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Bertram Düring
ORCID
Publication Activity (10 Years)
Years Active: 2012-2021
Publications (10 Years): 8
Top Topics
Semidefinite
Diffusion Equation
Option Pricing
Finite Difference
Top Venues
J. Comput. Appl. Math.
CoRR
SIAM J. Numer. Anal.
SIAM J. Appl. Dyn. Syst.
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Publications
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Bertram Düring
,
Christof Heuer
Time-adaptive high-order compact finite difference schemes for option pricing in a family of stochastic volatility models.
CoRR
(2021)
José A. Carrillo
,
Bertram Düring
,
Lisa Maria Kreusser
,
Carola-Bibiane Schönlieb
Equilibria of an anisotropic nonlocal interaction equation: Analysis and numerics.
CoRR
(2019)
Bertram Düring
,
Alexander Pitkin
High-order compact finite difference scheme for option pricing in stochastic volatility jump models.
J. Comput. Appl. Math.
355 (2019)
Bertram Düring
,
Marco Torregrossa
,
Marie-Therese Wolfram
Boltzmann and Fokker-Planck Equations Modelling the Elo Rating System with Learning Effects.
J. Nonlinear Sci.
29 (3) (2019)
José A. Carrillo
,
Bertram Düring
,
Lisa Maria Kreusser
,
Carola-Bibiane Schönlieb
Stability Analysis of Line Patterns of an Anisotropic Interaction Model.
SIAM J. Appl. Dyn. Syst.
18 (4) (2019)
José A. Carrillo
,
Bertram Düring
,
Daniel Matthes
,
David S. McCormick
A Lagrangian Scheme for the Solution of Nonlinear Diffusion Equations Using Moving Simplex Meshes.
J. Sci. Comput.
75 (3) (2018)
Bertram Düring
,
James Miles
High-order ADI scheme for option pricing in stochastic volatility models.
J. Comput. Appl. Math.
316 (2017)
Bertram Düring
,
Christof Heuer
High-Order Compact Schemes for Parabolic Problems with Mixed Derivatives in Multiple Space Dimensions.
SIAM J. Numer. Anal.
53 (5) (2015)
Bertram Düring
,
Michel Fournié
,
Christof Heuer
High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids.
J. Comput. Appl. Math.
271 (2014)
Martin Benning
,
Luca Calatroni
,
Bertram Düring
,
Carola-Bibiane Schönlieb
A Primal-Dual Approach for a Total Variation Wasserstein Flow.
GSI
(2013)
Bertram Düring
,
Michel Fournié
High-order compact finite difference scheme for option pricing in stochastic volatility models.
J. Comput. Appl. Math.
236 (17) (2012)