Optimal Investment under bounded coherent risk.
Working Paper.
Duality for set-valued convex risk measures with random cones. Working Paper. (with A. Hamel and F. Heyde)
Hedging in markets with transaction costs. Working Paper. (with A. Hamel)
Refereed Conference Publications
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.
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".
