Financial Mathematics Group

Dr. Dorothee Westphal


Office: 48-611

Tel.: +49 (0)631 205 3851

E-Mail: westphal(at)mathematik.uni-kl.de

Teaching

I currently have teaching responsibilities for the distance study programme Financial Engineering which is a Master's programme jointly organized by the Department of Mathematics and the DISC.

Research interests

  • Portfolio optimization
  • Model uncertainty
  • Expert opinions

Publications

  • J. Sass, D. Westphal (2019).
    Robust utility maximizing strategies under model uncertainty and their convergence.
    Available on arXiv (30 pages)
    [www]
  • J. Sass, D. Westphal, R. Wunderlich (2019).
    Diffusion approximations for expert opinions in a financial market with Gaussian drift.
    Available on arXiv (37 pages)
    [www]
  • J. Sass, D. Westphal, R. Wunderlich (2017).
    Expert opinions and logarithmic utility maximization for multivariate stock returns with Gaussian drift.
    International Journal of Theoretical and Applied Finance 20 (4). (41 pages)
    [doi]
  • D. Westphal (2019).
    Model uncertainty and expert opinions in continuous-time financial markets.
    PhD thesis, Technische Universität Kaiserslautern.
    [www]
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