Biography

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Role

Director of Doctoral Studies (School of Mathematical & Physical Sciences)

Convenor, MSc Financial Mathematics and MSc Corporate and Financial Risk Management

Senior Tutor for Mathematics Postgraduate

Senior Lecturer in Mathematics

• Numerics, modelling and analysis of partial differential equations
• Financial mathematics

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Teaching 2013-14

• Financial Portfolio Analysis (849G1)
• Mathematical Models in Finance & Industry (832G1)

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Student Consultation

Autumn and spring term: Tuesday 14-15 or by appointment (email to b.during@sussex.ac.uk)

Out of term: by appointment (email to b.during@sussex.ac.uk)

Düring, Bertram and Fournié, Michel (2012) High-order compact finite difference scheme for option pricing in stochastic volatility models. Journal of Computational and Applied Mathematics, 236 (17). pp. 4462-4473. ISSN 0377-0427

Düring, Bertram and Fournié, Michel (2012) On the stability of a compact finite difference scheme for option pricing. In: Progress in industrial mathematics at ECMI 2010. Mathematics in industry, 17 (3). Springer, Berlin, Heidelberg, pp. 215-221. ISBN 978-3642250996

Düring, Bertram and Schönlieb, Carola-Bibiane (2012) A high-contrast fourth-order PDE from imaging: numerical solution by ADI splitting. In: Multi-scale and high-contrast partial differential equations: from modelling, to mathematical analysis, to inversion. Contemporary Mathematics, 577 . American Mathematical Society, Providence, pp. 93-104. ISBN 9780821869291

Düring, B (2011) Kinetic modelling of opinion leadership. SIAM News, 44 (10). pp. 1-8. ISSN 0036-1437

Düring, Bertram (2010) Multi-species models in econo- and sociophysics. In: Econophysics & Economics of Games, Social Choices and Quantitative Techniques. Springer, Dordrecht, pp. 83-89. ISBN 9788847015005

Düring, Bertram, Matthes, Daniel and Milišić, Josipa Pina (2010) A gradient flow scheme for nonlinear fourth order equations. Discrete and Continuous Dynamical Systems - Series B, 14 (3). pp. 935-959. ISSN 1531-3492

Düring, Bertram and Fournié, Michel (2010) Compact finite difference scheme for option pricing in Heston's model. In: In: AIP Conference Proceedings 1281, Numerical Analysis and Applied Mathematics: International Conference of Numerical Analysis and Applied Mathematics 2010, T.E. Simos et al. (eds.), pp. 219-222, American Institute of Physics (AIP), Melville, NY, 2010., Rhodes, Greece.

Düring, Bertram and Matthes, Daniel (2010) A mathematical theory for wealth distribution. In: Mathematical modeling of collective behavior in socio-economic and life-sciences. Birkhäuser, pp. 81-113. ISBN 978-0-8176-4945-6

Düring, Bertram, Markowich, Peter, Pietschmann, Jan-Frederik and Wolfram, Marie-Therese (2009) Boltzmann and Fokker-Planck equations modelling opinion formation in the presence of strong leaders. Proceedings A: Mathematical, Physical and Engineering Sciences, 465 (211). pp. 3687-3708. ISSN 1364-5021

Düring, Bertram, Matthes, Daniel and Toscani, Giuseppe (2009) A Boltzmann-type approach to the formation of wealth distribution curves. Rivista di Matematica della Università di Parma, 8 (1). pp. 199-261. ISSN 0035-6298

Düring, Bertram (2009) Asset pricing under information with stochastic volatility. Review of Derivatives Research , 12 (2). pp. 141-167. ISSN 1380-6645

Düring, Bertram (2009) Calibration problems in option pricing. In: Nonlinear Models in Mathematical Finance: New Research Trends in Option Pricing. Nova Science Publishers, pp. 323-352. ISBN 9781604569315

Düring, Bertram and Toscani, Giuseppe (2008) International and domestic trading and wealth distribution. Communications in Mathematical Sciences, 6 (4). pp. 1043-1058. ISSN 1539-6746

Düring, B, Jüngel, A and Volkwein, S (2008) Sequential Quadratic Programming Method for Volatility Estimation in Option Pricing. Journal of Optimization Theory and Applications, 139 (3). pp. 515-540. ISSN 0022-3239

Düring, Bertram, Matthes, Daniel and Toscani, Giuseppe (2008) Kinetic equations modelling wealth redistribution: a comparison of approaches. Physical Review E, 78 (5). ISSN 1539-3755

Düring, B, Matthes, D and Toscani, G (2008) Exponential and algebraic relaxation in kinetic models for wealth distribution. In: "WASCOM 2007" - Proceedings of the 14th Conference on Waves and Stability in Continuous Media, N. Manganaro et al. (eds.), pp. 228-238, World Sci. Publ., Hackensack, NJ, 2008., Sicily, Italy.

Düring, Bertram (2007) A semi-smooth Newton method for an inverse problem in option pricing. In: Sixth International Congress on Industrial Applied Mathematics (ICIAM07) and GAMM Annual Meeting, 2007, Zürich.

Düring, B and Toscani, G (2007) Hydrodynamics from kinetic models of conservative economies. Physica A: Statistical Mechanics and its Applications, 384 (2). pp. 493-506. ISSN 0378-4371

Düring, Bertram (2005) Black-Scholes type equations: mathematical analysis, parameter identification & numerical solution. Doctoral thesis, Unset.

Düring, Bertram and Jüngel, Ansgar (2005) Existence and uniqueness of solutions to a quasilinear parabolic equation with quadratic gradients in financial markets. Nonlinear Analysis, 62 (3). pp. 519-544.

Düring, Bertram and Lüders, Erik (2005) Option prices under generalized pricing kernels. Review of Derivatives Research, 8 (2). pp. 97-123.

Düring, Bertram, Fournié, Michel and Jüngel, Ansgar (2004) Convergence of a high-order compact finite difference scheme for a nonlinear Black-Scholes equation. ESAIM: Mathematical Modelling and Numerical Analysis, 38. pp. 359-369. ISSN 0764-583X

Düring, Bertram, Fournié, Michel and Jüngel, Ansgar (2003) High-order compact finite difference schemes for a nonlinear Black-Scholes equation. International Journal of Theoretical and Applied Finance , 6 (7). pp. 767-789. ISSN 0219-0249