Staff and
Department Search

Jun.-Prof. Dr. Max Nendel

Photo of the person Herr Jun.-Prof. Dr.  Max Nendel - Opens the image in full size on a new page

Contact

1. Center for Mathematical Economics

E-Mail
max.nendel@uni-bielefeld.de  
Phone
+49 521 106-4904  
Phone No. of Secretary
+49 521 106-4907 Secretary's Details
Office
UHG V10-132 Locations Map
Availability

nach Vereinbarung

 
Postbox
U/V3 1714

3. Faculty of Business Administration and Economics

Juniorprofessor am IMW

E-Mail
max.nendel@uni-bielefeld.de  
Phone
+49 521 106-4904  
Phone No. of Secretary
+49 521 106-4907 Secretary's Details
Office
UHG V10-132 Locations Map
Availability

nach Vereinbarung

 

Curriculum Vitae

Personal Data
Born in Singen am Hohentwiel on May 25th, 1988. Married, 1 child. German citizen.

Academic Positions
Junior professor (salary level W1), Bielefeld University, 01.06.2021 -.
Postdoctoral researcher, Bielefeld University, 01.04.2018 - 31.05.2021
(Paternal leave: 19.10.2019 - 18.01.2020)
Visiting lecturer, Universidad del Norte, Barranquilla, 01.01.2017 - 31.05.2017
Visiting lecturer, HTWG Konstanz, 01.10.2015 - 30.09.2017
Teaching assistant, University of Konstanz, 01.05.2014 - 31.03.2018
Student teaching assistant, University of Konstanz, 01.10.2011 - 30.04.2014

Academic Studies
Dr. rer. nat. (Mathematics), University of Konstanz, 20.12.2017
M.Sc. (Mathematics), University of Konstanz, 21.03.2014
B.Sc. (Mathematics), University of Konstanz, 05.07.2012

Third party funding
PI in the Bielefeld University RTG 2865 Coping with Uncertainty in Dynamic Economies (CUDE) , funded by the German Research Foundation (Deutsche Forschungsgemeinschaft), 01.10.2023 – 30.09.2028.
PI in the Project C7 Markovian dynamics under model uncertainty of the Bielefeld University CRC 1283, funded by the German Research Foundation (Deutsche Forschungsgemeinschaft), 01.01.2022 - 30.06.2025.
Co-I in the Project C5 Financial equilibria under Knightian uncertainty of the Bielefeld University CRC 1283, funded by the German Research Foundation (Deutsche Forschungsgemeinschaft), 01.04.2018 - 31.12.2021 (PI: Frank Riedel).
Co-I in the project Problemas de transmisión asociados a placas termoelásticas acopladas con membranas, funded by COLCIENCIAS, code 121571250194, 21.06.2016 - 21.12.2019 (PIs: Bienvenido Barraza, Robert Denk, and Jairo Hernández).

Preprints and working papers
[7] A hypothesis test for the long-term calibration in rating systems with overlapping time windows (with P. Kurth and J. Streicher). Preprint, 2023. https://www.sfb1283.uni-bielefeld.de/preprints/sfb23090.pdf
[6] Risk measures based on weak optimal transport (with M. Kupper and A. Sgarabottolo). Preprint, 2023. https://arxiv.org/abs/2312.05973
[5] Convergence of infinitesimal generators and stability of convex monotone semigroups (with J. Blessing and M. Kupper). Preprint, 2023. https://arxiv.org/abs/2305.18981
[4] A parametric approach to the estimation of convex risk functionals based on Wasserstein distance (with A. Sgarabottolo). Preprint, 2022. https://arxiv.org/abs/2210.14340
[3] Lower semicontinuity of monotone functionals in the mixed topology on Cb. Preprint, 2022. http://arxiv.org/abs/2210.09133
[2] Operator semigroups in the mixed topology and the infinitesimal description of Markov processes (with B. Goldys and M. Röckner). Preprint, 2022. https://arxiv.org/abs/2204.07484
[1] Convex monotone semigroups and their generators with respect to gamma-convergence (with J. Blessing, R. Denk, and M. Kupper). Preprint, 2022. https://arxiv.org/abs/2202.08653

