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  • Administrative Staff | Applied Financial Mathematics
    30 2093 5860 e Mail Adress LastName at math hu berlin de Sabine Bergmann Administrative Staff Sabine Bergmann Humboldt University Berlin Department of Mathematics Unter den Linden 6 10099 Berlin Phone 49 30 2093 5811 e Mail Adress LastName at math hu berlin de 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

    Original URL path: http://horst.qfl-berlin.de/taxonomy/term/1 (2016-04-24)
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  • Postdoctoral Student | Applied Financial Mathematics
    PDEs Stochastic PDEs parabolic potential theory Mathematical Finance and Economics Backward Stochastic Evolutionary Systems and their Applications Related Professional Activities Mathematical Reviews MathSciNet Reviewer since May of 2013 Reviewer for the Annals of Probability Automatica Journal of Differential Equation Statistics and Probability Letters etc Teaching Experience Instructor of Course Stochastic Partial Differential Equations Theory and Applications Master PhD level Humboldt University Berlin Summer Semester 2015 TA for Advanced Mathematics linear Algebra undergraduate level Fudan University Feb Jun 2008 TA for Advanced Mathematical Analysis undergraduate level Fudan University Sep Dec 2012 Publications J Qiu and S Tang Maximum principles for quasi linear backward stochastic partial differential equations Journal of Functional Analysis 262 5 2436 2480 2012 K Du J Qiu and S Tang L p theory for super parabolic backward stochastic partial differential equations in the whole Space Applied Mathematics and Optimization 65 2 175 219 2012 J Qiu S Tang and Y You 2D backward stochastic Navier Stokes equations with nonlinear forcing Stochastic Processes and Their Applications 122 334 356 2012 J Qiu and W Wei On the quasi linear reflected backward stochastic partial differential Equations Journal of Functional Analysis 267 10 3598 3656 2014 P Graewe U Horst and J Qiu A Non Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions SIAM J Control Optim 53 2 690 711 2015 F Delbaen J Qiu and S Tang Forward Backward Stochastic Differential Systems Associated to Navier Stokes Equations in the Whole Space Stochastic Processes and Their Applications 125 7 2516 2561 2015 J Qiu Weak Solution for Fully Nonlinear Stochastic Hamilton Jacobi Bellman Equations 2014 C Bayer U Horst and J Qiu A Functional Limit Theorem for Limit Order Books 2014 U Horst J Qiu and Q Zhang A Constrained Control Problem with Degenerate Coefficients and Degenerate Backward SPDEs with Singular Terminal Condition 2014 J Qiu and S Tang Backward doubly stochastic differential evolutionary systems 2013 J Qiu H ormander Type Theorem for It o Processes and Related Backward SPDEs 2014 J Qiu L 2 Theory of Linear Degenerate SPDEs and L p Estimates for the Uniform Norm of Weak Solutions 2015 Academic Visits Zentrum für interdisziplinäre Forschung Bielefeld Germany March May 2015 Department of Operations Research and Financial Engineering Princeton USA October 2014 Hausdorff Research Institute for Mathematics HIM Bonn Germany July 2013 Department of Mathematics and Statistics University of South Florida March 2012 Institute for Pure Applied Mathematics UCLA USA February 2012 Department of Mathematics ETH Zurich Switzerland August November 2011 Institut de mathématiques EPFL Switzerland October 2011 IRMAR Université de Rennes 1 September 2011 Selected Presentations The First Berlin Princeton Singapore Workshop on Quantitative Finance NUS Singapore June 29 July 1 2015 Workshop Mathematics and Financial Economics ZiF Bielefeld Germany May 19 22 2015 New Directions in Financial Mathematics and Mathematical Economics Banff Canada July 2014 The 7th International Symposium on Backward Stochastic Differential Equations Weihai China June 2014 8th World Congress of the Bachelier Finance Society Brussels Belgium June 2014 First Berlin Singapore Workshop

    Original URL path: http://horst.qfl-berlin.de/taxonomy/term/8 (2016-04-24)
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  • Graduate Student | Applied Financial Mathematics
    You are here Home Student Graduate Student Graduate Student Fabian Bendig Graduate Student Johannes Klütz Graduate Student 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

