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Center for Mathematical Economics - Kategorie Forschung

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".
Gesendet von GBauch in Forschung

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.
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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.
Gesendet von GBauch in Forschung

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/
Gesendet von RDoleske in Forschung

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
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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".
Gesendet von GBauch in Forschung

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.
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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.
Gesendet von GBauch in Forschung

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.
Gesendet von RDoleske in Forschung

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!
Gesendet von GBauch in Forschung

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.
Gesendet von RDoleske in Forschung

Paper of Giorgio Ferrari accepted in Finance and Stochastics

Veröffentlicht am 11. Juni 2020
The paper "Optimal Reduction of Public Debt under Partial Observation of the Economic Growth" by Giorgio Ferrari (joint with Giorgia Callegaro and Claudia Ceci) has been accepted for publication on Finance and Stochastics.
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New Leibniz Research Campus

Veröffentlicht am 1. Juni 2020
Anna Zaharieva and Herbert Dawid are among researchers from Bielefeld University and the DIW Berlin, who will study economic, political and social aspects of regional heterogenity within the newly established Leibniz Research Campus "SOEP RegioHub". In their work Zaharieva and Dawid will combine the empirical analysis, mainly relying on SOEP data, with dynamic modelling approaches. Anna Zahariava is also co-speaker of the Campus which will receive funding from the Leibniz Association till 2024.
Gesendet von GBauch in Forschung

Giorgio Ferrari is giving an online talk at the University of L'Alquila on May 18th

Veröffentlicht am 18. Mai 2020
On May 18, Giorgio Ferrari is giving an online talk at the University of L'Aquila (Italy) on "Singular Control of the Drift of a Brownian System".
Gesendet von RDoleske in Forschung

Paper of Max Nendel has been accepted by the Bulletin of the London Mathematical Society

Veröffentlicht am 8. Mai 2020
Max Nendel's paper with the title"A note on stochastic dominance, uniform integrability, and lattice properties" has been accepted for publication in the Bulletin of the London Mathematical Society. Congratulations!
Gesendet von GBauch in Forschung

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