Publications

Books

1. Optimal Portfolios
- Stochastic Models for Optimal Investment and Risk Management in Continuous Time,
von Ralf Korn, World Scientific, Singapore 1997, 338 Seiten
Inhalt:
Introduction and Discrete-Time Models
The Continuous-Time Market Model
The Continuous-Time Portfolio Problem
Constrained Continuos-Time Problems
Portfolio Optimisation in the Presence of Transaction Costs
Non-Utility Based Portfolio Selection Models
Homepage von World Scientific: http://www.wspc.com
2. Optionsbewertung und Portfolio-Optimierung
- Moderne Methoden der Finanzmathematik,
(zusammen mit Elke Korn), 1999, 294 S., Vieweg (2. Auflage 2001, auch mittlerweile vergriffen) Inhalt:
Der Erwartungswert-Varianz-Ansatz im Ein-Perioden-Modell
Das zeitstetige Marktmodell
Optionsbewertung
Bewertung exotischer Optionen und numerische Verfahren
Optimale Portfolios
Homepage des Vieweg-Verlags: http://www.vieweg.de
3. Option pricing and portfolio optimization
- Modern methods of financial mathematics,
(zusammen mit Elke Korn, auf Anforderung der AMS angefertigte Übersetzung von 2.), 2001, 272 S., AMS)
Information at AMS.org
4. Mathematik & Ökonomie
(zusammen mit H.W. Hamacher, E.Korn, S.Schwarze)
2004, Universum-Verlag
Inhalt:
Einleitung
Produktionsplanung und Lineare Optimierung
Das neue Fließband der Auto AG
Wo liegt der optimale Standort
Portfolio-Optimierung mit dem Erwartungswert-Varianz-Ansatz
Modellierung von Aktienkursen
Optionsbewertung
5. Monte Carlo Methods and Models in Finance and Insurance
(zusammen mit E.Korn, G.Kroisandt)
2010, Chapman & Hall/CRC Financial Mathematics Series
Inhalt:
Introduction and User Guide
Generating Random Numbers
The Monte Carlo Method: Basic Principles
Continuous-Time Stochastic Processes: Continuous Paths
Simulating Financial Models: Continuous Paths
Continuous-Time Stochastic Processes: Discontinuous Paths
Simulating Financial Models: Discontinuous Paths
Simulating Actuarial Models
Seite bei CRC Press: Information
6. Recent Developments in Applied Probability and Statistics: Dedicated to the Memory of Jürgen Lehn
(zusammen mit L.Devroye, B.Karasözen, M.Kohler)
Juni 2010, Physica Verlag/Springer

