Bergische Universität Wuppertal
Michael Günther was born 1967 in Munich (Germany). He studied Mathematics and Physics at Technical University of Munich, 1987-1992, and graduated 1992 in Mathematics. In 1995 he received his PhD (Dr. rer. nat.) in Computer Science and 2001 his Habilitation in Mathematics. Since 2003 he is Full Professor for Applied Mathematics and Numerical Analysis at University of Wuppertal. He was head of IMACM (Institute of Modeling, Analysis and Computational Mathematics), President of ECMI (European Consortium for Mathematics in Industry) and coordinator of the EU-funded Research Training Network COMSON (COupled Multiscale Simulation and Optimization in Nanoelectronics). Currently he is treasurer of GAMM (International Association of Applied Mathematics), board member of EU-MATHS-IN (European Service Network of Mathematics for Industry and Innovation) and head of school of Mathematics and Natural Sciences. Michael Günther works on numerical methods for coupled systems of time-dependent differential equations (ODEs, DAEs, PDEs, SDEs) with applications in Computational Finance, Computational Electronics and Computational Physics. In this field he published or edited various books and more than 100 articles in peer reviewed journals and anthologies.
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.