    Original URL path: http://horst.qfl-berlin.de/taxonomy/term/5 (2016-04-24)
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  • PhD Student | Applied Financial Mathematics
    1 Room 232 Rudower Chaussee 25 D 12489 Berlin Phone 49 30 2093 1713 e Mail Adress graewe 64 math hu berlin de Oliver Janke PhD Student Short CV 10 2013 present PhD Fellowship Foundation of German Business sdw 02 2013 present Reviewer for Zentralblatt MATH 04 2012 present PhD Student Humboldt Universität zu Berlin 03 2012 Diploma in Business Mathematics Universität Leipzig 06 2009 Bachelor of Science in Mathematics Leibniz Universität Hannover 06 2005 Abitur general qualification for university entrance Gymnasium Langenhagen Teaching SS 2016 Stochastics I Prof Reiß Humboldt Universität zu Berlin Tutorial On Mondays 13 15 14 45 room 3 006 RUD25 WS 2015 16 Analysis III Tutorial Humboldt Universität zu Berlin WS 2015 16 Stochastics BA Tutorial Humboldt Universität zu Berlin SS 2015 Stochastics I Tutorial Humboldt Universität zu Berlin WS 2014 15 Mathematical Finance I Tutorial Humboldt Universität zu Berlin WS 2013 14 Stochastics BA Tutorial Humboldt Universität zu Berlin SS 2013 Stochastics I Tutorial Humboldt Universität zu Berlin WS 2012 13 Linear Algebra I Tutorials Humboldt Universität zu Berlin SS 2012 Linear Algebra II Tutorial Humboldt Universität zu Berlin WS 2007 08 SS 2009 Mathematics for Economists Tutorials Leibniz Universität Hannover Major Research Interests Financial Mathematics Dynamic Portfolio Optimization Backward Stochastic Differential Equations Convex Risk Measures Publications Portfolio optimization under shortfall risk constraint with Q Li Optimization 2016 Organized Workshops Conferences 11 Doktorandentreffen Stochastik 2015 Berlin August 05 07 Selected Presentations 12th GPSD 2016 Bochum March 1 4 Contributed talk to section Finance Insurance Risk Modeling 10 Doktorandentreffen Stochastik 2014 Halle August 06 08 Humboldt Universität zu Berlin Department of Mathematics Unter den Linden 6 D 10099 Berlin Office Johann von Neumann Haus House 1 Room 1 232 Rudower Chausee 25 D 12489 Berlin Consultation on appointment Phone 49 30 2093 1713 e Mail

    Original URL path: http://horst.qfl-berlin.de/taxonomy/term/4 (2016-04-24)
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  • Alumni | Applied Financial Mathematics
    in Statistics 05 2011 09 2001 07 2005 University of Science and Technology of China Business School HeFei China B S in Statistics 07 2005 Major Research Interests Stochastic analysis stochastic optimization stochastic differential equations and their applications to mathematical finance and economics Recent works focusing on some stochastic control problems arising from market microstructure and risk management Publications Fontana C Z Garbac M Jeanblanc and Q Li 2012 Asset Price Models with a Chan ge Point Submitted Karatzas I and Q Li 2011 Impulse Control of a Diffusion with a Change Point Submitted Karatzas I and Q Li 2009 BSDE Approach to Non Zero Sum Stochastic Differential Games of Control and Stopping Stochastic Processes Filtering Control and Their Applications A Festschrift in Honour of Robert J Elliott World Scientific 2012 Selected Presentations Optimal Trading in a Two Sided Limit Order Book CMU 10 2013 University College London 04 2013 Impulse Control of a Diffusion with a Change Point AMS Temple meeting 10 2013 6th Bachelier Colloquium 01 2012 Evry 10 2011 CMU 10 2010 Columbia 09 2010 BSDE Approach to Non Zero Sum Stochastic Differential Games of Control and Stopping Cornell 07 2010 Rutgers 04 2010 UM Ann Arbor 04 2010 Columbia 11 2009 Dr Julio Daniel Backhoff Veraguas Alumni Mathematical Civil Engineer from the Engineering Faculty of the University of Chile Short CV Visit https sites google com site juliobackhoff for semi professional webpage more info and complete CV From Oct 2011 PhD in Mathematics student at the Humboldt Universität zu Berlin under supervision of Prof Ulrich Horst Bachelor in Engineering Sciences with major in Mathematics 2009 and Mathematical Civil Engineering 2011 both form the Universidad de Chile Exchange student at UC Santa Cruz USA Winter 2008 and IMPA Rio de Janeiro Brazil Winter 2010 While student at the Universidad de Chile performed several teaching assistantships Calculus Algebra Probability and Statistics Complex Analysis Functional Analysis Optimal Contro Stohastic Calculus Worked at the Mathematical Modeling for Geomechanics Laboratory Autumn 2010 CMM U Chile Completed several programming tasks and internships Major Research Interests Stochastic Optimization eg Stochastic optimal control Functional and Stochastic Analysis eg Orlicz and Modular spaces Mathematical Finance and Mathematical Economics eg Principal Agent problems applications of conditional analysis Publications Optimización robusta de portafolios en un mercado financiero a tiempo continuo caso de incertidumbre no compacta o lineal Thesis for Engineering Mathematics Universidad de Chile 2011 http www cybertesis uchile cl tesis uchile 2010 cf backhoff jv pdfAmont cf backhoff jv pdf or http www dim uchile cl backhoff Memoria pdf for a rough english translation Some sensitivity results in stochastic optimal control A Lagrange multiplier point of view April 2014 collaboration with Francisco Silva submitted http arxiv org abs 1404 0586 Robust optimization in financial markets without model compactness May 2014 collaboration with Joaquín Fontbona submitted http arxiv org abs 1405 0251 Conditional optimization and dynamic Principal Agent problems Organized Workshops Conferences Organizational and design support for an Optimal Control Laboratory at the Universidad de Chile 2009

