Mr. Holtz is now at
Baloise Group.
This page is no longer maintained.
Completed Research Projects
Adaptive and robust multigrid methods for space time discretizations
Project C2,
SFB 611.
Homepage.
FIDEUM: Modellierung und Bewertung von Finanzderivaten in unvollständigen Märkten
BMBF support program.
Pricing of contingent claims, path- and performance-dependent options, Brownian bridge construction, principal component analysis, adaptive sparse grids, dimension reduction.
Valuation of Performance-Dependent Options
Homepage.
Publications
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Dimension-wise integration of high-dimensional functions with applications to finance.
M. Griebel and M. Holtz.
J. Complexity, 26:455–489, 2010.
Also available as INS Preprint 0809.
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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.
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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.
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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.
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Valuation of performance-dependent options.
T. Gerstner and M. Holtz.
Applied Mathematical Finance, 15(1):1–20, 2008.
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Sparse Grid Quadrature in High Dimensions with Applications in Finance and Insurance.
M. Holtz.
Dissertation, Institut für Numerische Simulation, Universität Bonn, 2008.
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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.
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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.
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B-spline-based monotone multigrid methods.
M. Holtz and A. Kunoth.
SIAM J. Numer. Anal., 45(3):1175–1199, 2007.
Also as SFB 611 preprint No. 0252, 2005.
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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.
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B-spline based monotone multigrid methods, with an application to the pricing of American options.
M. Holtz and A. Kunoth.
In P. Wesseling, C.W. Oosterlee, and P. Hemker, editors, Multigrid, Multilevel and Multiscale Methods, volume of Proc. EMG. 2005.
Also as SFB 611 preprint No. 0289, 2006.
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Konstruktion B-Spline-basierter monotoner Mehrgitterverfahren zur Bewertung Amerikanischer Optionen.
M. Holtz.
Diplomarbeit, Institut für Angewandte Mathematik, Universität Bonn, Bonn, Germany, 2004.
Supervised by Prof. Angela Kunoth.
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The computation of American option price sensitivities using a monotone multigrid method for higher order B-spline discretizations.
M. Holtz.
Working paper., 2004.
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