Bertram Düring

University of Warwick - Mathematics Institute

Zeeman Building

Coventry, CV4 7AL

United Kingdom

  • University of Warwick - Mathematics Institute

SCHOLARLY PAPERS

21

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Scholarly Papers (21)

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1.

High Order Compact Finite Difference Schemes for a Nonlinear Black-Scholes Equation

University of Konstanz Center of Finance and Econometrics Discussion Paper No. 01/07
Number of pages: 28 Posted: 26 Mar 2004
Bertram Düring, Michel Fournie and Ansgar Jüngel
University of Warwick - Mathematics Institute, Université Paul Sabatier Toulouse III and Fachbereich Mathematik und Informatik, University of Mainz
Downloads 258 (197,803)
Citation 2

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Option pricing, transaction costs, parabolic equations, compact finite difference discretizations

2.

Convergence of a High-Order Compact Finite Difference Scheme for a Nonlinear Black-Scholes Equation

University of Konstanz Discussion Paper No. 04/02
Number of pages: 16 Posted: 26 Mar 2004
Bertram Düring, Michel Fournie and Ansgar Jüngel
University of Warwick - Mathematics Institute, Université Paul Sabatier Toulouse III and Fachbereich Mathematik und Informatik, University of Mainz
Downloads 198 (254,381)
Citation 1

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High-order compact finite differences, numerical convergence, viscosity solution, financial derivatives

3.

High-Order Compact Finite Difference Scheme for Option Pricing in Stochastic Volatility Models

Number of pages: 23 Posted: 23 Jul 2010 Last Revised: 02 Feb 2012
Bertram Düring and Michel Fournie
University of Warwick - Mathematics Institute and Université Paul Sabatier Toulouse III
Downloads 174 (285,282)
Citation 8

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Option pricing, compact finite difference discretizations, mixed derivatives, high-order scheme

4.

A Sequential Quadratic Programming Method for Volatility Estimation in Option Pricing

Number of pages: 27 Posted: 14 May 2007
Bertram Düring, Ansgar Jüngel and Stefan Volkwein
University of Warwick - Mathematics Institute, Fachbereich Mathematik und Informatik, University of Mainz and University of Graz
Downloads 151 (321,551)

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Dupire equation, parameter identification, optimal control, optimality

5.

Boltzmann and Fokker-Planck Equations Modelling Opinion Formation in the Presence of Strong Leaders

Number of pages: 20 Posted: 05 May 2009
Bertram Düring, Peter A. Markowich, Jan-Frederik Pietschmann and Marie-Therese Wolfram
University of Warwick - Mathematics Institute, University of Cambridge, University of Cambridge and University of Cambridge
Downloads 141 (339,645)
Citation 2

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Boltzmann equation, Fokker-Planck equation, opinion formation, sociophysics

6.

A Boltzmann-Type Approach to the Formation of Wealth Distribution Curves

Number of pages: 57 Posted: 09 Oct 2008
Bertram Düring, Daniel Matthes and Giuseppe Toscani
University of Warwick - Mathematics Institute, Vienna University of Technology - Analysis & Scientific Computing and University of Pavia
Downloads 113 (401,000)
Citation 2

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Wealth and income distributions, Pareto distribution, mixtures

7.

High-Order Compact Schemes for Parabolic Problems with Mixed Derivatives in Multiple Space Dimensions

Number of pages: 25 Posted: 28 Jun 2014
Bertram Düring and Christof Heuer
University of Warwick - Mathematics Institute and University of Sussex - School of Mathematical and Physical Sciences
Downloads 100 (437,344)
Citation 3

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High-order compact scheme, parabolic PDE, basket options, mixed derivatives, stability

8.

Asset Pricing under Information with Stochastic Volatility

Number of pages: 24 Posted: 08 Aug 2008
Bertram Düring
University of Warwick - Mathematics Institute
Downloads 93 (458,645)
Citation 1

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Pricing kernel, stochastic volatility, asset pricing, option pricing, credit spreads

9.

High-Order Compact Finite Difference Schemes for Option Pricing in Stochastic Volatility Models on Non-Uniform Grids

Number of pages: 21 Posted: 19 Jul 2013 Last Revised: 25 Apr 2014
Bertram Düring, Michel Fournie and Christof Heuer
University of Warwick - Mathematics Institute, Université Paul Sabatier Toulouse III and University of Sussex - School of Mathematical and Physical Sciences
Downloads 84 (488,601)
Citation 6

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option pricing, stochastic volatility, high-order compact finite difference method

10.

A Quasilinear Parabolic Equation with Quadratic Growth of the Gradient Modeling Incomplete Financial Markets

University of Konstanz Discussion Paper No. 04/01
Number of pages: 27 Posted: 22 Mar 2004
Bertram Düring and Ansgar Jüngel
University of Warwick - Mathematics Institute and Fachbereich Mathematik und Informatik, University of Mainz
Downloads 82 (495,547)
Citation 1

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Quasilinear PDE, quadratic gradient, existence and uniqueness of solutions, optimal portfolio, incomplete market

11.

