SC²S Colloquium - Mai 26, 2011

Date:	Mai 26, 2011
Room:	02.07.023
Time:	15:00 pm, s.t.

Donglin Wang: Sparse Grid Combination Technique for Regression Problems in Finance (MA)

The risk management of portfolios containing multiple financial derivatives (such as options) is highly computational intensive. One of the methods required by the bank’s regulatory authorities is the Potential Future Exposure (PFE) computation. This method is usually implemented such that it involves a nested Monte-Carlo simulation. That means, on each simulated market scenario path, at each time step, thousands of Monte-Carlo paths are generated again. This makes this technique time-consuming. In order to avoid nested Monte-Carlo simulation, previous work suggested to apply the regression technique at each time step to obtain the price of the financial derivatives and thus the portfolio value as a function of the underlying factors as stock prices, volatilities, interest rate. This work compares the accuracy of sparse grid combination technique and optimized combination technique with direct regression on sparse grids as well as regression on thin-plate spline basis for several PFE examples.

Peter Hoffmann: A coupling approach for hybrid Lattice Boltzmann-Molecular Dynamics simulations using MarDyn (MA)

Both Lattice Boltzmann methods (LB) and Molecular Dynamics (MD) simulations are widely used in many nanofluidic scenarios. Providing a microscopic description of the flow, MD has turned out to be a powerful tool to investigate molecular as well as thermodynamic and flow properties of fluids. However, with the domain size increasing, the simulations soon become very expensive. On the other hand, the LB method has just recently proven to capture many small scale-phenomena. Therefore, a LB code is coupled with MarDyn, a MD simulation environment. We can thus use a coarse-grained flow description in parts of the domain which are of less significance (with respect to molecular structures) and a fully resolved MD simulation in order to capture molecular effects in other parts of the domain.