Tobias von Petersdorff

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A partial integro-differential equation (PIDE) ∂ t u + A[u] = 0 for European contracts on assets with general jump-diffusion price process of Lévy type is derived. The PIDE is localized to bounded domains and the error due to this localization is estimated. The localized PIDE is discretized by the θ-scheme in time and a wavelet Galerkin method with N(More)
We consider elliptic and parabolic variational equations and inequalities governed by integro-differential operators of order 2s ∈ (0, 2]. Our main motivation is the pricing of European or American options under Lévy processes, in particular pure jump processes or jump diffusion processes with tempered stable processes. The problem is discretized using(More)
Motivated by the pricing of American options for baskets we consider a parabolic varia-tional inequality in a bounded polyhedral domain Ω ⊂ R d with a continuous piecewise smooth obstacle. We formulate a fully discrete method by using piecewise linear finite elements in space and the backward Euler method in time. We define an a posteriori error estimator(More)
In an open prospective study, 26 patients with delusional depression (mood-congruent psychotic features: DSM-IV 296.4) were treated over 5 weeks with a combination of SSRI (citalopram, n = 22, or paroxetine, n = 4) and the neuroleptic olanzapine. The course of therapy was evaluated with the Hamilton depression scale (HAMD). Not only the total HAMD score,(More)
Whereas clinical relevant hypo- as well as hyperthyreosis are strongly suspected to induce psychiatric symptoms, there is a controversy about the relevance of only subclinical and autoimmune findings. We found autoantibodies (MAK, TAK, TRAK) in a high percentage (100 out of 144 = 70%) in severely depressed inpatients. Also we found a Hashimoto thyreoiditis(More)