Black-scholes type equations

In this work we are concerned with the analysis and numerical solution of Black-Scholes type equations arising in the modeling of incomplete financial markets and an inverse problem of determining the local volatility function in a generalized Black-Scholes model from observed option prices. In the first chapter a fully nonlinear Black-Scholes equation which models transaction costs arising in option pricing is discretized by a new high order compact scheme. The compact scheme is proved to be unconditionally stable and non-oscillatory and is very efficient compared to classical schemes. Moreover, it is shown that the finite difference solution converges locally uniformly to the unique viscosity solution of the continuous equation. In the next chapter we turn to the calibration problem of computing local volatility functions from market data in a generalized Black-Scholes setting. We follow an optimal control approach in a Lagrangian framework. We show the existence of a global solution and study first- and second-order optimality conditions. Furthermore, we propose an algorithm that is based on a globalized sequential quadratic programming method and a primal-dual active set strategy, and present numerical results. In the last chapter we consider a quasilinear parabolic equation with quadratic gradient terms, which arises in the modeling of an optimal portfolio in incomplete markets. The existence of weak solutions is shown by considering a sequence of approximate solutions. The main difficulty of the proof is to infer the strong convergence of the sequence. Furthermore, we prove the uniqueness of weak solutions under a smallness condition on the derivatives of the covariance matrices with respect to the solution, but without additional regularity assumptions on the solution. The results are illustrated by a numerical example.

Quantum gravity effects in rotating black hole spacetimes

The aim of this work is to explore, within the framework of the presumably asymptotically safe Quantum Einstein Gravity, quantum corrections to black hole spacetimes, in particular in the case of rotating black holes. We have analysed this problem by exploiting the scale dependent Newton s constant implied by the renormalization group equation for the effective average action, and introducing an appropriate "cutoff identification" which relates the renormalization scale to the geometry of the spacetime manifold. We used these two ingredients in order to "renormalization group improve" the classical Kerr metric that describes the spacetime generated by a rotating black hole. We have focused our investigation on four basic subjects of black hole physics. The main results related to these topics can be summarized as follows. Concerning the critical surfaces, i.e. horizons and static limit surfaces, the improvement leads to a smooth deformation of the classical critical surfaces. Their number remains unchanged. In relation to the Penrose process for energy extraction from black holes, we have found that there exists a non-trivial correlation between regions of negative energy states in the phase space of rotating test particles and configurations of critical surfaces of the black hole. As for the vacuum energy-momentum tensor and the energy conditions we have shown that no model with "normal" matter, in the sense of matter fulfilling the usual energy conditions, can simulate the quantum fluctuations described by the improved Kerr spacetime that we have derived. Finally, in the context of black hole thermodynamics, we have performed calculations of the mass and angular momentum of the improved Kerr black hole, applying the standard Komar integrals. The results reflect the antiscreening character of the quantum fluctuations of the gravitational field. Furthermore we calculated approximations to the entropy and the temperature of the improved Kerr black hole to leading order in the angular momentum. More generally we have proven that the temperature can no longer be proportional to the surface gravity if an entropy-like state function is to exist.

"The sound of democracy - the sound of freedom" - Jazz-Rezeption in Deutschland (1945 - 1963)

Im Mittelpunkt der Studie "The Sound of Democracy - the Sound of Freedom". Jazzrezeption in Deutschland (1945 - 1963) steht ein Korpus von 16 Oral-History-Interviews mit Zeitzeugen der deutschen Jazzszene. Interviewt wurden Musiker ebenso wie bildende Künstler, Journalisten, Clubbesitzer und Jazzfans, die die Jazzszene in den 1950ern bildeten. Die Interviews werden in einen Kontext zeitgenössischer Quellen gestellt: Zeitschriftenartikel (hauptsächlich aus dem "Jazz Podium" ebenso wie Radiomanuskripte des Bayerischen Rundfunks.rnDie Ausgangsüberlegung ist die Frage, was der Jazz für sein Publikum bedeutete, mit anderen Worten, warum wählte eine studentische, sich selbst als elitär wahrnehmende Schicht aus dem großen Fundus an kulturellen Ausdrucksformen, die nach dem Zweiten Weltkrieg aus den USA nach Deutschland strömten, ausgerechnet den Jazz als persönliche Ausdrucksform? Worin bestand seine symbolische Strahlkraft für diese jungen Menschen?rnIn Zusammenhang mit dieser Frage steht die Überlegung: In welchem Maße wurde Jazz als dezidiert amerikanische Ausdrucksform wahrgenommen und welche Amerikabilder wurden durch den Jazz transportiert? Wurde Jazz bewusst als Werkzeug der Besatzer zur demokratischen Umerziehung des deutschen Volkes eingesetzt und wenn ja, in welcher Form, beziehungsweise in welchem Maß? Wie stark war die Symbolleistung und metaphorische Bedeutung des Jazz für das deutsche Publikum und in welchem Zusammenhang steht die Symbolleistung des Jazz mit der Symbolleistung der USA als Besetzungs- bzw. Befreiungsmacht? rn

Packing a trunk : a physically based approach with full motional freedom

Geometric packing problems may be formulated mathematically as constrained optimization problems. But finding a good solution is a challenging task. The more complicated the geometry of the container or the objects to be packed, the more complex the non-penetration constraints become. In this work we propose the use of a physics engine that simulates a system of colliding rigid bodies. It is a tool to resolve interpenetration conflicts and to optimize configurations locally. We develop an efficient and easy-to-implement physics engine that is specialized for collision detection and contact handling. In succession of the development of this engine a number of novel algorithms for distance calculation and intersection volume were designed and imple- mented, which are presented in this work. They are highly specialized to pro- vide fast responses for cuboids and triangles as input geometry whereas the concepts they are based on can easily be extended to other convex shapes. Especially noteworthy in this context is our ε-distance algorithm - a novel application that is not only very robust and fast but also compact in its im- plementation. Several state-of-the-art third party implementations are being presented and we show that our implementations beat them in runtime and robustness. The packing algorithm that lies on top of the physics engine is a Monte Carlo based approach implemented for packing cuboids into a container described by a triangle soup. We give an implementation for the SAE J1100 variant of the trunk packing problem. We compare this implementation to several established approaches and we show that it gives better results in faster time than these existing implementations.