Dr Linus Wunderlich
Lecturer in Financial Mathematics
School of Mathematical Sciences
Queen Mary University of London
Research
Mathematical foundation of AI, Deep Neural Networks, Option Pricing, Counterparty Credit Risk, Chebyshev Interpolation, Deep parametric PDE method
Interests
Linus' research combines machine learning with numerical techniques in mathematical finance. His work includes solving high-dimensional PDEs with neural networks and accelerated risk computations using Chebyshev interpolations. His research interest extends to the mathematical understanding of artificial intelligence and their wider applications.
Publications
Publications of specific relevance to the Centre for Probability, Statistics and Data Science
2023
Neural network expression rates and applications of the deep parametric PDE method in counterparty credit riskGlau K and
Wunderlich L Annals of Operations Research,
Springer, 1-27.
13-04-2023 2022
The Deep Parametric PDE Method and Applications to Option PricingWunderlich L and Glau K
Applied Mathematics and Computation,
Elsevier 02-07-2022 2021
Forecasting the Olympic medal distribution – A socioeconomic machine learning modelSchlembach C, Schmidt SL, Schreyer D and
Wunderlich L Technological Forecasting and Social Change,
Elsevier, 121314-121314.
12-11-2021 2018
Numerical evaluation of discontinuous and nonconforming finite element methods in nonlinear solid mechanicsBayat HR, Krämer J,
Wunderlich L, Wulfinghoff S, Reese S, Wohlmuth B and Wieners C
Computational Mechanics 23-03-20182015
Trace and flux a priori error estimates in finite-element approximations of Signorni-type problemsSteinbach O, Wohlmuth B and
Wunderlich L Ima Journal of Numerical Analysis,
Oxford University Press (Oup) vol. 36 (3), 1072-1095.
24-07-2015 Isogeometric mortar methodsBrivadis E, Buffa A, Wohlmuth B and
Wunderlich L Computer Methods in Applied Mechanics and Engineering,
Elsevier vol. 284, 292-319.
01-02-2015
Grants
Grants of specific relevance to the Centre for Probability, Statistics and Data Science
Efficient interpolation of the implied volatilityKathrin Glau and
Linus Wunderlich£10,800
Numerical Algorithms Group Ltd01-11-2018 - 31-01-2019