Publications
[16] An axiomatic approach to default risk and model uncertainty in rating systems (with J. Streicher). Forthcoming in J. Math. Econom. 109 (2023), paper no. 102896. https://doi.org/10.1016/j.jmateco.2023.102896
[15] Convex semigroups on lattices of continuous functions (with R. Denk and M. Kupper). Publ. Res. Inst. Math. Sci. 59 (2023), 393-421. https://doi.org/10.4171/prims/59-2-4
[14] A unifying framework for submodular mean field games (with J. Dianetti, G. Ferrari, and M. Fischer). Math. Oper. Res. 48 (2023), 1679-1710. https://doi.org/10.1287/moor.2022.1316
[13] Wasserstein perturbations of Markovian transition semigroups (with S. Fuhrmann and M. Kupper). Ann. Inst. H. Poincaré Probab. Statist. 59 (2023), 904-932. https://doi.org/10.1214/22-AIHP1270
[12] Separability vs. robustness of Orlicz spaces: financial and economic perspectives (with F.-B. Liebrich). SIAM J. Financial Math. 13 (2022), 1344-1378. https://doi.org/10.1137/21M1418794
[11] Upper envelopes of families of Feller semigroups and viscosity solutions to a class of nonlinear Cauchy problems (with M. Röckner). SIAM J. Control Optim. 59 (2021), 4400-4428. https://doi.org/10.1137/20M1314823
[10] Submodular mean field games: existence and approximation of solutions (with J. Dianetti, G. Ferrari, and M. Fischer). Ann. Appl. Probab. 31 (2021), 2538-2566. https://doi.org/10.1214/20-AAP1655
[9] A decomposition of general premium principles into risk and deviation (with M.D. Schmeck and F. Riedel). Insurance Math. Econom. '100''' (2021), 193-209. https://doi.org/10.1016/j.insmatheco.2021.05.006
[8] Convex semigroups on Lp-like spaces (with R. Denk and M. Kupper). J. Evol. Equ. 21 (2021), 2491-2521. https://doi.org/10.1007/s00028-021-00693-3
[7] On nonlinear expectations and Markov chains under model uncertainty. 'Internat. J. Approx. Reason. 130 (2021), 226-245. https://doi.org/10.1016/j.ijar.2020.12.013
[6] Markov chains under nonlinear expectation. Math. Finance 31' (2021), 474-507. https://doi.org/10.1111/mafi.12289
[5] A note on stochastic dominance, uniform integrability, and lattice properties. Bull. Lond. Math. Soc. 52 (2020), 907-923. https://doi.org/10.1112/blms.12371
[4] A semigroup approach to nonlinear Lévy processes (with R. Denk and M. Kupper). Stochastic Process. Appl. Math. 130 (2020), 1616-1642. https://doi.org/10.1016/j.spa.2019.05.009
[3] Regularity and asymptotic behavior for a damped plate-membrane transmission problem (with B. Barraza, R. Denk, J. Hernández, and F. Kammerlander). J. Math. Anal. Appl. 474 (2019), 1082-1103. https://doi.org/10.1016/j.jmaa.2019.02.005
[2] Mapping properties for operator-valued pseudodifferential operators on toroidal Besov spaces (with B. Barraza, R. Denk, and J. Hernández). J. Pseudo-Differ. Oper. Appl. 9 (2018), 523-538. https://doi.org/10.1007/s11868-017-0224-x
[1] Kolmogorov-type and general extension results for nonlinear expectations (with R. Denk and M. Kupper). Banach J. Math. Anal. 12 (2018), 515-540. https://doi.org/10.1215/17358787-2017-0024

