Research Group of Prof. Dr. M. Griebel
Institute for Numerical Simulation
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Publications of Dr. Markus Holtz:

[1] M. Griebel and M. Holtz. Dimension-wise integration of high-dimensional functions with applications to finance. J. Complexity, 26:455-489, 2010. Also available as INS Preprint 0809.
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[2] 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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[3] 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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[4] 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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[5] T. Gerstner and M. Holtz. Valuation of performance-dependent options. Applied Mathematical Finance, 15(1):1-20, 2008.
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[6] M. Holtz. Sparse Grid Quadrature in High Dimensions with Applications in Finance and Insurance. Dissertation, Institut für Numerische Simulation, Universität Bonn, 2008.
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[7] 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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[8] 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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[9] M. Holtz and A. Kunoth. B-spline-based monotone multigrid methods. SIAM J. Numer. Anal., 45(3):1175-1199, 2007. Also as SFB 611 preprint No. 0252, 2005.
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[10] H. Fassbender, M. Griebel, O. Holtz, G. Stewart, and C. Zenger. Curriculum vitae of Friedrich Ludwig Bauer. Linear Algebra and its Applications, 417(2-3, SI):299-300, 2006.
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[11] 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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[12] M. Holtz and A. Kunoth. B-spline based monotone multigrid methods, with an application to the pricing of American options. In P. Wesseling, C. Oosterlee, and P. Hemker, editors, Multigrid, Multilevel and Multiscale Methods, Proc. EMG, 2005. Also as SFB 611 preprint No. 0289, 2006.
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[13] M. Holtz. The computation of American option price sensitivities using a monotone multigrid method for higher order B-spline discretizations. 2004. Working paper.
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[14] M. Holtz. Konstruktion B-Spline-basierter monotoner Mehrgitterverfahren zur Bewertung Amerikanischer Optionen. Diplomarbeit, Institut für Angewandte Mathematik, Universität Bonn, Bonn, Germany, 2004. Supervised by Prof. Angela Kunoth.
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