Articles in Magazines and Book Series

1. The Pricing of Look Back Options and a Fubini Theorem for Itô-and Lebesgue-
Integrals, in: "Stochastic Processes and Optimal Control",
ed. H.J.Engelbert, I.Karatzas, M.Röckner
(Reihe Stochastics Monographs, Volume7), 1993, S.105- 113, Gordon and Breach
2. Continuous-Time Portfolio Optimization under Terminal Wealth Constraints
(with S. Trautmann, Johannes Gutenberg-Universität Mainz)
in: "Zeitschrift für Operations Research", Vol. 42, Issue 1, 1995, S.69-92
3. Contingent Claim Valuation with Different Interest Rates,
in: "Zeitschrift für Operations Research", Vol. 42, Issue 3, 1995, S.255-264
4. Value Preserving Portfolio Strategies in Continuous-Time Models,
in: "Mathematical Methods of Operations Research", Vol.45, Issue1, 1997, S.1-43
5. Some Applications of L²-Hedging with a Non-Negative Wealth Process,
in: "Applied Mathematical Finance", Vol.4, Issue 1, 1997, S.64-79
6. Optimal Impulse Control when the Control Consequences are random
in: "Mathematics of Operations Research", Vol.22, Issue 3, 1997, S.639-667
7. Pricing of European Options when the Stock Price follows a linear Birth-Death Process
(with Markus Kreer, SBG Zürich and Mark Lenssen, NatWest London)
in: "Communications in Statistics : Stochastic Models",
Vol. 14, Issue 3, 1998, S. 647-662
8. Portfolio Optimisation with Strictly Positive Transaction Costs and Impulse Control
in: "Finance and Stochastics", Vol.2, Issue 2, S.85-114
9. Value Preserving Portfolio Strategies and the Minimal Martingale Measure
in: "Mathematical Methods of Operations Research", Vol.47, Issue1, 1998, S. 169-179
10. Optimal Cash Management and Transaction Costs
(with Ian Buckley, Centre for Quantitative Finance, Imperial College London),
in: "International Journal of Applied and Theoretical Finance", Vol.1, Issue 3, S. 315-330
11. A General Framework for Hedging and Speculating with Options
(with Paul Wilmott, Mathematical Institute, University of Oxford),
in: "International Journal of Applied and Theoretical Finance", Vol.1,Issue 4,1998, S.507-522
12. Optimal Control of Option Portfolios
(with S. Trautmann, Johannes Gutenberg-Universität Mainz),
in: "OR-Spektrum", Vol.21, Nr. 1-2, 1999, S. 123-146
13. Optimal Portfolios with Derivative Securities
in: Zeitschrift für Angewandte Mathematik und Mechanik 79, Suppl. 3, 1999, 919-922
14. Optimale Portfolios mit beschränktem Risiko
(with C. Klüppelberg, TU München)
in: "Solutions" 1999, 3(2), S. 23-32
15. On growth optimal and value preserving portfolio
(with M. Schäl, Universität Bonn)
in: "Mathematical Methods of Operations Research", Vol. 50, Issue 2,1999, S.189-218
16. Some applications of impulse control in mathematical finance
in: "Mathematical Methods of Operations Research", Vol. 50, Issue 3, 1999, S. 493-518
17. Value preserving portfolio strategies and a general framework for
local approaches to optimal portfolios
in: "Mathematical Finance", 2000, Vol. 10, Issue 2, S. 227-241
18. Optimal portfolios with bounded capital at risk
(with Susanne Emmer, Claudia Klüppelberg, Zentrum für Mathematik,TU München)
in: "Mathematical Finance", 2001, Vol. 11, S. 365-384
19. Stochastic models for optimal investment
in:"Selcuk Journal of Applied Mathematics", 2001, 2(2), S. 73-82
20. Crash and Earn
in: WILMOTT, May 2001
21. Optimal investment under the threat of a crash
(with Paul Wilmott, London)
in: "International Journal of Theoretical and Applied Finance", 2002, Vol.5, S.171-187
22. A stochastic control approach to portfolio problems with stochatic interest rates
(with Holger Kraft, ITWM Kaiserslautern)
in:"SIAM Journal on Control and Optimization", 2002, 40(4), S. 1250-1269
23. Portfolio optimisation with transaction costs and exponential utility
(with Silke Laue, Universität Kaiserslautern)
