Set Optimization and Applications in Finance - The State of the Art.
(co-edited with A. Hamel, F. Heyde, A. Löhne, C. Schrage).
Springer. Forthcoming in 2014.
Submitted papers
C. Ararat, A. Hamel, B. Rudloff:
Set-valued shortfall and divergence risk measures.[preprint] at arXiv.
Submitted for publication.
Peer-reviewed publications
Z. Feinstein, B. Rudloff (2014):
Multi-portfolio time consistency for set-valued convex and coherent risk measures.[pdf] at arXiv. Finance and Stochastics. Forthcoming. DOI: 10.1007/s00780-014-0247-6
A. Löhne, B. Rudloff (2014):
On the dual of the solvency cone.[preprint] at arXiv. Discrete Applied Mathematics. Forthcoming.
C. Ararat, B. Rudloff (2014):
A characterization theorem for Aumann integrals.[preprint] at arXiv. Set-Valued and Variational Analysis. Forthcoming. DOI: 10.1007/s11228-014-0309-0
A. Hamel, F. Heyde, A. Löhne, B. Rudloff, C. Schrage (2014):
Set optimization - a rather short introduction. (76 pages)
[preprint] at arXiv.
Set Optimization and Applications in Finance, Springer PROMS series, Forthcoming.
A. Löhne, B. Rudloff (2014):
An algorithm for calculating the set of superhedging portfolios in markets with transaction costs.[pdf] at arXiv. International Journal of Theoretical and Applied Finance 17 (2) 1450012 (33 pages).
A MatLab implementation of Benson's algorithm (by A. Löhne) used to solve the linear vector optimization problems arising in the above paper can be downloaded here
[Benson]
Z. Feinstein, B. Rudloff (2014):
A comparison of techniques for dynamic risk measures with transaction costs.[pdf] at arXiv.
Set Optimization and Applications in Finance, Springer PROMS series, Forthcoming.
B. Rudloff, A. Street, D. Valladao (2014):
Time consistency and risk averse dynamic decision models: Definition, interpretation and practical consequences.[pdf] at optimization online. European Journal of Operational Research 234 (3), 743-750.
Z. Feinstein, B. Rudloff (2013):
Time consistency of dynamic risk measures in markets with transaction costs.[pdf] at arXiv. Quantitative Finance 13 (9), 1473-1489.
B. Rudloff (2005):
A Generalized Neyman-Pearson Lemma for Hedge Problems in Incomplete Markets.
Proceedings of the Workshop Stochastische Analysis, 241 - 250. ISSN 1612-5665.
B. Rudloff (2005): Hedging with Convex Risk Measures.
In: N. Kolev, P. Morettin (eds.): Proceedings of the
Second Brazilian Conference on Statistical Modelling in
Insurance and Finance, ISBN 85-88697-07-6.
Valuation of Default Correlations and Application to
Pricing synthetic CDO's.
Master Thesis (Diplomarbeit), Martin-Luther-University Halle-Wittenberg, 2002.
[in german: Ein Modell zur Berechnung von Ausfallkorrelationen
und dessen Anwendung auf die Bewertung synthetischer CDOs
[pdf]]
Advisor:
Prof. W. Grecksch.
May 2013, Faculty Seminar, Princeton University, "A generalized Bellman principle for set-valued functions with applications in finance".
March 2013, Financial Mathematics Seminar, University of Pittsburgh, "Superhedging and risk measure under transaction costs".
March 2013, Probability/Mathematical Finance Seminar, Carnegie Mellon University, "Time consistency of dynamic risk measures in markets with transaction costs".
January 2013, FIAS, Frankfurt, "Dynamic risk measures and price bounds in markets with transaction costs".
October 2011, Invited talk at
Humboldt - Princeton Conference: Risk Patterns in Economics, Statistics, Finance and Medicine, Berlin.
September 2011, Invited talk at Princeton-Cambridge Conference, Princeton.
July 2011, Research Seminar, Humboldt University, Berlin, July 12, 2011.
March 2011, Invited talk at 35th
SIAM Southeastern Atlantic Section Conference, March 26-27, 2011.
2010
November 2010, Invited talk at
INFORMS, Austin, November 7-10, 2010, "Risk measures in a multi-asset model with transaction costs".
October 2010, Statistics and Probability Seminar, Boston University, October 19, 2010.
October 2010, Invited talk at Oxford-Princeton Workshop, Oxford, October 8-9, 2010.
July 2010,
Analysis, Stochastics, and Applications, Wien, July 12-16, 2010, "Risk measures for multivariate random variables in markets with transaction costs".
May 2010, Invited talk at
AMS Eastern Sectional Meeting, Newark, May 22-23, 2010, "Risk measures for portfolio vectors
in markets with random solvency cones".
April 2010, Financial Mathematics Seminar, University of Michigan, "Hedging and Risk Measurement under Proportional Transaction Costs".
March 2010, Invited talk at
Workshop on Computational Methods in Finance, Fields Institute, Toronto, March 22-24, 2010, "Hedging and Risk Measurement under Proportional Transaction Costs".
February 2010, Mathematical Finance Seminar, Technical University Munich.
April 2009, Seminar of Actuarial Science and Mathematical Finance, University of Toronto, "Optimal Investment Strategies Under Bounded Risk".
March 2009, Mathematical Finance Seminar, University of Wuerzburg, "Duality Methods in Financial Mathematics".
January 2009, Joint Mathematics Meeting, co-organizer of AMS Special Session on Financial Mathematics, Washington, DC, and talk "Utility Maximization under Risk Constraints".