Selected Talks
Model Risk in Finance: Bridging Theory to Applications (University College Dublin), 11.12.2023
Financial Mathematics Seminar (Princeton University), 03.10.2023
AMASES 2023 (Università degli Studi di Milano-Bicocca), 22.09.2023
Seminar in Probability and Finance (Università degli Studi di Padova), 15.09.2023
The Mathematics of Subjective Probability 2023 (Università degli Studi di Milano-Bicocca), 12.09.2023
Seminário de Probabilidades e Estatística (Universidade de Coimbra), 19.07.2023
ISIPTA 2023 (Universidad de Oviedo), 13.07.2023
11th General AMaMeF Conference (Bielefeld University), 26.06.2023
Stochastic Finance Seminar (The University of Warwick, Coventry), 10.05.2023
QFW 2023 (Università degli studi di Cassino, Castello Angioino, Gaeta), 20.04.2023
RUFE Johannesburg (University of Johannesburg), 07.04.2023
Research Seminar of Xin Guo (UC Berkeley), 16.12.2022
AustMS 2022 (University of New South Wales, Sydney), 06.12.2022
Stochastics and Finance Seminar (The University of Sydney), 30.11.2022
MAS Colloquium (NTU Singapore), 10.11.2022
Virtual Informal Systems Seminar (McGill University, Montreal / online), 07.10.2022
AMASES 2022 (Università degli Studi, Palermo), 24.09.2022
Advances in Stochastic Control and Optimal Stopping with Applications in Finance and Economics (CIRM Luminy), 14.09.2022
Mathematics and Financial Economics - Many Player Games and Applications (HU Berlin), 30.08.2022
EURO 2022 (Aalto University, Espoo), 05.07.2022
Oberseminar Rough Paths, Stochastic Partial Differential Equations and Related Topics (TU Berlin), 23.06.2022
FDM Seminar (University of Freiburg), 10.06.2022
Oberseminar Stochastic Analysis (University of Konstanz), 07.06.2022
Taming Uncertainty and Complexity in Economics and Finance (LUISS University, Rome), 27.05.2022
Workshop on Stochastic Games and Martingale Optimal Transport (Università degli Studi, Milan), 06.05.2022
Stochastics and Finance Seminar (The University of Sydney / online), 27.04.2022
13th International Workshop on Stochastic Models and Control (Lübeck-Travemünde), 16.03.2022
Berlin Probability Colloquium (Humboldt University, Berlin), 12.01.2022
CMStatistics 2021 (King's College, London / online), 20.12.2021
Weekly Seminars on Risk Management and Actuarial Science (University of Waterloo / online), 09.12.2021
German Probability and Statistics Days 2021 (University of Mannheim / online), 28.09.2021
6th Berlin Workshop for Young Researchers in Mathematical Finance (online), 24.08.2021
ISIPTA 2021 (Granada / online), 07.07.2021
UQOP 2020 (online), 17.11.2020
Bernoulli-IMS One World Symposium 2020 (online), 24.08.2020 - 28.08.2020
XIII Congress GAFEVOL (Universidad del Norte, Barranquilla), 29.11.2019
Vienna Congress on Mathematical Finance - VCMF 2019 (WU Vienna), 10.09.2019
ISIPTA 2019 (Ghent University), 07/06/2019
9th general AMaMeF Conference (Sorbonne Université, Paris), 12.06.2019
Research Group Computational Mechanics (TU Munich), 10.07.2018
Workshop - Robust Finance (University of Freiburg), 16.05.2018
Mathematical Finance Seminar (Bielefeld University), 18.04.2018
13th German Probability and Statistics Days (University of Freiburg), 01.03.2018
TULKKA Workshop (University of Ulm), 25.07.2017
Mathematical Colloquium (Universidad de los Andes, Bogotá), 23.03.2017
Spring School on Evolution Equations during the Cátedra Europa 2016
(Universidad del Norte, Barranquilla), 14.03.2016 - 18.03.2016
12th German Probability and Statistics Days (University of Bochum), 02.03.2016
2nd International Workshop on Pseudodifferential Operators and Applications
(Universidad del Norte, Barranquilla), 12.03.2015

Conference participations and poster presentations
XXI Workshop on Quantitative Finance - QFW2020 (Parthenope University, Naples), 29.01.2020 - 31.01.2020 (poster presentation).
New Frontiers in Stochastics for Economics and Finance (University of Siena), 30.05.2019 - 01.06.2019 (poster presentation)
Robust Techniques in Quantitative Finance (University of Oxford), 03.09.2018 - 07.09.2018 (poster presentation)
Mathematics of Behavioral Economics and Knightian Uncertainty in Financial Markets (ZiF, Bielefeld), 14.05.2018 - 18.05.2018.

Organization and support of academic events
Risk Measures and Uncertainty in Insurance (Leibnizhaus, Hannover), 04.05.2023 - 05.05.2023 (organization with Felix-Benedikt Liebrich, Frank Riedel, and Gregor Svindland)
Workshop on Imprecise Probability and Robust Finance – ImPRooF (Universidad Politécnica de Cartagena), 19.09.2022 – 21.09.2022 (organization with Jasper De Bock, Gert de Cooman, Michael Kupper, and José Miguel Zapata)
Risk Measures and Uncertainty in Insurance (Leibnizhaus, Hannover), 19.05.2022 - 20.05.2022 (organization with Felix-Benedikt Liebrich, Frank Riedel, and Gregor Svindland)
ISIPTA 2021 (Granada / online), 06.07.2021 - 09.07.2021 (member of the program committee).
Workshop Equilibria in Markets, Strategic Interactions, and Complex Systems (ZiF, Bielefeld), 07/16/2019 - 07/19/2019 (member of the local organizing committee).
Summer school Equilibria in Financial Markets: General Equilibrium and Game Theoretic Perspectives (Bielefeld University), 08.07.2019 - 12.07.2019 (member of the local organizing committee).

