Christian Kahl - Research

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Teaching

Research

Publications

Private

University of
Wuppertal

Department of
Mathematics

Numerical
Analysis

• Interest rate derivatives
• Libor market model
• Stochastic volatility models

• Greeks - Monte-Carlo simulation
• Numeric of stochastic differential equations
• Positivity preserving numerical integration schemes
• Numerical integration methods for stochastic volatility models
• Stable and efficient implementation of semi-analytical stochastic volatility models, e.g. Heston

• Application of Malliavin calculus to finance