x PAPERS

Theses:
Diploma thesis (PDF 700kb)
Diploma thesis (corrected version), July 2005.
Title: "Relation between L^q-Optimality, Exponential Control, and Entropy in Risk Management".

Dissertation (PDF 5MB)
Submission: January 2008. Defence: May 2008
Title: "Portfolio Optimization and Optimal Martingale Measures in Markets with Jumps".

Publications:

2007:
On Convergence to the Exponential Utility Problem
(joint with M.Kohlmann)
Stochastic Processes and their Applications, December 2007

2008:
On Convergence to the Exponential Utility Problem with Jumps
Stochastic Analysis and Applications, January 2008

On q-Optimal Martingale Measures in Exponential Lévy Models
(joint with C.Bender). Finance & Stochastics, 2008.

Preprints:

Default Correlations and the Effect of Estimation Errors on Risk Figures (PDF 296kb)
preprint, (joint with L. Overbeck)

Are Default Correlations Time Dependent? A Bayesian Approach (PDF 656kb)
preprint

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