4 citations · 4 across the 1 of their papers we have counts for
5 papers
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…
Localized KBO with genetic dynamics for multi-modal optimization
Federica Ferrarese, Claudia Totzeck
In this paper, we introduce a novel approach to multi-modal optimization by enhancing the recently developed kinetic-based optimization (KBO) method with genetic dynamics (GKBO). T…
Time-continuous microscopic pedestrian models: an overview
Raphael Korbmacher, Alexandre Nicolas, Antoine Tordeux +1
We give an overview of time-continuous pedestrian models with a focus on data-driven modelling. Starting from pioneer, reactive force-based models we move forward to modern, active…
Modeling Minimum Cost Network Flows With Port-Hamiltonian Systems
Onur Tanil Doganay, Kathrin Klamroth, Bruno Lang +2
We give a short overview of advantages and drawbacks of the classical formulation of minimum cost network flow problems and solution techniques, to motivate a reformulation of clas…
Controlling a self-organizing system of individuals guided by a few external agents -- particle description and mean-field limit
Martin Burger, René Pinnau, Andreas Roth +2
Optimal control of large particle systems with collective dynamics by few agents is a subject of high practical importance (e.g. in evacuation dynamics), but still limited mathemat…