Center for Mathematical Economics
Max Nendel gives a talk at the Euro2022 in Finland
Veröffentlicht am 24. Juni 2022
On July 5th, 2022, Max Nendel gives a talk entitled "A decomposition of general premium principles into risk and deviation" during the conference
Euro2022 at the Aalto University in Espoo, Finland.
Further information is available here.
Further information is available here.
Max Nendel gives a talk at TU Berlin
Veröffentlicht am 23. Juni 2022
On June 23rd, 2022, Max Nendel gives a talk entitled "Operator semigroups in the mixed topology and the infinitesimal description of Markov processes" in the Oberseminar Rough Paths, Stochastic Partial Differential Equations, and Related Topics at TU Berlin.
Further information is available here.
Further information is available here.
New paper by G. Ferrari, P. Schuhmann and S. Zhu accepted for publication
Veröffentlicht am 22. Juni 2022
The paper "Optimal Dividends under Markov-modulated Bankruptcy Level" by G. Ferrari, P. Schuhmann and S. Zhu has been accepted for publication in Insurance: Mathematics and Economics.
Max Nendel's Mathematical Finance paper among top downloads
Veröffentlicht am 21. Juni 2022
The paper "Markov chains under nonlinear expectation" by Max Nendel is among the top 10 most downloaded articles in the journal Mathematical Finance within the year after publication. Congratulations!
Annika Kemper, Frank Riedel and Julian Hölzermann at the 11th World Congress of the Bachelier Finance Society
Veröffentlicht am 14. Juni 2022
From June 14 to 16, Annika Kemper, Frank Riedel and Julian Hölzermann give online talk at the 11th World Congress der Bachelier Finance Society. The title of their talks are: "The Market Price of Risk for Delivery Periods: Pricing Swaps and Options in Electricity Markets", "Efficient Allocations under Ambiguous Model Uncertainty" and "Pricing Interest Rate Derivatives under Volatility Uncertainty" respectively. Further information can be found here.
New paper by Max Nendel accepted for publication
Veröffentlicht am 13. Juni 2022
The paper "Separability vs. robustness of Orlicz spaces: financial and economic perspectives" by Max Nendel has been accepted for publication in SIAM Journal on Financial Mathematics. The paper is a joint work with Felix-Benedikt Liebrich. Congratulations!
Jodi Dianetti and Giorgio Ferrari are invited speakers in Bologna
Veröffentlicht am 13. Juni 2022
Jodi Dianetti and Giorgio Ferrari are invited speakers at a Special Session on Mean-field Games within the "Third Italian Meeting on Probability and Mathematical Statistics" (Bologna, June 13-16, 2022).
Further information can be found here.
Further information can be found here.
Frank Riedel gives a talk at the University of Naples Federico II
Veröffentlicht am 10. Juni 2022
Frank Riedel presents his recent work on „Trading Model Uncertainty“ at the Department of Economic Sciences and Statistics of the University of Naples Federico II on Thursday, June 9th.
Further information can be found here.
Max Nendel gives a talk in Freiburg
Veröffentlicht am 8. Juni 2022
On June 10th, 2022, Max Nendel gives a talk entitled "Asymptotic parametrization of Wasserstein balls and perturbed Markovian transition semigroups" in
the FDM-Seminar of the University of Freiburg.
Max Nendel gives a talk in Konstanz
Veröffentlicht am 8. Juni 2022
On July 7th, 2022, Max Nendel gives a talk entitled "Operator semigroups in the mixed topology and the infinitesimal description of Markov processes" at the Oberseminar Stochastische Analysis of Konstanz University.
Alessandro Sgarabottolo gives a talk in Konstanz
Veröffentlicht am 7. Juni 2022
On June 7th, Alessandro Sgarabottolo gives a talk entitled "Asymptotic parametrization of Wasserstein Balls" in the Student Seminar of Konstanz University.
Frank Riedel gives a talk at Waterloo University, Canada
Veröffentlicht am 30. Mai 2022
Frank Riedel presents his recent work on „Trading Model Uncertainty“ at the Actuarial Science and Financial Mathematics seminar series of Waterloo University on Friday, June 3 at 4 pm. The talk will be held online via zoom.
Further information can be found at the website of the seminar series.
Further information can be found at the website of the seminar series.
Workshop in Rome: "Taming Uncertainty and Complexity in Economics and Finance"
Veröffentlicht am 26. Mai 2022
In joint organization with the host, the IMW holds a workshop on "Taming Uncertainty and Complexity in Economics and Finance" at the LUISS University in Rome. Taking place May 26-28 2022, the workshop features not only Giorgio Ferrari and Frank Riedel as members of the organizing committee, but also many speakers from the IMW with the following talks:
Jodi Dianetti: "Submodular Mean Field Games: Existence and Approximation of Solutions"
Max Nendel: "Nonlinear Transition Semigroups and Model Uncertainty"
Annika Kemper: "Linear Quadratic Principal Multi-Agent Incentive Problems with Applications to Development of Renewable Energy"
Julian Hölzermann: "Pricing Interest Rate Derivatives under Volatility Uncertainty in Finance"
Further information is available on the workshop's homepage.
Jodi Dianetti: "Submodular Mean Field Games: Existence and Approximation of Solutions"
Max Nendel: "Nonlinear Transition Semigroups and Model Uncertainty"
Annika Kemper: "Linear Quadratic Principal Multi-Agent Incentive Problems with Applications to Development of Renewable Energy"
Julian Hölzermann: "Pricing Interest Rate Derivatives under Volatility Uncertainty in Finance"
Further information is available on the workshop's homepage.
Workshop in Hannover: "Risk Measures and Uncertainty in Insurance"
Veröffentlicht am 19. Mai 2022
In joint work with the host institute, the IMW holds the workshop "Risk Measures and Uncertainty in Insurance" at the Leibnizhaus Hannover May 19-20. Scientific talks of members of the IMW will be given by Alessandro Sgarabottolo, Max Nendel and Julian Hölzermann.
Further information can be found on the workshop's homepage.
Further information can be found on the workshop's homepage.
Herman Demeze-Jouatsa and Manuel Förster give talks at MOVE Barcelona
Veröffentlicht am 18. Mai 2022
On May 21 Herman Demeze-Jouatsa will talk at the 25th annual workshop of the coalition theory network at MOVE Barcelona about “Farsighted Rationality in Hedonic Games”.
At the same day and event, Manuel Förster will talk about “Strategic Use of Social Media Influencer Marketing".
At the same day and event, Manuel Förster will talk about “Strategic Use of Social Media Influencer Marketing".