Research Group of Prof. Dr. M. Griebel
Institute for Numerical Simulation
maximize

Publications of Prof. Dr. Thomas Gerstner:

[1] J. Garcke, T. Gerstner, and M. Griebel. Time series forecasting using sparse grids. Computing and Visualization in Science, 2013. submitted.
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[2] J. Garcke, T. Gerstner, and M. Griebel. Intraday foreign exchange rate forecasting using sparse grids. In J. Garcke and M. Griebel, editors, Sparse Grids and Applications, volume 88 of Lecture Notes in Computational Science and Engineering, pages 81-106, 2012. also available as INS Preprint No. 1006.
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[3] T. Gerstner and M. Griebel. Sparse grids. In R. Cont, editor, Encyclopedia of Quantitative Finance. John Wiley and Sons, Feb. 2010.
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[4] M. Steffens, T. Becker, T. Sander, R. Fimmers, C. Herold, D. Holler, C. Leu, S. Herms, S. Cichon, B. Bohn, T. Gerstner, M. Griebel, M. Nöthen, T. Wienker, and M. Baur. Feasible and successful: Genome-wide Interaction Analysis (GWIA) involving all 1.9x1011 pair-wise interaction tests. Human Heredity, 69:268-284, 2010.
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[5] T. Gerstner, M. Griebel, and M. Holtz. Efficient deterministic numerical simulation of stochastic asset-liability management models in life insurance. Insurance: Math. Economics, 44:434-446, 2009.
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[6] S. Trömel, C. Simmer, J. Braun, T. Gerstner, and M. Griebel. Towards the use of integral radar volume descriptors for quantitative areal precipitation estimation - results from pseudo-radar observations. Journal of Atmospheric and Oceanic Technology, 26(9):1798-1813, 2009.
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[7] T. Gerstner, M. Griebel, M. Holtz, R. Goschnick, and M. Haep. A general asset-liability management model for the efficient simulation of portfolios of life insurance policies. Insurance: Math. Economics, 42(2):704-716, 2008.
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[8] T. Gerstner, M. Griebel, M. Holtz, R. Goschnick, and M. Haep. Numerical simulation for asset-liability management in life insurance. In H.-J. Krebs and W. Jäger, editors, Mathematics - Key Technology for the Future, Part 6, pages 319-341. Springer, 2008.
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[9] T. Gerstner and M. Holtz. Valuation of performance-dependent options. Applied Mathematical Finance, 15(1):1-20, 2008.
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[10] T. Gerstner. Sparse Grid Quadrature Methods for Computational Finance. Habilitation, Institute for Numerical Simulation, University of Bonn, 2007.
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[11] T. Gerstner, M. Griebel, and M. Holtz. The effective dimension of asset-liability management problems in life insurance. In C. Fernandes, H. Schmidli, and N. Kolev, editors, Proc. Third Brazilian Conference on Statistical Modelling in Insurance and Finance, pages 148-153, 2007.
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[12] T. Gerstner, M. Holtz, and R. Korn. Valuation of performance-dependent options in a Black-Scholes framework. In J. Appleby, D. Edelman, and J. Miller, editors, Numerical Methods for Finance, pages 203-214. Chapman & Hall/CRC, 2007.
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[13] T. Gerstner and M. Holtz. Geometric tools for the valuation of performance-dependent options. In M. Costantino and C. Brebbia, editors, Computational Finance and its Application II, pages 161-170, London, 2006. WIT Press.
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[14] R.-P. Mundani, H.-J. Bungartz, A. Paul, T. Gerstner, and A. Frank. It's a hierarchical world! In H.-J. Bungartz, R.-P. Mundani, and A. Frank, editors, Bubbles, Jaws, Moose Tests, and More: The Wonderful World of Numerical Simulation, VideoMath series. Springer, 15 min., 2004.
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[15] T. Gerstner. Multiresolution Compression and Visualization of Global Topographic Data. GeoInformatica, 7(1):7-32, 2003. (shortened version in Proc. Spatial Data Handling 2000, P. Forer, A.G.O. Yeh, J. He (eds.), pp. 14-27, IGU/GISc, 2000, also as SFB 256 report 29, Univ. Bonn, 1999).
