with Quadratic Growth of the Gradient modeling Incomplete Financial Markets
    CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) Downloads
  2. Convergence of a high-order compact finite difference scheme for a nonlinear Black-Scholes equation
    CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) Downloads View citations (4)

2001

  1. High order compact finite difference schemes for a nonlinear Black-Scholes equation
    CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) Downloads
    See also Journal Article High Order Compact Finite Difference Schemes for a Nonlinear Black-Scholes Equation, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2003) Downloads View citations (3) (2003)

Journal Articles

2022

  1. Continuum and thermodynamic limits for a simple random-exchange model
    Stochastic Processes and their Applications, 2022, 149, (C), 248-277 Downloads View citations (1)
    See also Working Paper Continuum and thermodynamic limits for a simple random-exchange model, Papers (2020) Downloads (2020)

2018

  1. Kinetic models for optimal control of wealth inequalities
    The European Physical Journal B: Condensed Matter and Complex Systems, 2018, 91, (10), 1-12 Downloads View citations (11)
    See also Working Paper Kinetic models for optimal control of wealth inequalities, Papers (2018) Downloads View citations (11) (2018)

2009

  1. Asset pricing under information with stochastic volatility
    Review of Derivatives Research, 2009, 12, (2), 141-167 Downloads View citations (1)
    See also Working Paper Asset pricing under information with stochastic volatility, CoFE Discussion Papers (2008) Downloads (2008)

2008

  1. Sequential Quadratic Programming Method for Volatility Estimation in Option Pricing
    Journal of Optimization Theory and Applications, 2008, 139, (3), 515-540 Downloads
    See also Working Paper A sequential quadratic programming method for volatility estimation in option pricing, CoFE Discussion Papers (2006) Downloads (2006)

2007

  1. Hydrodynamics from kinetic models of conservative economies
    Physica A: Statistical Mechanics and its Applications, 2007, 384, (2), 493-506 Downloads View citations (14)
    See also Working Paper Hydrodynamics from kinetic models of conservative economies, CoFE Discussion Papers (2007) Downloads View citations (14) (2007)

2005

  1. Option Prices Under Generalized Pricing Kernels
    Review of Derivatives Research, 2005, 8, (2), 97-123 Downloads View citations (1)

2003

  1. High Order Compact Finite Difference Schemes for a Nonlinear Black-Scholes Equation
    International Journal of Theoretical and Applied Finance (IJTAF), 2003, 06, (07), 767-789 Downloads View citations (3)
    See also Working Paper High order compact finite difference schemes for a nonlinear Black-Scholes equation, CoFE Discussion Papers (2001) Downloads (2001)
 
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