Stephan Sturm

Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences

Associate Professor

United States

http://users.wpi.edu/~ssturm

SCHOLARLY PAPERS

9

DOWNLOADS

1,055

SSRN CITATIONS
Rank 19,147

SSRN RANKINGS

Top 19,147

in Total Papers Citations

40

CROSSREF CITATIONS

14

Scholarly Papers (9)

1.

Arbitrage-Free Pricing of XVA - Part I: Framework and Explicit Examples

Number of pages: 35 Posted: 24 Jan 2015 Last Revised: 15 Aug 2016
Maxim Bichuch, Agostino Capponi and Stephan Sturm
University at Buffalo, SUNY, Columbia University and Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Downloads 318 (136,401)
Citation 4

Abstract:

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XVA, counterparty credit risk, funding spreads, backward stochastic differential equations, arbitrage-free pricing, valuation adjustment

2.
Downloads 147 (279,150)
Citation 13

Arbitrage-Free XVA

Math. Finance 28:2 (2018), 582-620
Number of pages: 39 Posted: 12 Aug 2016 Last Revised: 23 Feb 2020
Maxim Bichuch, Agostino Capponi and Stephan Sturm
University at Buffalo, SUNY, Columbia University and Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Downloads 144 (284,638)
Citation 8

Abstract:

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XVA, counterparty risk, asymmetric rates, collateralization

Arbitrage‐Free XVA

Mathematical Finance, Vol. 28, Issue 2, pp. 582-620, 2018
Number of pages: 39 Posted: 16 Mar 2018
Maxim Bichuch, Agostino Capponi and Stephan Sturm
University at Buffalo, SUNY, Columbia University and Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Downloads 3 (923,781)
Citation 5

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arbitrage‐free valuation, backward stochastic differential equations, counterparty credit risk, funding spreads, XVA

3.

Arbitrage-Free Pricing of XVA – Part II: PDE Representation and Numerical Analysis

Number of pages: 18 Posted: 23 Feb 2015 Last Revised: 15 Aug 2016
Maxim Bichuch, Agostino Capponi and Stephan Sturm
University at Buffalo, SUNY, Columbia University and Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Downloads 147 (279,150)
Citation 6

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XVA, counterparty credit risk, funding spreads, partial differential equations, viscosity and classical solutions

4.
Downloads 123 (319,807)
Citation 2

From Smile Asymptotics to Market Risk Measures

Math. Finance 25:2 (2015), 400-425
Number of pages: 24 Posted: 23 Jul 2011 Last Revised: 23 Feb 2020
Stephan Sturm and Ronnie Sircar
Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences and Princeton University - Department of Operations Research and Financial Engineering
Downloads 123 (321,256)

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dynamic convex risk measures, volatility skew, stochastic volatility models, indifference pricing, backward stochastic differential equations

From Smile Asymptotics to Market Risk Measures

Mathematical Finance, Vol. 25, Issue 2, pp. 400-425, 2015
Number of pages: 26 Posted: 04 Mar 2015
Ronnie Sircar and Stephan Sturm
Princeton University - Department of Operations Research and Financial Engineering and Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Downloads 0

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dynamic convex risk measures, volatility skew, stochastic volatility models, indifference pricing, backward stochastic differential equations

5.

Portfolio Optimization Under Convex Incentive Schemes

Finance Stochastics 18:4, pp. 873-915 (2014)
Number of pages: 39 Posted: 15 Sep 2011 Last Revised: 21 Feb 2015
Maxim Bichuch and Stephan Sturm
University at Buffalo, SUNY and Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Downloads 116 (333,515)
Citation 8

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portfolio optimization, hedgefund manager's problem, incentive scheme, convex duality, incomplete market, stochastic volatility model

6.

Robust XVA

Forthcoming, Mathematical Finance
Number of pages: 45 Posted: 27 Feb 2018 Last Revised: 23 Feb 2020
Maxim Bichuch, Agostino Capponi and Stephan Sturm
University at Buffalo, SUNY, Columbia University and Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Downloads 114 (337,678)
Citation 1

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robust XVA, counterparty credit risk, backward stochastic differential equation, arbitrage-free valuation

7.

Sensitivity of the Eisenberg-Noe Clearing Vector to Individual Interbank Liabilities

Norges Bank Working Paper 13/2017
Number of pages: 35 Posted: 08 Sep 2017
Stevens Institute of Technology - School of Business, Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences, Vienna University of Economics and Business, Norges BankEuropean Systemic Risk Board - EUROPEAN SYSTEMIC RISK BOARD, Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences and University of California, Santa Barbara (UCSB)
Downloads 41 (577,675)
Citation 9

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Systemic Risk, Model Risk, Eisenberg–Noe Clearing Vector, Sensitivity Analysis, Interbank Networks, Contagion

8.

A Sensitivity Analysis of the Long-Term Expected Utility of Optimal Portfolios

Number of pages: 42 Posted: 18 Jun 2019
Hyungbin Park and Stephan Sturm
Seoul National University and Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Downloads 33 (622,616)

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portfolio optimization, sensitivity analysis, spectral analysis, ergodic Hamilton-Jacobi-Bellman equation, Hansen-Scheinkman decomposition

9.

Cost-efficiency in Incomplete Markets

Number of pages: 44 Posted: 30 Jun 2022
Carole Bernard and Stephan Sturm
Grenoble Ecole de Management and Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Downloads 16 (749,791)

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Cost-efficiency, portfolio choice, law-invariant objective, utility maximization.