D-67653 Kaiserslautern
Germany
University of Kaiserslautern - Department of Mathematics
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volatility surface, generative modeling, mathematical finance, time series, neural networks, options, normalizing flows, multi-asset markets, generative adversarial networks, autoencoder, copulas, risk management, hedging
asset-liability management, long-term insurance, valuation, insurance products, investments, models
delegated portfolio decision, Merton's portfolio problem, principal-agent theory, quadratic contract, exchange option, growth optimal portfolio
Delegated portfolio decision, Merton's portfolio problem, Principal-agent theory, Quadratic contract, Exchange option, Growth optimal portfolio
Control, Product Life Cycle, Stochastic Impulse Control, Intervention Costs, Regime Shifts
worst-case, crash, portfolio, consumption, verification
Barrier option pricing, Heston stochastic volatility model, Heath-Platen estimator
Portfolio Optimisation, Stochastic Control, HJB Equation
Solveny II, Backtesting, Capital Requirements, Feedback vs. Feedforward, Value of Information
worst-case, crash scenario, robust optimization, Knightian uncertainty, efficiency, min-max approach
dynamic proportional reinsurance, reserve process, worst–case scenario approach, Cramer–Lundberg model, differential game, robust optimization
discrete dividends, no-arbitrage bounds, least squares estimator, American options
Fong-Vasicek Model, Monte Carlo Method, Heath-Platen Estimator
Mean-field games, optimal trading, electricity markets
Optimal portfolios, stochastic interest rate, Cox-Ingersoll-Ross model, stochastic volatility, Heston model, stochastic market price of risk
discrete dividends, optimal portfolios, early announcement
generative modelling, market simulation, signatures, time series
Pension mathematics, inflation, long-term investment
