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math.NA2025
A Spectral Split-Step Padé Method for Guided Wave Propagation
Daniel Walsken, Pavel Petrov, Matthias Ehrhardt
In this study, a Fourier-based, split-step Padé (SSP) method for solving the parabolic wave equation with applications in guided wave propagation in ocean acoustics is presented. T…
math.NA2025
A Space Mapping approach for the calibration of financial models with the application to the Heston model
Anna Clevenhaus, Claudia Totzeck, Matthias Ehrhardt
We present a novel approach for parameter calibration of the Heston model for pricing an Asian put option, namely space mapping. Since few parameters of the Heston model can be dir…