Numerical Analysis

Dept. of Mathematics

Arnimallee 2-6

D - 14195 Berlin

Tel. (030) 838 - 75 407

Fax. (030) 838 - 54 977

The project is devoted to the development and implementation of monotone multigrid methods, transparent boundary conditions and adaptive strategies for American option pricing. In cooperation with Deutsche Bank London various kinds of 1- and 2-factor models (local volatility, deterministic default, short rate models, Vasicek model, stock-stock model, Stock-Vasicek interest rate model, Stock-Hazard model, ....) will be considered. The project is driven by the mutual benefits of scientific research and direct applications in banking practice.

Konrad-Zuse-Zentrum für Informationstechnik Berlin

Takustrasse 7

D-14195 Berlin - Dahlem

Tel: (030) 841 85 - 0

Fax: (030) 841 85 -125