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Selected Talks

 

Nr.

  

 Title and Location

09/2011
 Exploiting GPUs and Adjoints for Rapid Monte Carlo Calibrations.
Minisymposium on Numerical Methods in Finance, DMV Annual Conference, Cologne, September 22, 2011.
04/2011
 Calibration of Stochastic and Local Stochastic Volatility Models.
Global Derivatives Trading & Risk Management, Paris, April 12-15, 2011.
01/2011
 Optimization Problems Arising in Financial Engineering.
Research Seminar Mathematical Optimization, Technical University of Munich, January 31, 2011.
11/2010
 On-the-fly Bid/Ask-Vol Fitting with Applications in Model Calibration.
SIAM Conference on Financial Mathematics & Engineering, San Francisco, USA, November 19-20, 2010.
05/2010
 Robust Static Super-Replication of Barrier Options.
Global Derivatives Trading & Risk Management, Paris, May 18-20, 2010.
01/2010
 Speeding up Monte Carlo Calibrations of Financial Market Models.
Research Seminar Stochastic Analysis and Stochastics of Financial Markets, Humboldt University Berlin, January 7, 2010.
06/2009
 Some Examples of Numerical Problems Arising in the Practice of Mathematical Finance.
Colloquium, University of Cologne, June 26, 2009.
04/2009
 A Projection-based Algorithm for the Calibration of Financial Market Models.
Conference on Numerical Methods in Finance, École des Ponts ParisTech, France, April 15-17, 2009.
03/2009    Nonparametric Local Volatility Models and their Calibration.
Frankfurt MathFinance Conference, Frankfurt School of Finance & Management and Commerzbank Head Office, Germany, March 23-24, 2009.
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.