Details about Bertram Düring

Access statistics for papers by Bertram Düring.

Last updated 2025-04-07. Update your information in the RePEc Author Service.

Short-id: pdr43

Working Papers

2021

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

2020

3. 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

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

2018

6. 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

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

2016

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

2015

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

2014

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

2008

14. 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)
15. 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)
16. International and domestic trading and wealth distribution
    CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) View citations (11)
17. 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

18. 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

19. 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

20. 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)
21. 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

22. 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

1. 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

2. 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

3. 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

4. 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

5. 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

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

2003

7. 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)