Gabriel Wittum

Goethe Center for Scientific Computing

Prof. Dr.

Grüneburgplatz 1

Frankfurt am Main, 60323

Germany

SCHOLARLY PAPERS

2

DOWNLOADS

152

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (2)

1.

Efficient Parallel Solution Methods for High-Dimensional Option Pricing Problems

Number of pages: 21 Posted: 07 Apr 2015 Last Revised: 09 Sep 2017
Peter Schober, Philipp Schröder and Gabriel Wittum
Goethe University Frankfurt - Department of Finance, Goethe Center for Scientific Computing and Goethe Center for Scientific Computing
Downloads 106 (275,702)

Abstract:

Loading...

ANOVA Decomposition, High Performance Computing, Option Pricing, Partial Differential Equations, Sparse Grids

2.

Dimension-Wise Decompositions and Their Efficient Parallelization

Electronic version of an article published in Recent Developments in Computational Finance, Interdisciplinary Mathematical Sciences, Volume 14, 2013, chapter 13, pages 445-472, DOI: 0.1142/9789814436434 0013(c) World Scientific Publishing Company
Number of pages: 30 Posted: 19 Apr 2015
Philipp Schröder, Peter Schober and Gabriel Wittum
Goethe Center for Scientific Computing, Goethe University Frankfurt - Department of Finance and Goethe Center for Scientific Computing
Downloads 46 (433,964)

Abstract:

Loading...

ANOVA Decomposition, High Performance Computing, Option Pricing, Partial Differential Equations, Parallelization, Sparse Grids