Kinetic Equations Modelling Wealth Redistribution: A Comparison of Approaches

Number of pages: 16 Posted: 16 Jul 2008
Bertram Düring, Daniel Matthes and Giuseppe Toscani
University of Warwick - Mathematics Institute, Vienna University of Technology - Analysis & Scientific Computing and University of Pavia
Downloads 78 (510,352)
Citation 2

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Wealth distribution, Boltzmann equation, Pareto tail

12.

High-Order ADI Scheme for Option Pricing in Stochastic Volatility Models

Number of pages: 18 Posted: 09 Dec 2015
Bertram Düring and James Miles
University of Warwick - Mathematics Institute and University of Sussex - School of Mathematical and Physical Sciences
Downloads 70 (542,270)
Citation 1

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Option pricing, stochastic volatility models, mixed derivatives, high-order ADI scheme

13.

High-Order Compact Finite Difference Scheme for Option Pricing in Stochastic Volatility Jump Models

Number of pages: 21 Posted: 18 Apr 2017
Bertram Düring and Alexander Pitkin
University of Warwick - Mathematics Institute and University of Sussex - School of Mathematical and Physical Sciences
Downloads 63 (573,013)
Citation 1

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Option pricing, high-order compact finite differences, stochastic volatility jump model, Bates model

14.

Sparse Grid High-Order ADI Scheme for Option Pricing in Stochastic Volatility Models

Number of pages: 17 Posted: 05 Nov 2016
Bertram Düring, Christian Hendricks and James Miles
University of Warwick - Mathematics Institute, Bergische Universitat Wuppertal and University of Sussex - School of Mathematical and Physical Sciences
Downloads 55 (611,705)
Citation 1

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option pricing, stochastic volatility models, mixed derivatives, high-order ADI scheme, sparse grids

15.

International and Domestic Trading and Wealth Distribution

Number of pages: 16 Posted: 22 Jul 2008
Bertram Düring and Giuseppe Toscani
University of Warwick - Mathematics Institute and University of Pavia
Downloads 52 (627,545)
Citation 1

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Wealth and income distributions, Boltzmann equation, mixture

16.

Efficient Hedging in Bates Model Using High-Order Compact Finite Differences

Number of pages: 9 Posted: 16 Oct 2017
Bertram Düring and Alexander Pitkin
University of Warwick - Mathematics Institute and University of Sussex - School of Mathematical and Physical Sciences
Downloads 41 (691,966)

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option pricing, hedging, high-order compact finite differences, stochastic volatility jump model, Bates model

17.

High-Order Compact Finite Difference Scheme for Option Pricing in Stochastic Volatility With Contemporaneous Jump Models

Number of pages: 6 Posted: 22 Nov 2018
Bertram Düring and Alexander Pitkin
University of Warwick - Mathematics Institute and University of Sussex - School of Mathematical and Physical Sciences
Downloads 35 (732,534)
Citation 2

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Option Pricing, High-Order Compact Finite Differences, Stochastic Volatility With Contemporaneous Jumps (SVCJ) Model

18.

Essentially High-Order Compact Schemes with Application to Stochastic Volatility Models on Non-Uniform Grids

Number of pages: 6 Posted: 02 Nov 2016
Bertram Düring and Christof Heuer
University of Warwick - Mathematics Institute and University of Sussex - School of Mathematical and Physical Sciences
Downloads 31 (761,952)

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Option Pricing, Stochastic Volatility, High-Order Compact Finite Difference Method, Non-Uniform Gird

19.

Time-adaptive high-order compact finite difference schemes for option pricing in a family of stochastic volatility models

Number of pages: 7 Posted: 22 Jul 2021
Bertram Düring and Christof Heuer
University of Warwick - Mathematics Institute and University of Sussex - School of Mathematical and Physical Sciences
Downloads 15 (900,702)

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Option Pricing, time adaptivity, High-Order Compact Finite Differences, Stochastic Model

20.

Hydrodynamics from Kinetic Models of Conservative Economies

Physica A: Statistical Mechanics and its Applications, Vol. 384, No. 2, pp. 493-506, 2007
Posted: 03 Sep 2007
Bertram Düring and Giuseppe Toscani
University of Warwick - Mathematics Institute and University of Pavia

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Wealth and income distributions, Boltzmann equation, Hydrodynamics, Euler equations

21.

Option Prices Under Generalized Pricing Kernels

Review of Derivatives Research, Vol. 8, No. 2, pp. 97-123, 2005
Posted: 08 May 2006
Bertram Düring and Erik Lüders
University of Warwick - Mathematics Institute and ZEW – Leibniz Centre for European Economic Research

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pricing kernel, option pricing, partial differential equation, finite differences, implied volatility