Work:

Sherrerd Hall, Room 203
Princeton University
Princeton, NJ 08544, USA.
tel. + 1(609)258-4558
fax + 1(609)258-3791

E-mail:

Courses

• ORF 533: Convex Analysis for Mathematical Finance. (Spring 2011)
• ORF 535: Financial Risk Management. (graduate course) (Fall 2009, 2013)
• ORF 435: Financial Risk Management. (undergraduate course) (Fall 2007, 2008, 2009, 2010, 2011, 2013)
• ORF 515: Asset Pricing II: Stochastic Calculus and Advanced Derivatives. (Spring 2007, 2008, 2009, 2012, 2013)
• ORF 569: Special Topics in Statistics and Operations Research: Risk Measure Theory. (Fall 2006)

Office Hours: TH, 3:30pm-5:20pm, Sherrerd Hall 203

Published and submitted papers

C. Ararat, A. Hamel, B. Rudloff (2013): Set-Valued Shortfall and Divergence Risk Measures.
A. Löhne, B. Rudloff, F. Ulus (2013): An approximation algorithm for convex vector optimization problems.
Z. Feinstein, B. Rudloff (2013): A comparison of techniques for dynamic risk measures with transaction costs. [Preprint] at arXiv. Submitted for publication.
A. Hamel, A. Löhne, B. Rudloff (2013): A Benson type algorithm for linear vector optimization and applications. [Preprint] at arXiv. Submitted for publication.
Z. Feinstein, B. Rudloff (2013): Multi-portfolio time consistency for set-valued convex and coherent risk measures. [Preprint] at arXiv. Submitted for publication.
A. Löhne, B. Rudloff (2013): An algorithm for calculating the set of superhedging portfolios and strategies in markets with transaction costs. [Preprint] at arXiv. Submitted for publication.
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]
B. Rudloff, A. Street, D. Valladao (2013): Time consistency and risk averse dynamic decision models: Definition, interpretation and practical consequences. [Preprint] at optimization online. Submitted for publication.
A. Hamel, B. Rudloff, M. Yankova (2013): Set-valued average value at risk and its computation. Mathematics and Financial Economics 7 (2), 229-246. [pdf] at arXiv.
Z. Feinstein, B. Rudloff (2013): Time consistency of dynamic risk measures in markets with transaction costs. Forthcoming in Quantitative Finance. [Preprint] at arXiv.
A. Hamel, F. Heyde, B. Rudloff (2011): Set-valued risk measures for conical market models. Mathematics and Financial Economics 5 (1), 1 - 28. [pdf] at arXiv.
B. Rudloff, I. Karatzas (2010): Testing Composite Hypotheses via Convex Duality. Bernoulli 16 (4), 1224 – 1239. [pdf]
B. Rudloff (2009): Coherent Hedging in Incomplete Markets. Quantitative Finance 9 (2), 197 - 206. [pdf]
B. Rudloff, J. Sass, R. Wunderlich (2008): Entropic Risk Constraints for Utility Maximization. [pdf]
In: Chr. Tammer, F. Heyde (eds.): Festschrift in Celebration of Prof. Dr. Wilfried Grecksch's 60th Birthday. Shaker Verlag, Aachen, 149 - 180.
A. Hamel, B. Rudloff (2008): Continuity and Finite-Valuedness of Set-Valued Risk Measures. [pdf]
In: Chr. Tammer, F. Heyde (eds.): Festschrift in Celebration of Prof. Dr. Wilfried Grecksch's 60th Birthday. Shaker Verlag, Aachen, 49 - 64.
B. Rudloff (2007): Convex Hedging in Incomplete Markets. Applied Mathematical Finance 14 (5), 437 - 452. [pdf]
Hedging in Incomplete Markets and Testing Compound Hypotheses via Convex Duality. PhD Thesis, Martin-Luther-University Halle-Wittenberg, 2006. [pdf]
Advisor: Prof. W. Grecksch.
B. Rudloff (2005): A Generalized Neyman-Pearson Lemma for Hedge Problems in Incomplete Markets.
Proceedings of the Workshop Stochastische Analysis, 241 - 250.
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.

Conferences & Seminar Talks

• May 2013, Faculty Seminar, Princeton University, May 8, 2013, "A generalized Bellman principle for set-valued functions with applications in finance".
  
• March 2013, Financial Mathematics Seminar, University of Pittsburgh, March 26, 2013, "Superhedging and risk measure under transaction costs".
  