in:"Stochastic Processes and Related Topics" (Hrsg. R. Buckdahn, H.J. Engelbert, M. Yor), 2002
24. ... and justice for all
in: WILMOTT, January 2003
25. The Martingale Optimality Principle in Finance: The Best you can is good enough
in: WILMOTT, July 2003
26. Optimal portfolios with defaultable securities: A firms value approach
(with Holger Kraft, ITWM Kaiserslautern)
in:"International Journal of Applied and Theoretical Finance" Vol. 6, 793-819.
27. On the numeraire portfolio for jump diffusion processes
(with F. Oertel, Universitäet Winterthur, M. Schäl, Universität Bonn)
in: Decisions in Economics and Finance 26, 2003, 153-166
28. Counter examples and stability in continuous-time portfolio optimization
(with Holger Kraft, ITWM Kaiserslautern)
Mathematical Finance, 2004, 14(3), S.403-414.
29. Realism and Practicality of Transaction Cost Approaches in Continuous-Time Finance
in:"Mathematical Methods of Operations Research", 2004, 60(2), 165-174
30. An analysis of some methods for pricing basket options
(with Martin Krekel, Johann de Kock, Tin-Kwai Man, ITWM Kaiserslautern)
in: WILMOTT, July 2004
31. Einfache Verfahren zur Bewertung von inflationsgekoppelten Finanzprodukten
(with Susanne Kruse, ITWM Kaiserslautern)
Blätter der DGVFM,2004, Band XXVI, Heft 3, 351-67.
32. The Swing Option on the Stock Market
(with Martin Dahlgren, Universität Lund)
in:"International Journal of Applied and Theoretical Finance",2005, 8(1), 123-139
33. Worst-case investment with applications for banks and insurance companies
(with Olaf Menkens,Universität Kaiserslautern)
in:"Interacting Stochastic Systems",Deuschel, Jean-Dominique; Greven, Andreas (Hrsg.),2005
S. 397-407
34. Worst-Case Scenario Investment for Insurers
in: "Insurance: Mathematics and Economics", 2005,36, 1-11.
35. Optimal Portfolios with a Positive Lower Bound on Final Wealth
in: "Quantitative Finance", 2005, 5(3), 315-321.
36. Worst-Case Scenario Portfolio Optimization: A New Stochastic Control Approach
(with Olaf Menkens, University of Essex)
in: "Mathematical Methodsof Operations Research", 2005, 62 (1), 123-140.
37. Stocks paying discrete dividends: modelling and option pricing
(with Chris Rogers, Univ. Cambridge)
in: "Journal of Derivatives", 2005, 13 (2), 44-49.
38. Optimal Investment with Inflation-linked Products
(with Taras Beletski, TU Kaiserslautern)
in: Advances in Risk Management (Hrsg. G.N. Gregoriou), Palgrave-Mac Millan, 2006, 170-190.
39. Langlebigkeitsbonds - Bewertung, Modellierung und Aspekte für deutsche Daten
(with Kalina Natcheva, ITWM Kaiserslautern and Jörg Zipperer, HVB)
in: Blätter der DGVFM, 2006, XXVII. Vol. 3, 397-418.
40. Some Aspects of Investment into High-Yield Bonds
(with Helen Kovilyanskaya, WestLB, Düsseldorf)
in: International Journal of Theoretical and Applied Finance,2007, 10(6), 967-984.
41. Optimal portfolios: New variations of an old theme
in: Computational Management Science, 2008,5, 289–304.
42. Continuous-time Delegated Portfolio Management with Homogeneous Expectations
(with Holger Kraft, TU Kaiserslautern)
in: Financial Markets and Portfolio Management, 2008, 22(1), 67-90.
43. On worst case portfolio optimization
(with Mogens Steffensen, Uni. Kopenhagen)
in: SIAM Journal on Control and Optimization, 2007, Vol. 46, No. 6, pp. 2013–2030.
44. Stochastik an der Börse – Muss das sein ?
in: Mitteilungen der Mathematischen Gesellschaft Hamburg 26 (2007), 5–25.
45. Faszination Finanzmathematik – Probleme, Prinzipien und Methoden
in: Mathematische Semesterberichte, 2008, 55: 19–42
46. Optimal management and inflation protection for defined contribution pension plans
(with A. Zhang (ITWM Kaiserslautern) and C-O. Ewald (University St. Andrews))
in: Blätter der DGVFM, 2007, Volume 28 (2), 239-258.
