Research Interests
 
 
  Comparison of option prices and stochastic models
  Comparison of Markov processes
Optimization problems
Pseudo differential operators and Lévy processes
Financial Mathematics
Stochastic ordering and networks

 

Assistance to Lectures
 
 
SS 2012:  "Mathematical Statistics"
WS 2011/12: "Stochastic processes "
SS 2011:  "Markov chains "

 

Assistance to Seminars
 
 
  SS 2013: "Mathematical risk analysis"
  WS 2012/2013: "Hedging derivatives "
WS 2010/2011: "Financial mathematics "
SS 2010: "Limit theorems in random graphs "

 

Publications
 
 
Optimality in Lévy models, 2013 with E.A.v. Hammerstein, E. Lütkebohmert, L. Rüschendorf, submitted in:
International Journal of Theoretical and Applied Finance (pdf)
Comparison of Markov processes via infinitesimal generators, 2010 with L. Rüschendorf, accepted in:
Statistics & Decisions (pdf)

Zurück zum Personenverzeichnis des Instituts