Staff Prof. Dr. Thomas Gerstner

Mr. Gerstner is now at Universitaet Frankfurt. This page is no longer maintained.

E-Mail: ed tod nnob-inu tod sni ta rentsrega tod b@foo tod de

Completed Research Projects

Adaptive and robust multigrid methods for space time discretizations

Project C2, SFB 611.

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Adaptive numerical valuation methods for Bermudean options

ESF Program AMaMeF.

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Compression of Large-Scale Spatial Data

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FIDEUM: Modellierung und Bewertung von Finanzderivaten in unvollständigen Märkten

BMBF support program.

Fractal Landscape Classification

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Hierarchical Terrain Representation

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Medical Imaging

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Meteorological Data Analysis

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Molecular Visualization

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Multiresolution Isosurface Extraction

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Numerical Quadrature in Finance

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Pricing of contingent claims, path- and performance-dependent options, Brownian bridge construction, principal component analysis, adaptive sparse grids, dimension reduction.

Numerische Simulation für Asset/Liability Management im Versicherungswesen

BMBF support program.

Progressive Image and Video Transmission

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Sparse grid discretizations for jump diffusion processes

ESF Program AMaMeF.

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Stochastic market models and aggregation

Project Area H, Cluster of Excellence.

Trend Prediction of Exchange Rate with Regularization Networks on Dimension-Adaptive Sparse Grids

REMO.

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Wavelet Methods for Systems of Operator Equations

Project C1, SFB 611.