47. Valuation of performance-dependent options in a Black-Scholes framework
(zusammen T. Gerstner, M. Holtz (Univ. Bonn))
in: in: Numerical Methods for Finance (eds. J.Appleby, D.Edelman, and J.Miller) . Chapman and Hall/CRC Press, 203-214, 2007.
48. Solving Optimal Investment Problems with Structured Products under CVaR Constraints.
(with S. Zeytun, METU Ankara and ITWM Kaiserslautern)
Optimization, 2009, 58(3), 291-304.
49. Optimal investment and bounded ruin probability: Constant portfolio strategies and mean-variance analysis
(with A. Wiese, Heriot Watt University Edinburgh)
in: ASTIN Bulletin 38(2), 423-440, 2008.
50. Getting multi-dimensional trees into a new shape
(with S. Müller, TU Kaiserslautern)
in: WILMOTT 1(3), 145–153, 2009.
51. The decoupling approach to binomial pricing of multi-asset options
(with S. Müller, TU Kaiserslautern)
in: Journal of Computational Finance, 2009, Volume 12(3), 1-30.
52. A worst-case approach to continuous-time portfolio optimization
(with F. Seifried, TU Kaiserslautern)
in: Radon Series for Computational and Applied Mathematics (eds. H. Albrecher, W. Runggaldier, W. Schachermayer), 327-345, 2009.
53. Theoretical solution versus industry standard: Optimal leverage function for CPDOs
(with Evren Baydar, Commerzbank Frankfurt and Giuseppe di Graziano, Deutsche Bank London).
in: Blätter der DGVFM, 30, 15-29, 2009.
54. The numeraire portfolio in discrete time: Existence, related concepts and applications
(with Manfred Schäl, Univ. Bonn)
in: Radon Series for Computational and Applied Mathematics (eds. H. Albrecher, W. Runggaldier, W. Schachermayer), 303-326, 2009.
55. Binomial Trees in Option Pricing - History, Practical Applications and Recent Developments.
(with S. Müller, TU Kaiserslautern)
in: Recent Developments in Applied Probability and Statistics (eds. L. Devroye, B. Karasozen, M. Kohler, R. Korn), Springer, 119-138, 2010.
56. Asset Allocation for a DC Pension Fund Under Regime Switching Environment..
(with T.K. Siu (Univ. Sydney), A. Zhang (Univ. Nottingham-Ningbo))
in: European Actuarial Journal 1, 361-377, 2011.
57. Continuous-Time Mean-Variance Portfolio Optimization in a Jump-Diffusion Market
(with Ö. Sezgin Alp (METU Ankara)
in: Decisions in Economics and Finance, 34:21–40, 2011.
58. A Mean-Variance Approach to Constant Proportion Debt Obligations
(with A.I. Cekic and O. Ugur (both METU Ankara))
to appear in: Wilmott Journal, 15 pages, 2010.
59. The Optimal-Drift Model - An Accelarated Binomial Scheme
(with S. Müller, TU Kaiserslautern)
to appear in: Finance and Stochastics, 28 pages, 2011.
60. Continuous-Time Mean-Variance Portfolios: A Comparison
(with Ö. Sezgin Alp, METU)
to appear in: Optimization, 2011.
61. Optimal Consumption and Investment for a Large Investor: An Intensity-Based Control Framework
(with M. Busch, F. Seifried, TU Kaiserslautern)
to appear in: Mathematical Finance, 24 pages, 2011.
62. A Hardware Efficient Random Number Generator for Nonuniform Distributions with Arbitrary Precision
(with C. de Schryver, D. Schmidt, N. Wehn, E. Korn, H. Marxen, A. Kostiuk)
in: International Journal of Reconfigurable Computing, vol. 2012, doi:10.1155/2012/675130, 11 pages, 2012.
63. Monte Carlo Simulation for Cross-Gammas for Bermudan Swaptions in the LIBOR Market Model.
(with Q. Liang)
to appear in: Journal of Computational Finance, 2012.
64. Efficient Monte Carlo calculation of Delta for Bermudan Swaptions in the LIBOR Market Model.
(with Q. Liang)
to appear in: WILMOTT, 2012.
65. Worst-case-optimal dynamic reinsurance for large claims.
(with O. Menkens, M. Steffensen)
to appear in: European Actuarial Journal, 2012.
66. Efficient Basket Monte Carlo option pricing via a simple analytical approximation.
(with S. Zeytun)
to appear in: Journal of Computational and Applied Mathematics, 2012.

