Gunter Meyer
Professor of Mathematics
Georgia Institute of Technology

phone: (404)-894-5367
fax: 404-894-4409
email: meyer@math.gatech.edu
office: Skiles 241

EDUCATIONAL BACKGROUND:

B.A. 1961, University of Utah, Mathematics

M.S. 1963, University of Maryland, Mathematics

Ph.D. 1967, University of Maryland, Mathematics

CURRENT FIELDS OF INTEREST:

Numerical methods for partial differential equations, Free boundary problems, Reaction diffusion problems and numerical heat transfer, Hysteresis, Two point boundary value problems for ordinary differential equations, Hydrodynamic stability, PDEs in finance

SAMPLE PUBLICATIONS:

Articles

The Black Scholes Barenblatt Equation for Options with Uncertain Volatility and its Application to Static Hedging, Int. J. Theoretical and Appl. Finance 9 (2006), pp. 673-703.

Numerical investigation of early exercise in American puts with discrete dividends, J. Comp. Finance 5 (2002), pp. 37-53.

On pricing American and Asian options with PDE methods, Acta Math., Univ. Comenianae 70 (2001), pp. 153-165.

The numerical valuation of options with underlying jumps, Acta Math. Univ. Comenianae 67 (1998), pp. 69-82.

Pricing options with transaction costs with the method of lines, in Nonlinear Evolution Equations and Applications, M. Otani, edt., Kokyuroku (1061), RIMS Kyoto Univ., 1998.

The valuation of American options with the method of lines, Adv. in Futures and Options Res. 9 (1997), 265-286, with J. Van der Hoek.

Front tracking for the supercooled Stefan problem, Surveys on Math. for Ind. 4 (1994), 57-70, with D.B. Singleton.

Numerical simulations of multi-frequency instability-wave growth and suppression in the Blasius boundary layer, Phys. Fluids A 3 (1991), 328-340, with W.W. Bower and A. Pal.

A least squares method for finding the Preisach hysteresis operator from measurements, Numer. Math 55 (1989), 695-710, with K.- H. Hoffmann.

Books written or edited

Separation of Variables for Partial Differential Equations - An Eigenfunction Approach, Chapman & Hall/CRC, Boca Raton, 2006 (281 pages), with G. L. Cain.

Initial Value Methods for Boundary Value Problems, Academic Press, N.Y., 1973 (270 pages).

Proceedings of a Conference on the Application of Undergraduate Mathematics in the Engineering, Life, Managerial and Social Sciences edited with P. J. Knopp, CUPM - Georgia Tech, 1973.

Integral Equations and Transforms -- Math 6583

Linear Algebra and Ordinary Differential Equations: A Review -- Math 6701

Numerical Methods in Finance -- Math 6635

Separation of Variables for Partial Differential Equations:
An Eigenfunction Approach -- Math 4581