    Original URL path: http://horst.qfl-berlin.de/taxonomy/term/9 (2016-04-24)
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  • Nash equilibria of threshold type for two-player nonzero-sum games of stopping | Applied Financial Mathematics
    of threshold type for two player nonzero sum games of stopping 17 December 2015 Kategorie Research Seminars Rudower Chaussee 25 Room 1 115 5 p m Giorgio Ferrari Universität Bielefeld In this talk I consider two player nonzero sum games of optimal stopping on a class of regular diffusions with singular boundary behaviour in the sense of Itô and McKean p 108 I show that Nash equilibria are realised by stopping the diffusion at the first exit time from suitable intervals whose boundaries solve a system of algebraic equations Under mild additional assumptions we also prove uniqueness of the equilibrium Finally I discuss some recent results on the connection between two player nonzero sum games of optimal stopping and a certain class of two player nonzero sum games of singular control The first part of the talk is based on a joint work with Tiziano De Angelis and John Moriarty The last part of the talk is based on an ongoing project with Tiziano De Angelis 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/nash-equilibria-threshold-type-two-player-nonzero-sum-games-stopping (2016-04-24)
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  • Backward Stochastic Partial Differential Equations in Hölder Spaces | Applied Financial Mathematics
    partial differential equations BSPDEs of super parabolic type The pair of unknown functional variables are viewed as deterministic time space functionals but take values in Banach spaces of random vector variables or processes We define suitable functional Hölder spaces for them and give some inequalities among these Hölder norms The existence uniqueness as well as the regularity of solutions are proved for BSPDEs which contain new assertions even on deterministic

    Original URL path: http://horst.qfl-berlin.de/backward-stochastic-partial-differential-equations-h%C3%B6lder-spaces (2016-04-24)
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  • Generalized Dynkin games and game options in an imperfect market with default | Applied Financial Mathematics
    existence of a value function for this game This value can be characterized via a doubly reflected BSDE Using this characterization we provide some new results on these equations such as comparison theorems and a priori estimates When the obstacles are left upper semicontinuous along stopping times we prove the existence of a saddle point We also study a generalized mixed game problem when the players have two actions continuous control and stopping In the second part of the talk we study the pricing and superhedging strategies for game options in an imperfect market with default We extend the results obtained by Kifer in the case of a perfect market model to the case of imperfections on the market taken into account via the nonlinearity of the wealth dynamics We prove that the superhedging price of a game option coincides with the value function of a corresponding generalized Dynkin game expressed in terms of the g evaluation We then address the case of ambiguity on the model for example an ambiguity on the default probability and characterize the superhedging price of a game option as the value function of a mixed generalized Dynkin game We prove the existence of a

    Original URL path: http://horst.qfl-berlin.de/generalized-dynkin-games-and-game-options-imperfect-market-default (2016-04-24)
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