|  | | Selected Talks | Nr. | | Title and Location | 11/2008
| | Parameter Identification in Financial Market Models with a Feasible Point SQP Algorithm.
SIAM Conference on Financial Mathematics & Engineering, New Brunswick, USA, November 21-22, 2008. | 07/2008
| | Adjoint based Monte Carlo Calibration of Financial Market Models.
Bachelier Finance Society, Fifth World Congress, Imperial College and Royal Geographical Society, London, UK, July 15-19, 2008.
| 03/2008
| | Selected Applications of Optimization in Finance.
Frankfurt MathFinance Conference: Derivatives and Risk Management in Theory and Practice, Frankfurt School of Finance & Management and Commerzbank Head Office, Germany, March 17-18, 2008.
| 09/2007
| | Robustifying Static Hedges for Barrier Options Against Dynamics of the Volatility Surface.
AMAMEF Workshop and Mid-Term Conference on Advanced Mathematical Methods for Finance, Vienna, Austria, September 17-22, 2007.
| | 02/2007 | | Robustness and Duality in Static Hedging.
HfB Quant Center Winter School, Winterberg, Germany, February 12-16, 2007.
| | 07/2006 | | Hedging Barrier Options by Robust Optimization.
SIAM Conference on Financial Mathematics and Engineering, Boston, USA, July 9-12, 2006. | 06/2006
| | A Successive SDP/NSDP Algorithm for the Solution of a Robust Optimization Problem in Finance.
INFORMS International Conference, Hong Kong, China, June 25-28, 2006.
| | 03/2006 | | Eliminating Model Parameter Uncertainty from Static Hedge Portfolios: The Case of Barrier Options.
Frankfurt MathFinance Workshop: Derivatives and Risk Management in Theory and Practice, HfB and Commerzbank Head Office, Germany, March 27-28, 2006. | | 02/2006 | | A Robust Optimization Approach to Static Hedging of Barrier Options.
Conference on Numerical Methods in Finance, Inria Rocquencourt, France, February 1, 2006. | | 12/2005 | | A Semi-Infinite Programming Approach to Robust Static Super-Replication of Barrier Options.
RICAM Group Workshop on Inverse Problems and Financial Mathematics, Linz, Austria, December 6, 2005. | | 10/2005 | | Efficient Calibration of Selected Stochastic Volatility Models.
HypoVereinsbank AG, Quantitative Research and Structuring, Global Derivatives, Munich, Germany, 2005. | | 09/2005 | | Robust Static Super-Replication of Barrier Options in Stochastic Volatility Models.
International Conference on Optimization under Uncertainties, Heidelberg, Germany, September 28-30, 2005. | 07/2005
| | Adding Robustness to Static Hedge Portfolios for Barrier Options.
Workshop on Optimization in Finance, University of Coimbra, Portugal, July 5-8, 2005.
| | 05/2005 | | Optimization of Financial Market Problems Governed by Stochastic Differential Equations.
SIAM 2005 Optimization Conference, City Conference Center Stockholm, Sweden, May 15-19, 2005. | | 03/2005 | | Numerical Solution of Optimization Problems in Finance Governed by Stochastic Differential Equations.
Jahrestagung der Gesellschaft für Angewandte Mathematik und Mechanik e.V., Université de Luxembourg, March 28 - April 1, 2005. | | 09/2004 | | An Optimization Approach to Static Super-Replication of Barrier Options.
Jahrestagung der Deutschen Mathematiker-Vereinigung, Ruprecht-Karls-Universität Heidelberg, Germany, September 12-17, 2004. | | 09/2004 | | Cost-Optimal Static Super-Replication: Concept and Applications.
First Indo-German Conference on PDE, Scientific Computing and Optimization in Applications, University of Trier, Germany, September 8-10, 2004. | | 08/2004 | | Optimal Semi-Static Hedging of Barrier Options in Hestons Stochastic Volatility Model.
International Conference on Continuous Optimization (ICCOPT I), Rensselaer Polytechnic Institute, Troy, USA, August 2-4, 2004. | | 04/2004 | | Static Hedging of Barrier Options: An Optimization Approach.
HypoVereinsbank AG, Corporates and Markets, Equity Linked Products, Munich, Germany, 2004. | | 02/2004 | | Numerical Experiments with Optimization Problems Governed by Stochastic Differential Equations.
SIGOPT: International Conference on Optimization (ICO 2004), Wittenberg, Germany, February 15-18, 2004. | | |
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