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- Thomas Pöche | Applied Financial Mathematics

are here Home Thomas Pöche Thomas Pöche Alumni Short CV July 2009 Humboldt Universität Berlin August present dfine News Computer klüger als der Mensch Das vergessene Werkzeug der Ökonomie Research Projects funded under HU s strategic partnership programs with Princeton University and NUS Young researcher worksho p d fine job opportunities d fine continuously offers job opportunities for students and university graduates both internships and permanent positions Please use the

Original URL path: http://horst.qfl-berlin.de/thomas-p%C3%B6che (2016-04-24)

Open archived version from archive - Toralf Niebuhr | Applied Financial Mathematics

Contact Search this site You are here Home Toralf Niebuhr Toralf Niebuhr Alumni News Computer klüger als der Mensch Das vergessene Werkzeug der Ökonomie Research Projects funded under HU s strategic partnership programs with Princeton University and NUS Young researcher worksho p d fine job opportunities d fine continuously offers job opportunities for students and university graduates both internships and permanent positions Please use the following Link if you are

Original URL path: http://horst.qfl-berlin.de/toralf-niebuhr (2016-04-24)

Open archived version from archive - A semigroup approach to nonlinear expectations | Applied Financial Mathematics

version of the Daniell Stone theorem we deduce a robust Kolmogorov extension theorem which is then used to extend nonlinear kernels to an infinite dimensional path space As an llustration we construct nonlinear Markov chains in discretetime In the second part of the talk we construct sublinear semigroups and discuss the link to non linear expectations and PDEs The talk is based on joint work with Robert Denk and Max

Original URL path: http://horst.qfl-berlin.de/semigroup-approach-nonlinear-expectations (2016-04-24)

Open archived version from archive - Multivariate shortfall risk allocation and systemic risk | Applied Financial Mathematics

Papapantoleon TU Berlin The ongoing concern about systemic risk since the outburst of the global financial crisis has highlighted the need for risk measures at the level of sets of interconnected financial components such as portfolios institutions or members of clearing houses The two main issues in systemic risk measurement are the computation of an overall reserve level and its allocation to the different components according to their systemic relevance In this work we develop a pragmatic approach to systemic risk measurement and allocation based on multivariate shortfall risk measures where acceptable allocations are first computed and then aggregated in order to minimize costs We provide existence and uniqueness results for an optimal allocation under mild conditions as well as a characterization of the optimal allocation which is useful for numerical computations We also analyze the interplay between the loss function in the multivariate shortfall risk measure and the dependence structure of the random vector and highlight the relevance as an indicator of systemic risk Moreover we provide and test various numerical schemes to assess the risk allocation in high dimensions News Computer klüger als der Mensch Das vergessene Werkzeug der Ökonomie Research Projects funded under HU s strategic partnership

Original URL path: http://horst.qfl-berlin.de/multivariate-shortfall-risk-allocation-and-systemic-risk (2016-04-24)

Open archived version from archive - Model Uncertainty, Fréchet Bounds and Applications in Option Pricing | Applied Financial Mathematics

option prices of multi asset options i e options on multiple underlyings in the case when partial information of the assets probability distribution is available We focus on the case in which the one dimensional marginal distribution of each individual asset is known while also partial information on the dependence structure between the assets is available This is in the literature often referred to as dependence uncertainty The problem has been extensively studied in the two asset case for which solutions were given by Tankov 2011 and Bernard et al 2012 We generalize these results for options that depend on more than two assets The solution is based on an improvement of the classical Fréchet Hoeffding bounds that allows for a representation of partial information of the dependence structure By an extension of the results of Müller and Stoyan 2003 on multivariate stochastic dominance we are able to show that the improved bounds can be interpreted as minimal or maximal distributions with respect to the lower orthant order The link between the lower orthant order on the set of distribution functions and the prices of multi asset options is established via a multivariate partial integration formula News Computer klüger als

Original URL path: http://horst.qfl-berlin.de/model-uncertainty-fr%C3%A9chet-bounds-and-applications-option-pricing (2016-04-24)

Open archived version from archive - Limiting dynamics of the condensate in the reversible inclusion process on a finite set | Applied Financial Mathematics

of the condensate in the reversible inclusion process on a finite set 3 February 2016 Kategorie Research Seminars WIAS Erhard Schmidt Saal Mohrenstraße 39 10117 Berlin 6 p m Alessandra Bianchi Padova The inclusion process is a stochastic lattice gas where particles perform random walks subjected to mutual attraction thus providing the natural bosonic counterpart of the well studied exclusion process Due to attractive interaction between particles the inclusion process can exhibit a condensation transition where a finite fraction of all particles concentrates on a single site In this talk we characterize the dynamics of the condensate for the reversible inclusion process on a finite set S in the limit of total number of particles going to infinity By potential theoretic techniques we determine the time scales associated to the transitions of the condensate from one site to another and we show that the limiting dynamics of the condensate is a suitable continuous time random walk on S Joint work with S Dommers and C Giardinà News Computer klüger als der Mensch Das vergessene Werkzeug der Ökonomie Research Projects funded under HU s strategic partnership programs with Princeton University and NUS Young researcher worksho p d fine job opportunities d

Original URL path: http://horst.qfl-berlin.de/limiting-dynamics-condensate-reversible-inclusion-process-finite-set (2016-04-24)

Open archived version from archive - Robust super-hedging of options on VIX and martingale optimal transport | Applied Financial Mathematics

this site You are here Home Robust super hedging of options on VIX and martingale optimal transport Robust super hedging of options on VIX and martingale optimal transport 28 January 2016 Kategorie Research Seminars Rudower Chaussee 25 Room 1 115 5 p m Stefano De Marco CMAP Ecolé Polytechnique VIX options traded on the CBOE have become popular volatility derivatives In this work we bound VIX options from S P500 vanilla options and VIX futures This leads us to introduce a new martingale optimal transport problem with additional constraints that can eventually be solve numerically Analytical lower and upper bounds are also provided which highlight some potential arbitrage opportunities We characterize the class of marginal distributions for which these explicit bounds are optimal and illustrate numerically that they seem to be optimal also for the market implied marginal distributions Joint work with P Henry Labordère News Computer klüger als der Mensch Das vergessene Werkzeug der Ökonomie Research Projects funded under HU s strategic partnership programs with Princeton University and NUS Young researcher worksho p d fine job opportunities d fine continuously offers job opportunities for students and university graduates both internships and permanent positions Please use the following Link if

Original URL path: http://horst.qfl-berlin.de/robust-super-hedging-options-vix-and-martingale-optimal-transport (2016-04-24)

Open archived version from archive - Deloitte & Touche GmbH Wirtschaftsprüfungsgesellschaft | Applied Financial Mathematics

Liste an Tätigkeiten im Quantitative Finance Bereich liest sich lang und abwechslungsreich Wir laden Sie zu einem Workshop ein bei dem sie erste Praxisluft aus dem Beratungsalltag schnuppern können Unser Workshop gewährt einen Einblick in die spannenden Aufgaben und Projektarbeit der Quantitative Finance Beratung und zeigt exemplarisch an einem realen Projekt welche Fragestellungen und Lösungsansätze im Rahmen von Beratungsprojekten im quantitativen Bereich auftauchen Anschließend haben Sie noch ausreichend Zeit zum

Original URL path: http://horst.qfl-berlin.de/deloitte-touche-gmbh-wirtschaftspr%C3%BCfungsgesellschaft (2016-04-24)

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