Center for Mathematical Economics
New article by Annika Kemper
Veröffentlicht am 8. August 2022
The paper "The market price of risk for delivery periods: Pricing swaps and options in electricity markets" by Annika Kemper has been accepted for publication in Energy Economics. Congratulations!
New Article by Julian Hölzermann
Veröffentlicht am 5. August 2022
The paper "Pricing Interest Rate Derivatives under Volatility Uncertainty" by Julian Hölzermann has been accepted for publication in Annals of Operations Research. Congratulations!
IMW in Stony Brook
Veröffentlicht am 18. Juli 2022
At the 33rd Stony Brook International Conference on Game Theory, taking place from July 18 to 21, Gerrit Bauch, Manuel Förster and Dominik Karos present their respective research. Further information about the conference as well as its program an be found at the conference's homepage.
IMW at the SAET in Canberra
Veröffentlicht am 16. Juli 2022
At the 21st annual SAET conference, taking place from July 16 to 22, Patrick Beissner, Gerrit Bauch, Ghislain-Herman Demeze-Jouatsa, Marieke Pahlke and Frank Riedel present their respective research in person or virtually. Further information about the conference as well as its program an be found at the conference's homepage.
Shihao Zhu gives an online talk
Veröffentlicht am 13. Juli 2022
On July 13th, 2022, Shihao Zhu gives a online talk entitled "Optimal Consumption, Portfolio and Best Time for Health Investment" during the 25th International Congress on Insurance: Mathematics and Economics. Further information is available on the homepage of the conference.
IMW at the EWET 2022 in Warsaw
Veröffentlicht am 6. Juli 2022
Manuel Förster and Frank Riedel present their work at the European Workshop in Economic Theory in Warsaw, July 7-9 2022. More information can be found on the following homepage.
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.