Peer Reviewing
AIMS Mathematics; Applicable Analysis; Applied Probability Journals; Bernoulli; Economic Theory; Finance and Stochastics; International Game Theory Review; International Journal of Approximate Reasoning; Journal of Banking and Finance; Journal of Evolution Equations; Journal of Mathematical Analysis and Applications; Journal of Mathematical Economics; Mathematics and Financial Economics; Mathematical Methods of Operations Research; Mathematics of Operations Research; Methodology and Computing in Applied Probability; SIAM Journal of Control and Optimization; Stochastics and Dynamics; Stochastics and Partial Differential Equations: Analysis and Computations; Stochastic Processes and their Applications.

Further academic activities
Reviewer for Mathematical Reviews/MathSciNet, 10.08.2021 -
Member of the examination board for the doctoral degree of Ramiro Peñas Galezo (Universidad del Norte, Barranquilla), 16.08.2022
Member of the examination board for the doctoral degree of Thomas Krak (Ghent University), 07.05.2021
Member of the faculty council (Department of Mathematics and Statistics, University of Konstanz), 01.10.2015 - 30.09.2016

Teaching
Winter term 2023/24: Finance 3 (Bielefeld University)
Winter term 2023/24: Seminar Finance 3: Stochastic Control and Model Uncertainty in Economics and Finance (Bielefeld University)
Summer term 2023: Finance 2 (Bielefeld University)
Summer term 2022: Mathematics II for Economics (Bielefeld University)
Winter term 2021/22: Mathematics I for Economics (Bielefeld University)
Summer term 2021: Mathematics II for Economics (Bielefeld University)
Summer term 2019: Lévy processes: analysis and applications (Bielefeld University)
Winter term 2018/19: Seminar Finance 3: Stochastic Control in Economics and Finance (with Giorgio Ferrari, Bielefeld University)
Summer term 2017: Mathematics 1 for Mechanical Engineering KE (with Burkhard Lege, HTWG Konstanz)
Spring term 2017: An Introduction to Stochastics and Mathematical Finance in Discrete Time (Universidad del Norte, Barranquilla)
Winter term 2016/17: Mathematics 1 for Mechanical Engineering KE (with Burkhard Lege, HTWG Konstanz)

Tutorials in Analysis I; Analysis II; Analysis III; Functional Analysis; Theory of Partial Differential Equations I; Function Theory; Fourier Transform; Stochastics I; Stochastics II; Stochastics III (University of Konstanz).

Supervised Ph.D. theses
Fabian Fuchs (in progress); Alessandro Sgarabottolo (in progress); Jan Streicher (in progress); Sven Schweizer, formerly Fuhrmann (supervision with Michael Kupper, 2023).

Supervised Master's theses
Michael Wertmann (in progress); Nina Hollensteiner (in progress); Nina Brinkhaus (in progress); Diana Epp (in progress); Kristina Wegner (in progress); Tim Kleine (2022); Shekhzad Khudeeda (2022); Fynn Louis Närmann (supervision with Frank Riedel, 2021); Svea Drekshagen (supervision with Frank Riedel, 2021); Nathalie Evers (supervision with Frank Riedel, 2021); Jonas Urban (supervision with Frank Riedel, 2020); Katharina Willmann (supervision with Frank Riedel, 2020); Xuan Dang (supervision with Frank Riedel, 2019); Mohamed Anouar Ait lahbib (supervision with Giorgio Ferrari, 2019); Yolande Tsane Nanfack (supervision with Giorgio Ferrari, 2019).

Supervised Bachelor's theses
Martin Faigle (supervision with Michael Kupper, 2018).

Current research topics

  • Economic and financial modeling under Knightian uncertainty
  • Optimal control and fully nonlinear differential equations
  • Nonlinear semigroups and their generators
  • Model risk in actuarial mathematics
  • Mean field games
  • Model uncertainty in the context of default and bankruptcy risk
  • Optimal transport
Top of page