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.
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.
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.