• March 2013, Probability/Mathematical Finance Seminar, Carnegie Mellon University, March 25, 2013, "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".
  
• January 2013, Seventh Bachelier Colloquium, Metabief, France, January 13-20, 2013.
  
• November 2012, Colloquium of the department of Mathematics and Computer Science, Philipps-University Marburg.
  
• October 2012, Bloomberg, NYC.
  
• August 2012, SET OPTIMIZATION meets FINANCE, Lutherstadt Wittenberg, Germany, August 17-19, 2012
  
• July 2012, SIAM Conference on Financial Mathematics and Engineering, Minneapolis, July 9-11, 2012.
  
• June 2012, Probability, Control and Finance: A Conference in Honor of the 60th Birthday of Ioannis Karatzas, Columbia University, New York, June 4-8, 2012.
  
• January 2012, Sixth Bachelier Colloquium, Metabief, France, January 15-22, 2012.
  
• January 2012, Joint Mathematics Meeting/AMS Meeting, Boston, January 4, 2012.
  
• November 2011, INFORMS, November 15, 2011.
  
• November 2011, Mathematical finance and pde's, Rutgers, New Brunswick, November 4, 2011.
  
• October 2011, Humboldt - Princeton Conference: Risk Patterns in Economics, Statistics, Finance and Medicine, Berlin.
  
• September 2011, Princeton-Cambridge Conference, Princeton.
  
• July 2011, Research Seminar, Humboldt University, Berlin, July 12, 2011.
  
• March 2011, 35th SIAM Southeastern Atlantic Section Conference, March 26-27, 2011.
  
• November 2010, 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, 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, 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, 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.
  
• October 2009, Princeton-Humboldt Workshop: Perceiving and Measuring Financial Risk: Credit, Energy and Illiquidity, Princeton, October 30-31, 2009, "Hedging under Proportional Transaction Costs".
  
• July 2009, SPA Berlin 2009: 33rd Conference on Stochastic Processes and Their Applications, Berlin, July 27-31, 2009, "Hedging under Proportional Transaction Costs".
  
• July 2009, Mathematical Finance Seminar, IMPA , Rio de Janeiro, "Portfolio Optimization Under Bounded Risk".
  
• July 2009, VIII Brazilian Workshop on Continuous Optimization, Mambucaba, Rio de Janeiro, July 13-17, 2009, "Hedging under Proportional Transaction Costs".
  
• 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".
  
• December 2008, Mathematical Finance and Probability Seminar, Rutgers University, "Convex Hedging in Incomplete Markets and its Connection to Testing Hypotheses".
  
• November 2008, Second SIAM Conference on Financial Mathematics and Engineering, Rutgers University, New Brunswick, "Optimal Investment Strategies Under Bounded Risk".
  
• September 2008, Fourth Cambridge-Princeton Conference, Cambridge, "Utility Maximization under Risk Constraints".
  
• April 2008, Seminar of Actuarial and Financial Mathematics, University of Montreal, "Convex Hedging and the Neyman-Pearson Lemma".
  
• December 2007, Probability Seminar, Columbia University, "Testing Compound Hypothesis".
  
• October 2007, Humboldt-Princeton Conference: Semiparametrics Meets Mathematical Finance, Berlin, "Hedging in Incomplete Markets".
  
• September 2007, AMaMeF: Workshop and Mid-Term Conference on Advanced Mathematical Methods for Finance, Vienna University of Technology, "Convex Hedging in Incomplete Markets".
  
• July 2007, Stochastics and Finance Seminar, Boston University, "Hedging with Convex and Coherent Risk Measures".
  
• May 2007, Oxford-Princeton Workshop, Oxford, "Convex Hedging in Incomplete Markets".
  
• May 2007, FE Seminar, Cornell University, "Convex Duality for Hedging Problems".
  
• April 2007, Mathematical Finance Seminar, University of Texas at Austin, "Convex Hedging in Incomplete Markets".

Short Vita

• Princeton University (2006-Present).
  
• Vienna University of Technology, Financial and Actuarial Mathematics, Vienna, Austria (March-August 2006);
  
• IMPA (Instituto Nacional de Matemática Pura e Aplicada), Rio de Janeiro, Brazil (Feb. 2005- Jan. 2006);
  
• Martin-Luther-University Halle-Wittenberg, Halle, Germany (1996-2006);
  Ph.D. in Financial Mathematics, July 2006.
  M.S. in Financial Mathematics, March 2002.