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Publications

  1. Time series forecasting using sparse grids. J. Garcke, T. Gerstner, and M. Griebel. Technical Report, Fraunhofer SCAI, 2013. BibTeX PDF Link
  2. Intraday foreign exchange rate forecasting using sparse grids. J. Garcke, T. Gerstner, and M. Griebel. In J. Garcke and M. Griebel, editors, Sparse Grids and Applications, volume 88 of Lecture Notes in Computational Science and Engineering, 81–106. 2012. also available as INS Preprint No. 1006. BibTeX PDF
  3. Sparse grids. T. Gerstner and M. Griebel. In R. Cont, editor, Encyclopedia of Quantitative Finance. John Wiley and Sons, 2010. BibTeX PDF Publisher
  4. Feasible and successful: genome-wide interaction analysis (GWIA) involving all 1.9×10111.9 \times 10^{11} pair-wise interaction tests. M. Steffens, T. Becker, T. Sander, R. Fimmers, C. Herold, D. Holler, C. Leu, S. Herms, S. Cichon, B. Bohn, T. Gerstner, M. Griebel, M. Nöthen, T. Wienker, and M. Baur. Human Heredity, 69:268–284, 2010. BibTeX Link
  5. Efficient deterministic numerical simulation of stochastic asset-liability management models in life insurance. T. Gerstner, M. Griebel, and M. Holtz. Insurance: Math. Economics, 44:434–446, 2009. BibTeX PDF
  6. Towards the use of integral radar volume descriptors for quantitative areal precipitation estimation - results from pseudo-radar observations. S. Trömel, C. Simmer, J. Braun, T. Gerstner, and M. Griebel. Journal of Atmospheric and Oceanic Technology, 26(9):1798–1813, 2009. BibTeX PDF DOI arXiv
  7. A general asset-liability management model for the efficient simulation of portfolios of life insurance policies. T. Gerstner, M. Griebel, M. Holtz, R. Goschnick, and M. Haep. Insurance: Math. Economics, 42(2):704–716, 2008. BibTeX PDF
  8. Numerical simulation for asset-liability management in life insurance. T. Gerstner, M. Griebel, M. Holtz, R. Goschnick, and M. Haep. In H.-J. Krebs and W. Jäger, editors, Mathematics – Key Technology for the Future, Part 6, pages 319–341. Springer, 2008. BibTeX PDF
  9. Valuation of performance-dependent options. T. Gerstner and M. Holtz. Applied Mathematical Finance, 15(1):1–20, 2008. BibTeX PDF
  10. Sparse Grid Quadrature Methods for Computational Finance. T. Gerstner. Habilitation, Institute for Numerical Simulation, University of Bonn, 2007. BibTeX PDF
  11. The effective dimension of asset-liability management problems in life insurance. T. Gerstner, M. Griebel, and M. Holtz. In C. Fernandes, H. Schmidli, and N. Kolev, editors, Proc. Third Brazilian Conference on Statistical Modelling in Insurance and Finance, 148–153. 2007. BibTeX PDF
  12. Valuation of performance-dependent options in a Black-Scholes framework. T. Gerstner, M. Holtz, and R. Korn. In J. Appleby, D. Edelman, and J. Miller, editors, Numerical Methods for Finance, 203–214. Chapman & Hall/CRC, 2007. BibTeX PDF
  13. Geometric tools for the valuation of performance-dependent options. T. Gerstner and M. Holtz. In M. Costantino and C.A. Brebbia, editors, Computational Finance and its Application II, 161–170. London, 2006. WIT Press. BibTeX PDF
  14. It's a hierarchical world! R.-P. Mundani, H.-J. Bungartz, A. Paul, T. Gerstner, and A. Frank. In H.-J. Bungartz, R.-P. Mundani, and A. Frank, editors, Bubbles, Jaws, Moose Tests, and More: The Wonderful World of Numerical Simulation, VideoMath series. Springer, 15 min., 2004. BibTeX Publisher
  15. Multiresolution Compression and Visualization of Global Topographic Data. T. Gerstner. GeoInformatica, 7(1):7–32, 2003. (shortened version in Proc. Spatial Data Handling 2000, P. Forer, A.G.O. Yeh, J. He (eds.), pp. 14-27, IGU/GISc, 2000, also as SFB 256 report 29, Univ. Bonn, 1999). BibTeX PostScript PDF
  16. Top-down view-dependent terrain triangulation using the octagon metric. T. Gerstner. Technical Report, Institut für Angewante Mathematik, 2003. BibTeX PDF
  17. Dimension–adaptive tensor–product quadrature. T. Gerstner and M. Griebel. Computing, 71(1):65–87, 2003. BibTeX PDF
  18. Wavelet Analysis of Geoscientific Data. T. Gerstner, H.-P. Helfrich, and A. Kunoth. In H.-J. Neugebauer and C. Simmer, editors, Dynamics of Multiscale Earth Systems, Lecture Notes in Earth Sciences 97, 69–88. Springer, 2003. BibTeX PostScript
  19. Wavelet and Multigrid Methods for Convection–Diffusion Equations. T. Gerstner, F. Kiefer, and A. Kunoth. In H.-J. Neugebauer and C. Simmer, editors, Dynamics of Multiscale Earth Systems, Lecture Notes in Earth Sciences 97, 123–134. Springer, 2003. BibTeX PostScript
  20. Multiresolution Extraction and Rendering of Transparent Isosurfaces. T. Gerstner. Computers & Graphics, 26(2):219–228, 2002. (shortened version in Data Visualization '01, D.S. Ebert, J.M. Favre and R. Peikert (eds.), pp. 35-44, Spinger, 2001, also as SFB 256 report 40, Univ. Bonn, 2000). BibTeX PDF
  21. A case study on multiresolution visualization of local rainfall from weather radar measurements. T. Gerstner, D. Meetschen, S. Crewell, M. Griebel, and C. Simmer. In H. Pfister and M. Bailey, editors, Proceedings IEEE Visualization 2002, 533–536. IEEE Computer Society Press, 2002. (also as SFB 256 report 45, University of Bonn, 2001). BibTeX PDF
  22. Multiskalenmethoden zur Kompression und interaktiven Verarbeitung großer Datenmengen. T. Gerstner. Dissertation, Universität Bonn, 2001. BibTeX PDF
  23. Error Measurement in Multiresolution Digital Elevation Models. T. Gerstner and M. Hannappel. In G.B.M. Heuvelink and M.J.P.M. Lemmens, editors, Accuracy 2000 (Proc. 4th International Symposium on Spatial Accuracy Assessment in Natural Resources and Environmental Sciences), 245–252. Delft University Press, 2000. BibTeX PostScript PDF
  24. Topology Preserving and Controlled Topology Simplifying Multiresolution Isosurface Extraction. T. Gerstner and R. Pajarola. In T. Ertl, B. Hamann, and A. Varshney, editors, Proceedings IEEE Visualization 2000, 259–266. IEEE Computer Society Press, 2000. (also as SFB 256 report 31, Univ. Bonn, 2000). BibTeX PDF
  25. Multiresolutional parallel isosurface extraction based on tetrahedral bisection. T. Gerstner and M. Rumpf. In M. Chen, A. Kaufman, and R. Yagel, editors, Volume Graphics, 267–278. Springer, 2000. (also as SFB 256 report 23, Univ. Bonn, 1999). BibTeX PostScript
  26. Error Indicators for Multilevel Visualization and Computing on Nested Grids. T. Gerstner, M. Rumpf, and U. Weikard. Computers & Graphics, 24(3):363–373, 2000. (shortened version in Data Visualization '99, E. Gröller, H. Löffelmann, W. Ribarsky (eds), pp. 199-211, Springer, 1999, also as SFB 256 report 24, Univ. Bonn, 1999). BibTeX PostScript PDF DOI
  27. Adaptive Hierarchical Methods for Landscape Representation and Analysis. T. Gerstner. In S. Hergarten and H.-J. Neugebauer, editors, Process Modelling and Landform Evolution, Lecture Notes in Earth Sciences 78, 75–92. Springer, 1999. BibTeX PostScript
  28. Numerical integration using sparse grids. T. Gerstner and M. Griebel. Numer. Algorithms, 18:209–232, 1998. (also as SFB 256 preprint 553, Univ. Bonn, 1998). BibTeX PostScript
  29. Ein adaptives hierarchisches Verfahren zur Approximation und effizienten Visualisierung von Funktionen und seine Anwendung auf digitale 3–D Höhenmodelle. T. Gerstner. Diplomarbeit, Institut für Informatik, TU München, 1995. BibTeX PostScript