5 papers
Voter demographics and socio-economic factors in kinetic models for opinion formation
Bertram Düring, Oliver Wright
Voter demographics and socio-economic factors like age, sex, ethnicity, education level, income, and other measurable factors like behaviour in previous elections or referenda are…
High-order compact finite difference scheme for option pricing in stochastic volatility with contemporaneous jump models
Bertram Düring, Alexander Pitkin
We extend the scheme developed in B. Düring, A. Pitkin, "High-order compact finite difference scheme for option pricing in stochastic volatility jump models", 2019, to the so-calle…
Efficient hedging in Bates model using high-order compact finite differences
Bertram Düring, Alexander Pitkin
We evaluate the hedging performance of a high-order compact finite difference scheme from [4] for option pricing in Bates model. We compare the scheme's hedging performance to stan…
Sparse grid high-order ADI scheme for option pricing in stochastic volatility models
Bertram Düring, Christian Hendricks, James Miles
We present a sparse grid high-order alternating direction implicit (ADI) scheme for option pricing in stochastic volatility models. The scheme is second-order in time and fourth-or…
Essentially high-order compact schemes with application to stochastic volatility models on non-uniform grids
Bertram Düring, Christof Heuer
We present high-order compact schemes for a linear second-order parabolic partial differential equation (PDE) with mixed second-order derivative terms in two spatial dimensions. Th…