Matthias Ehrhardt

Bergische Universität Wuppertal

Matthias Ehrhardt received his PhD in mathematics from the Technical University of Berlin in 2001 and gained his habilitation at Technical University of Berlin in 2006. He is professor of applied mathematics at Wuppertal University since 2009. He has had about 60 of his articles published in peer-reviewed journals and edited a book on nonlinear Black-Scholes models and their numerical solution. His research areas include numerical methods in economics and finance, artificial boundary conditions and higher order splitting methods.

Articles by Matthias Ehrhardt

Original research

Elliptical and Archimedean copula models: an application to the price estimation of portfolio credit derivatives

This paper explores the impact of elliptical and Archimedean copula models on the valuation of basket default swaps.

25 Aug 2020

Original research

The 2D tree–grid method

In this paper, the authors introduce a novel, explicit, wide-stencil, two-dimensional (2D) tree–grid method for solving stochastic control problems (SCPs) with two space dimensions and one time dimension, or, equivalently, the corresponding Hamilton…

14 Aug 2019

Original research

Hybrid finite-difference/pseudospectral methods for the Heston and Heston–Hull–White partial differential equations

In this paper, the authors propose a hybrid spatial finite-difference/pseudospectral discretization for European option-pricing problems under the Heston and Heston–Hull–White models.

25 Apr 2018

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