Webrelaunch 2020

Advised PHD

Tamara Göll: Expected utility maximization for competitive agents. Karlsruhe 2023.

Alexander Glauner: Robust and Risk-Sensitive Markov Decision Processes with Applications to Dynamic Optimal Reinsurance. Karlsruhe 2020.

Gregor Leimcke: Bayesian optimal investment and reinsurance to maximize exponential utility of terminal wealth. Karlsruhe 2020.

Daniel Schmithals: Contributions to model-independent finance via martingale optimal transport. Karlsruhe 2018.

Dirk Lange: Cost Optimal Control of Piecewise Deterministic Markov Processes under Partial Observation. Karlsruhe 2017.

Stefanie Grether: Turnpike-Aussagen in der Portfolio-Optimierung. Karlsruhe 2016.

Anton Popp: Risk-sensitive stopping problems for Continuous-Time Markov chains. Karlsruhe 2016.

Viola Riess: Gasspeicherbewertung: Strukturelle Analyse und Algorithmen. Karlsruhe 2014.

Dominik Joos: Interbank Lending in a Generalized Walras Equilibrium. Karlsruhe 2013.

Zejing Li: Optimal portfolios in Wishart Models and effects of discrete rebalancing on portfolio distribution and strategy selection. Karlsruhe 2012.

Jonathan Ott: A Markov decision model for a surveillance application and risk-sensitive Markov Decision processes. Karlsruhe 2010.

Robin Pfeiffer: State price density models for the term structure of interest rates. Karlsruhe 2010. (GAUSS-Award for young talents 2010)

Anja Blatter: Optimal control and dependence modeling of portfolios with Levy dynamics. Karlsruhe 2009. (2.SCOR-Award 2009)

André Mundt: Dynamic risk management with Markov decision processes. Karlsruhe 2007. (GAUSS-Award 2007)

Mirko Kötter: Optimal investment in time-inhomogeneous Poisson models. Hannover 2006.