Details about Bertram Düring
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
- A stylized model for wealth distribution
Papers, arXiv.org
- Time-adaptive high-order compact finite difference schemes for option pricing in a family of stochastic volatility models
Papers, arXiv.org
2020
- Continuum and thermodynamic limits for a simple random-exchange model
Papers, arXiv.org 
See also Journal Article Continuum and thermodynamic limits for a simple random-exchange model, Stochastic Processes and their Applications, Elsevier (2022) View citations (1) (2022)
2019
- High-order compact finite difference scheme for option pricing in stochastic volatility jump models
Papers, arXiv.org View citations (3)
- High-order compact finite difference scheme for option pricing in stochastic volatility with contemporaneous jump models
Papers, arXiv.org View citations (1)
2018
- Kinetic models for optimal control of wealth inequalities
Papers, arXiv.org 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) View citations (11) (2018)
2017
- Efficient hedging in Bates model using high-order compact finite differences
Papers, arXiv.org
2016
- Essentially high-order compact schemes with application to stochastic volatility models on non-uniform grids
Papers, arXiv.org
- Sparse grid high-order ADI scheme for option pricing in stochastic volatility models
Papers, arXiv.org
2015
- High-order ADI scheme for option pricing in stochastic volatility models
Papers, arXiv.org
- High-order compact schemes for Black-Scholes basket options
Papers, arXiv.org
2014
- High-order compact finite difference scheme for option pricing in stochastic volatility models
Papers, arXiv.org View citations (1)
- High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids
Papers, arXiv.org View citations (10)
2008
- A Boltzmann-type approach to the formation of wealth distribution curves
CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) View citations (6)
- Asset pricing under information with stochastic volatility
CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) 
See also Journal Article Asset pricing under information with stochastic volatility, Review of Derivatives Research, Springer (2009) View citations (1) (2009)
- International and domestic trading and wealth distribution
CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) View citations (11)
- Kinetic equations modelling wealth redistribution: A comparison of approaches
CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) View citations (27)
2007
- Hydrodynamics from kinetic models of conservative economies
CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) View citations (14)
See also Journal Article Hydrodynamics from kinetic models of conservative economies, Physica A: Statistical Mechanics and its Applications, Elsevier (2007) View citations (14) (2007)
2006
- A sequential quadratic programming method for volatility estimation in option pricing
CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) 
See also Journal Article Sequential Quadratic Programming Method for Volatility Estimation in Option Pricing, Journal of Optimization Theory and Applications, Springer (2008) (2008)
2004
- 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)
- 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) View citations (4)
2001
- High order compact finite difference schemes for a nonlinear Black-Scholes equation
CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) 
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) View citations (3) (2003)
Journal Articles
2022
- Continuum and thermodynamic limits for a simple random-exchange model
Stochastic Processes and their Applications, 2022, 149, (C), 248-277 View citations (1)
See also Working Paper Continuum and thermodynamic limits for a simple random-exchange model, Papers (2020) (2020)
2018
- Kinetic models for optimal control of wealth inequalities
The European Physical Journal B: Condensed Matter and Complex Systems, 2018, 91, (10), 1-12 View citations (11)
See also Working Paper Kinetic models for optimal control of wealth inequalities, Papers (2018) View citations (11) (2018)
2009
- Asset pricing under information with stochastic volatility
Review of Derivatives Research, 2009, 12, (2), 141-167 View citations (1)
See also Working Paper Asset pricing under information with stochastic volatility, CoFE Discussion Papers (2008) (2008)
2008
- Sequential Quadratic Programming Method for Volatility Estimation in Option Pricing
Journal of Optimization Theory and Applications, 2008, 139, (3), 515-540 
See also Working Paper A sequential quadratic programming method for volatility estimation in option pricing, CoFE Discussion Papers (2006) (2006)
2007
- Hydrodynamics from kinetic models of conservative economies
Physica A: Statistical Mechanics and its Applications, 2007, 384, (2), 493-506 View citations (14)
See also Working Paper Hydrodynamics from kinetic models of conservative economies, CoFE Discussion Papers (2007) View citations (14) (2007)
2005
- Option Prices Under Generalized Pricing Kernels
Review of Derivatives Research, 2005, 8, (2), 97-123 View citations (1)
2003
- 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 View citations (3)
See also Working Paper High order compact finite difference schemes for a nonlinear Black-Scholes equation, CoFE Discussion Papers (2001) (2001)
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