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Third-Party Funds


  • New Approaches to Defaultable Term Structure Models (DFG)
  • Impulse Control Problems and Adaptive Numerical Solution of Quasi-Variational Inequalities in Markovian Factor Models (DFG, with Prof. Dr. Roland Herzog)
  • Filtering techniques in the modeling, pricing and hedging of interest rate and credit risk (finished, DFG - with Prof. Rüdiger Frey)


Participating Scientist in the GRK 597:  Analysis, Geometry and their Connection with the Natural Sciences, DFG (2000-2009)