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[16] T. Gerstner. Top-Down View-Dependent Terrain Triangulation using the Octagon Metric. Technical report, Institut für Angewante Mathematik, 2003.
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[17] T. Gerstner and M. Griebel. Dimension-adaptive tensor-product quadrature. Computing, 71(1):65-87, 2003.
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[18] T. Gerstner, H.-P. Helfrich, and A. Kunoth. Wavelet Analysis of Geoscientific Data. In H.-J. Neugebauer and C. Simmer, editors, Dynamics of Multiscale Earth Systems, Lecture Notes in Earth Sciences 97, pages 69-88. Springer, 2003.
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[19] T. Gerstner, F. Kiefer, and A. Kunoth. Wavelet and Multigrid Methods for Convection-Diffusion Equations. In H.-J. Neugebauer and C. Simmer, editors, Dynamics of Multiscale Earth Systems, Lecture Notes in Earth Sciences 97, pages 123-134. Springer, 2003.
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[20] T. Gerstner. Multiresolution Extraction and Rendering of Transparent Isosurfaces. Computers & Graphics, 26(2):219-228, 2002. (shortened version in Data Visualization '01, D.S. Ebert, J.M. Favre and R. Peikert (eds.), pp. 35-44, Spinger, 2001, also as SFB 256 report 40, Univ. Bonn, 2000).
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[21] T. Gerstner, D. Meetschen, S. Crewell, M. Griebel, and C. Simmer. A case study on multiresolution visualization of local rainfall from weather radar measurements. In H. Pfister and M. Bailey, editors, Proceedings IEEE Visualization 2002, pages 533-536. IEEE Computer Society Press, 2002. (also as SFB 256 report 45, University of Bonn, 2001).
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[22] T. Gerstner. Multiskalenmethoden zur Kompression und interaktiven Verarbeitung großer Datenmengen. Dissertation, Universität Bonn, 2001.
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[23] T. Gerstner and M. Hannappel. Error Measurement in Multiresolution Digital Elevation Models. In G. Heuvelink and M. Lemmens, editors, Accuracy 2000 (Proc. 4th International Symposium on Spatial Accuracy Assessment in Natural Resources and Environmental Sciences), pages 245-252. Delft University Press, 2000.
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[24] T. Gerstner and R. Pajarola. Topology Preserving and Controlled Topology Simplifying Multiresolution Isosurface Extraction. In T. Ertl, B. Hamann, and A. Varshney, editors, Proceedings IEEE Visualization 2000, pages 259-266. IEEE Computer Society Press, 2000. (also as SFB 256 report 31, Univ. Bonn, 2000).
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[25] T. Gerstner and M. Rumpf. Multiresolutional parallel isosurface extraction based on tetrahedral bisection. In M. Chen, A. Kaufman, and R. Yagel, editors, Volume Graphics, pages 267-278. Springer, 2000. (also as SFB 256 report 23, Univ. Bonn, 1999).
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[26] T. Gerstner, M. Rumpf, and U. Weikard. Error Indicators for Multilevel Visualization and Computing on Nested Grids. Computers & Graphics, 24(3):363-373, 2000. (shortened version in Data Visualization '99, E. Gröller, H. Löffelmann, W. Ribarsky (eds), pp. 199-211, Springer, 1999, also as SFB 256 report 24, Univ. Bonn, 1999).
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[27] T. Gerstner. Adaptive Hierarchical Methods for Landscape Representation and Analysis. In S. Hergarten and H.-J. Neugebauer, editors, Process Modelling and Landform Evolution, Lecture Notes in Earth Sciences 78, pages 75-92. Springer, 1999.
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[28] T. Gerstner and M. Griebel. Numerical integration using sparse grids. Numer. Algorithms, 18:209-232, 1998. (also as SFB 256 preprint 553, Univ. Bonn, 1998).
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[29] T. Gerstner. Ein adaptives hierarchisches Verfahren zur Approximation und effizienten Visualisierung von Funktionen und seine Anwendung auf digitale 3-D Höhenmodelle. Diplomarbeit, Institut für Informatik, TU München, 1995.
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