Düsseldorf
Germany
Heinrich Heine University Dusseldorf
model risk, parameter uncertainty, hedge error, value-at-risk, expected shortfall
Asian options, energy markets, trading restrictions, quadratic hedging, moment matching
Model risk, quadratic hedging, jump processes, energy markets
flow forwards derivatives, term structure, neural networks
systemic risk, financial contagion, holdings, subsidiaries, multilayered networks
optimal execution, price impact, propagator models, operator learning, in-context learning, transformers, optimal stochastic control
