Areas of Research
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Financial Mathematics
(particularly: Portfolio optimisation, transaction costs, modelling of inflation, dividends and longevity)
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Stochastic Control
(particularly: Control of continuous-time processes with applications in financial mathematics, worst-case-control)
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Impulse Control
(particularly: Generalized impulse control with uncertain control consequences)
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Value Preserving Strategies
(particularly: Value preserving strategies in general financial markets)
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Worst-Case-Control
(particularly: Applications to portfolio optimisation with crashes)
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Monte-Carlo Methods
(particularly: Applications in finance)
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Tree Methods for Option pricing
(particularly: Multi-dimensional trees)
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Quasi-variational inequalities and viscosity solutions
(particularly: Applications in impulse control)
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Associate Editor of "Mathematical Methods of Operations Research"
(since Issue 50)
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Associate Editor of "Mathematical Finance"
(since 2003)
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Editorial Board of "Blätter der DGVFM" (from 2011 on "European Actuarial Journal")
(since 2007)
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Member of the Scientific Advisory Board of Fraunhofer ITWM
(since 2004)
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Member of the board of the DGVFM
(2003-2009), deputy head since 2011
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Co-Head of the Rheinland-Pfalz Cluster of Excellence "Dependable Adaptive Systems and Mathematical Modelling"
(2005-2008)
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Head of the State Research Center "Center for Mathematical and Computational Modelling (CM)²"
(2008-2011)
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Dean of the Dept. Mathematics at TU Kaiserslautern
(2005-2011)
