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Project authority
Lehre
Forschung
Organisation
Numerics and modeling of nonlinear partial differential equations for the description of credit and price risks
01.05.2007 - 30.09.2009
Research funding project
The main goal of this project is the analytical and numerical study of nonlinear effects arising in portfolio optimization problems and pricing of financial derivatives. In particular, Hamilton-Jacobi-Bellman equations and other nonlinear partial differential equations will be studied.
People
Project leader
Ansgar Jüngel
(E101)
Project personnel
Bertram Düring
(E101)
Institute
E101 - Institute of Analysis and Scientific Computing
Grant funds
Deutsche Forschungsgemeinschaft e.V (EU)
German Research Foundation (DFG)
Research focus
Mathematical and Algorithmic Foundations: 30%
Modeling and Simulation: 70%
Keywords
German
English
nichtlineare partielle Differentialgleichungen
nonlinear partial differential equations
Optionspreisbewertung
pricing of financial options
Publications
Publications