Bergische Universität Wupperta
Christian Hendricks studied mathematics at the University of Wuppertal and finished his master degree in 2013. He was awarded with the Barmenia Maths prize in 2013 and received the Adcancement Award for Students in 2014. Currently he is a PhD student in the group of Applied Mathematics and Numerical Analysis (AMNA) under supervision of Prof. Michael Günther and Prof. Matthias Ehrhardt in Wuppertal. His research is focussed on numerical methods for partial differential equations arising in computational finance and energy markets
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.