United States
http://users.wpi.edu/~ssturm
Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Commodity Futures, Term Structure, Convenience Yield, Path Signatures, Interpretability, Perturbation
XVA, counterparty credit risk, funding spreads, backward stochastic differential equations, arbitrage-free pricing, valuation adjustment
XVA, counterparty risk, asymmetric rates, collateralization
portfolio optimization, hedgefund manager's problem, incentive scheme, convex duality, incomplete market, stochastic volatility model
XVA, counterparty credit risk, funding spreads, partial differential equations, viscosity and classical solutions
dynamic convex risk measures, volatility skew, stochastic volatility models, indifference pricing, backward stochastic differential equations
robust XVA, counterparty credit risk, backward stochastic differential equation, arbitrage-free valuation
Systemic Risk, Model Risk, Eisenberg–Noe Clearing Vector, Sensitivity Analysis, Interbank Networks, Contagion
Cost-efficiency, portfolio choice, law-invariant objective, utility maximization. Mathematics Subject Classification (2010): 91G10
Path Signatures, Feature Extraction, Classification, Data Streams
portfolio optimization, sensitivity analysis, spectral analysis, ergodic Hamilton-Jacobi-Bellman equation, Hansen-Scheinkman decomposition
American Options, Fully Dynamic Convex Risk Measures, Indifference Pricing, (Reflected) Backward Stochastic Differential Equations. Mathematics Subject Classification (2020): 91G20
