Running Research and Development Projects: Difference between revisions
No edit summary |
No edit summary |
||
| Line 89: | Line 89: | ||
Thetaris | Thetaris | ||
|} | |} | ||
Incomplete markets require new statistical, analytical, and numerical methods, to cope with stochastic volatilities or jumps in the stochastic processes, e.g. These are investigated in a joint project of Universität Heidelberg (with focus on modelling, analysis and statistics), Universität Bonn (with focus on numerics) and SCCS (with focus on software development). The goal of our work in the project is to integrate newly developed methods - especially sparse grid techniques - into the framework of ThetaML, a system of [http://www.thetaris.com/22-0-Imprint.html Thetaris GmbH] that allows rapid formulation and analysis of complex financial derivatives. | |||
[[Category:Research]] | [[Category:Research]] | ||
Revision as of 07:03, 22 July 2008
Bavarian Graduate School of Computational Engineering
| Project type | Elite Study Program |
| Funded by | Elite Network of Bavaria |
| Begin | November 2004 |
| End | November 2009 |
| Leader | Prof.Dr. Hans-Joachim Bungartz |
| Staff | Dr. Michael Bader, Ioan Muntean, Tobias Weinzierl |
| Contact person | Dr. Michael Bader |
| Co-operation partner | International Master's Program Computational Mechanics (TUM)
International Master's Program Computational Engineering (U Erlangen) |
Brief description
The Bavarian Graduate School of Computational Engineering is an association of the three Master programs: Computational Engineering (CE) at the University of Erlangen-Nürnberg, Computational Mechanics (COME), and Computational Science and Engineering (CSE), both at TUM. Funded by the Elitenetzwerk Bayern, the Bavarian Graduate School offers an Honours program for gifted and highly motivated students. The Honours program extends the regular Master's programs by several academic offers:
- additional courses in the area of computational engineering, in particular block courses, and summer academies.
- Courses and seminars on "soft skills" - like communication skills, management, leadership, etc.
- an additional semester project closely connected to current research
Students who master the regular program with an above-average grade, and successfully finish the Honours program, as well, earn the academic degree "Master of Science with Honours".
Numerical Simulation of Fluid-Structure-Interactions on Cartesian Grids
| Project type | Forschergruppe 493 |
| Funded by | German Research Foundation |
| Begin | August 2003 |
| End | March 2009 |
| Leader | Prof. Dr. Hans-Joachim Bungartz, Dr. Miriam Mehl |
| Staff | Dipl.-Geophys. Markus Brenk |
| Contact person | Prof. Dr. Hans-Joachim Bungartz |
| Co-operation partner | Prof.Dr. Krafczyk (Institut für Computeranwendungen im Bauingenieurwesen, TU Braunschweig)
Prof.Dr. E. Rank (Lehrstuhl für Bauinformatik, TU München) |
Brief description
Im Projekt P6 der DFG-Forschergruppe 493 soll ein streng partitionierter Ansatz zur numerischen Simulation von Fluid-Struktur-Wechselwirkungen weiterentwickelt und an prototypischen und zugleich technisch relevanten Modellkonfigurationen erprobt werden. Für die Strömungsberechnungen wird der auf kartesischen Gittern arbeitende MAC-Code Nast++, entwickelt für die Behandlung zeitabhängiger laminarer Strömungen viskoser inkompressibler Fluide in veränderlichen dreidimensionalen Geometrien, weiterentwickelt und eingesetzt. Zur Berechnung der Antwort der flexiblen Strukturen bringt das Projekt P10 (Prof. Rank, Dr.-Ing. Düster) einen Löser zur strukturdynamischen Simulation in den partitionierten Ansatz ein. Nach zunächst vorzunehmenden Verbesserungen bzw. Erweiterungen am Ströungscode soll die voll transiente (implizite) Kopplung im Sinne der partitionierten Lösung realisiert und im Hinblick auf Robustheit und Stabilität untersucht und optimiert werden. Zur Validierung soll vor allem das Prinzipexperiment FLUSTRUC-A aus Projekt P4 (Prof. Durst, Dr.-Ing. Breuer, Dipl.-Ing. Lienhart) dienen. Ein weiterer Schwerpunkt der Arbeiten liegt auf der Bereitstellung einer modularen Software-Infrastruktur, die über einheitlich definierte Schnittstellen den einfachen Austausch von Komponenten gestattet und somit in der Forschergruppe beispielsweise zum Vergleich verschiedener Strukturlöser bzw. verschiedener Fluidlöser in unterschiedlichen Szenarien genutzt werden kann. Hierbei findet eine intensive Kooperation der Teilprojekte P6, P8 und P10 statt.
Modeling and valuation of financial derivatives in incomplete markets
| Project type | BMBF support program: Mathematics for innovations in the Industrial and Service Sectors |
| Funded by | BMBF |
| Begin | July 2007 |
| End | June 2010 |
| Leader | Prof.Dr. Hans-Joachim Bungartz |
| Staff | Dr. Stefan Zimmer, Dipl.-Tech. Math. Stefanie Schraufstetter, Dipl.-Inf. Dirk Pflüger |
| Contact person | Dr. Stefan Zimmer |
| Co-operation partner | Prof. Dr. Drs. h.c. Willi Jäger (IWR, University of Heidelberg)
Prof. Dr. Markus Reiß (Institute of Applied Mathematics, University of Heidelberg) Prof. Dr. Michael Griebel (Institute for Numerical Simulation, University of Bonn) Thetaris |
Incomplete markets require new statistical, analytical, and numerical methods, to cope with stochastic volatilities or jumps in the stochastic processes, e.g. These are investigated in a joint project of Universität Heidelberg (with focus on modelling, analysis and statistics), Universität Bonn (with focus on numerics) and SCCS (with focus on software development). The goal of our work in the project is to integrate newly developed methods - especially sparse grid techniques - into the framework of ThetaML, a system of Thetaris GmbH that allows rapid formulation and analysis of complex financial derivatives.