Submitted Papers and Papers in other Series

1.Contingent Claim Valuation in a Market with Higher Interest
Rates for Borrowing than for Lending, Berichte zur Stochastik und verwandte
Gebiete 1/1993, Johannes Gutenberg-Universität, Mainz
2. A Dual Method for Portfolio Optimization under Terminal Wealth Constraints
(with S. Trautmann, Johannes Gutenberg-Universität Mainz)
in: Proceedings of the 20th Annual Meeting of the European Finance
Association, Kopenhagen 1993
3. Option Prices and Subjective Beliefs
(with Paul Wilmott, Mathematical Institute, University of Oxford),
Berichte zur Stochastik und verwandte Gebiete 5/1996, Johannes Gutenberg-Universität, Mainz
4. Optimal Cash Management and Transaction Costs
(with Ian Buckley, Centre for Quantitative Finance, Imperial College London),
Berichte zur Stochastik und verwandte Gebiete 6/1996, Johannes Gutenberg-Universität, Mainz
5. Das Portfolio-Problem: Stochastische Modelle und Methoden zur Bestimmung
optimaler Investmentstrategien
in: Forschungsmagazin der Johannes Gutenberg-Universität Mainz, Jg.13, 1997, S.65-71
6. Room for a View
(with Paul Wilmott,Mathematical Institute, University of Oxford)
Working paper
7. A Valuation Approach for Tailored Options
Working paper
8. Optimal portfolios with bounded value at risk
(with Claudia Klüppelberg, Zentrum für Mathematik,TU München)
working paper
9. A martingale method of portfolio optimization for unobservable mean rate of return
(with Juri Hinz, Universität Tübingen)
Report in Wirtschaftsmathematik, Universität Kaiserslautern 68/2000
10. Elementare Probleme der Finanzmathematik
in: Mathematik in der modernen Welt (Hrsg. N. Christmann, FB Mathematik, Universität Kaiserslautern), 2001, 87-121.
11. Optimal portfolios with bounded downside risk
(with Claudia Klüppelberg, Susanne Emmer, Zentrum für Mathematik,TU München)
working paper
12. Optimal portfolios with fixed consumption and income streams
(with Martin Krekel, ITWM Kaiserslautern), Berichte des ITWM 31, 2002
13. Worst-case investment with applications for banks and insurance companies
in: Conference Proceedings,ERC-Conference 2003, METU Ankara
14. Expected Utility Maximization
in: Encyclopedia of Quantitative Finance (ed. R. Cont), Wiley-Verlag,14 pages.
15. Financial Mathematics: Between Stochastic Differential Equations and Financial Crisis.
in: Recent Developments in Applied Probability and Statistics (eds. L. Devroye, B. Karasozen, M. Kohler, R. Korn).
16. Modern Mathematics for Finance and Economics: >From Stochastic Differential Equations to the Credit Crisis.
in: ERCIM News 78, 10-12.
17. Adressrisikomodelle: Die Risikoeinschätzung verbessern
(with Nina Frass, Stephan Vorgrimler, Jan Schnabl (alle MSG Gillardon, Bretten))
18. Zertifikate - Innovation oder Mogelpackung?
in: ROI, 02/2012, 28-31.

In Progress

1. Stock Prices generated by the Actions of the Market Participants
(with J.M.C. Clark, Department of Electrical Engineering,
Imperial College London)
2. A worst-case approach to continuous-time portfolio optimisation
(with Frank Seifried (TU Kaiserslautern))

Habilitation

Generalised Impulse Control and Value Preserving Control of
Continuous-Time Stochastic Processes with Applications to Finance,
Habilitationsschrift am Fachbereich Mathematik der
Johannes Gutenberg-Universität Mainz, 1997

Dissertation

Optimierungsprobleme bei Wertpapierhandel in stetiger Zeit,
Dissertation am Fachbereich Mathematik der Johannes Gutenberg-Universität
Mainz, 1993

Diploma Thesis

Über die Algorithmen von Gill und Murray und von Goldfarb
und Idnani zur quadratischen Optimierung,
Diplomarbeit am Fachbereich Mathematik der Johannes Gutenberg-Universität
Mainz, 1989

Series of Lectures

1. Stochastische Steuerung, Viskositätslösungen und Anwendungen,
Skriptum zur Vortragreihe innerhalb der Winterschule 1998 des Graduiertenkollegs
"Stochastische Prozesse und probabilistische Analysis", Berlin, 50 S.
2. Beyond Markowitz, Skriptum zum gleichnamigen Workshop
(gemeinsam mit Ian Buckley in London 2000 gehalten), London.
3. Beyond Markowitz 2000: Modern methods of portfolio optimisation with practical applications
Skriptum zum gleichnamigen Workshop
(gemeinsam mit Ian Buckley und Elke Korn in Kaiserslautern 2000 gehalten), 165 S.
4. Portfolio Credit Risk, Skriptum zum gleichnamigen Workshop
(gemeinsam mit Rüdiger Kiesel in Kaiserslautern 2001 gehalten), 135 S.
5. Credit Derivatives: Valuation and Use,
(gemeinsam mit Rüdiger Kiesel in Kaiserslautern 2001 gehalten), 108 S.
6. Elementare Finanzmathematik
Skriptum zur Lehrerweiterbildung am IBF Speyer, 24./25.09.2002
in :"Berichte des ITWM",39,2002, Kaiserslautern, 89 S.
7. The Mathematical Toolbox of the Financial Engineer,
(gemeinsam mit Elke Korn 2005 an der METU in Ankara gehalten), 17 Vorträge, 155 S.
8. Credit Rating in View of Basel II
(gemeinsam mit Evren Baydar 2006 in Side (Türkei) als Workshop gehalten), 4 Vorträge.
9. The Simulation Toolbox of the Financial Engineer,
(gemeinsam mit Elke Korn 2008 an der METU in Ankara gehalten), 17 Vorträge, 211 S.

Stand:

[Finanzmathematik]