Center for Mathematical Economics
New Article of Maren Schmeck
Veröffentlicht am 19. Oktober 2020
The article "Mortality Options: the Point of View of an Insurer" by Maren Schmeck in cooperation with Hanspeter Schmidli (Cologne University) has been acceptec for publication in the journal "Insurance: Mathematics and Economics".
Game Theorists win Nobel Memorial Prize
Veröffentlicht am 13. Oktober 2020
The IMW appreciates the honour given to Paul R. Milgrom und Robert B. Wilson awarding them with the Nobel Memorial Prize. Their contributions to the field of game theory, especially auction theory, have ever since been seminal and found application in many common scenarios, such as the auction of 5-G mobile licenses.
Further reading and comments of Prof. Riedel, director of the IMW, can be found in the following two German newspaper articles:
Neue Westfälische,
Westfalen-Blatt
New IMW Homepage online
Veröffentlicht am 24. September 2020
Starting from 24th of September 2020, the old homepage of the IMW was exchanged for the new one. It now runs on the new content management system (Roxen17) and fits into the corporate design of the University. If you encounter any wrong links or have suggestions for adjustments, please write an email to our IT support
IMW now on Twitter
Veröffentlicht am 22. September 2020
The IMW is now active on Twitter: https://mobile.twitter.com/BielefeldImw/.
In order to increase our perception on Twitter you can help us by retweeting our posts.
New Paper by Giorgio Ferrari
Veröffentlicht am 17. September 2020
The paper "Numerical Approximation of the Value of a Stochastic Differential Game with Asymmetric Information" - a joint project of Giorgio Ferrari with Lubomir Banas and Tsiry Randrianasolo from the Faculty of Mathematics - has been accepted for publication on SIAM Journal on Control and Optimization.
Working Paper of Max Nendel accepted for Publication
Veröffentlicht am 14. September 2020
The IMW Working Paper "Markov chains under nonlinear expectation" by Max Nendel has been accepted for publication in Mathematical Finance.
Max Nendel held a contributed talk at Bernoulli-IMS One WOrld Symposium 2020
Veröffentlicht am 14. September 2020
Max Nendel has participated in the Bernoulli-IMS One World Symposium 2020 (online) from 24.08-28.08. In this context he held a contributed talk.
Link to the event:
https://www.worldsymposium2020.org/
New Paper by Frank Riedel
Veröffentlicht am 10. September 2020
The paper "Optimal consumption and portfolio choice with ambiguous interest rates and volatility“ has been published online by Economic Theory.
We establish the surprising result that a long term investor who faces sufficiently large Knightian uncertainty about interest rates optimally invests all wealth in risky assets, and stays away from the (deceptively safe) bond market.
Link:
https://rdcu.be/b6ZUI
Jodi Dianetti and Julian Hölzermann attend summer school
Veröffentlicht am 31. August 2020
Jodi Dianetti and Julian Hölzermann attended the 13th European Summer School in Financial Mathematics in Vienna.
Jodi Dianetti gave a talk on "Submodular Mean Field Games: Existence and Approximation of Solutions".
Julian Hölzermann presented his work on "Pricing Interest Rate Derivatives under Volatility Uncertainty".
Jodi Dianetti gave a talk on "Submodular Mean Field Games: Existence and Approximation of Solutions".
Julian Hölzermann presented his work on "Pricing Interest Rate Derivatives under Volatility Uncertainty".
New publication by Ghislain-Herman Demeze-Jouatsa
Veröffentlicht am 27. August 2020
The paper "A complete folk theorem for finitely repeated games" by Ghislain-Herman Demeze-Jouatsa has been accepted for publication in International Journal of Game Theory.
New Article of Anna Zaharieva
Veröffentlicht am 26. August 2020
The article "Formal Search and Referrals from a Firm's Perspective" by Prof. Anna Zaharieva, Martina Rebien and Michael Stops has been published by the International Economic Review.
Marieke Pahlke is giving an online talk at the 12th World Congress of the Econometric Society
Veröffentlicht am 17. August 2020
On August 17, Marieke Pahlke is giving an online talk at the 12th World Congress of the Econometric Society on "Dynamic Consistency in Ambiguous Persuasion".
This year, the congress takes place virtually.
Article of Lazar Obradović published in Mathematical Methods of Operations Research
Veröffentlicht am 11. Juli 2020
The article "Robust best choice problem" of Lazar Obradović, associated researcher of the IMW, has just been published in Mathematical Methods of Operations Research. Congratulations!
New publication by Giorgio Ferrari and Patrick Schuhmann
Veröffentlicht am 7. Juli 2020
The paper A Singular Stochastic Control Problem with Interconnected Dynamics by Giorgio Ferrari and Patrick Schuhmann (joint with Salvatore Federico) has been accepted for publication on SIAM Journal on Control and Optimization.
The ZiF publishes an article of Frank Riedel
Veröffentlicht am 29. Juni 2020
The Center for Interdisciplinary Research (ZiF) publishes the article "The Robust Social Market Economy – Some Thoughts on the Corona Pandemics" of Frank Riedel on their website. You can read the article here.