AG Finanzmathematik

Prof. Dr. Ralf Korn

Anschrift

Gottlieb-Daimler-Straße
Gebäude 48 , Raum 618
67663 Kaiserslautern

Postfach 3049
67653 Kaiserslautern

Kontakt

Tel.: +49 631 205 2747
E-Mail: korn@mathematik.uni-kl.de


Herausgebertätigkeiten

  • Mitherausgeber der Zeitschrift "European Actuarial Journal", vormals "Blätter der DGVFM" (seit 2007)
  • Herausgeber der "Quantitative Finance"-Reihe, Imperial College Press / WorldScientific Publishers

2011

  • Sonderausgabe des European Actuarial Journal zur AFIR-Tagung in München

2010

  • Recent Developments in Applied Probability and Statistics (eds. L. Devroye, B. Karasozen, M. Kohler, R. Korn), 2010, Springer.

2009

  • Finance and Stochastics: Sonderausgabe zu "Computational Methods in Finance"
  • ERCIM-News: Sonderausgabe zu "Mathematics for Finance and Economics"

Publikationen

  • Hayk Hambardzumyan, Ralf Korn (2018).
    Dynamic Hybrid Products with Guarantees - An Optimal Portfolio Framework.
    erscheint in: Insurance: Mathematics and Economics .

  • S. Desmettre, S. Grün, R. Korn (2018).
    Portfolio Optimization with Early Announced Discrete Dividends.
    Operations Research Letters. 46, 548-552.
  • Sema Coskun, Ralf Korn, Sascha Desmettre (2018).
    Application of the Heath-Platen Estimator in the Fong-Vasicek Short Rate Model.
    erscheint in: The Journal of Computational Finance .

  • A.-S. Krah, Z. Nikolic, R. Korn (2018).
    A Least-Squares Monte Carlo Framework in Proxy Modeling of Life Insurance Companies.
    Risks. 6, (2), 26.
    [doi] [www]
  • S. Desmettre, S. Grün, R. Korn (2018).
    Can Outstanding Dividend Payments be estimated by American Options?
    Quantitative Finance. 18, (9), 1437-1446.
  • Hansjörg Albrecher, Daniel Bauer, Paul Embrechts, Damir Filipoviç, Pablo Koch, Ralf Korn, Stephane Loisel, Antoon Pelsser, Frank Schiller, Hato Schmeiser, Joel Wagner (2018).
    Asset-Liability Management for Long-Term Insurance Business.
    European Actuarial Journal.
  • R. Korn, A. Wagner (2018).
    Chance-Risk Classification of Pension Products: Scientific Concepts and Challenges.
    in : Innovations in Insurance, Risk- and Asset Management. Eds.: K. Glau, D. Linders, A. Min, M. Scherer, L. Schneider, R. Zagst , World Scientific, 381-398.
  • Sema Coskun, Ralf Korn (2018).
    Pricing Barrier Options in the Heston Model Using the Heath-Platen estimator.
    Monte Carlo Methods and Applications. 24, (1), 29-42.
    [doi]
  • B. Temocin, R. Korn, S. Selcuk-Kestel (2017).
    Constant proportion portfolio insurance in defined contribution pension plan management under discrete-time trading.
    Annals of Operations Research.
  • R. Korn, B. Temocin, J. Wenzel (2017).
    Applications of the central limit theorem for pricing Cliquet-style options.
    European Actuarial Journal.
    [doi]
  • R. Korn, S. Kestel, B. Temocin (2017).
    Constant Proportion Portfolio Insurance in Defined Contribution Pension Plan Management.
    Annals of Operations Research.
  • R. Korn, Y. Melnyk, F. Seifried (2017).
    Stochastic Impulse Control with Regime-Switching Dynamics.
    European Journal of Operations Research.
  • S. Desmettre, R. Korn, J. Varela, N. Wehn (2016).
    Nested MC-Based Risk Measurement of Complex Portfolios: Acceleration and Energy Efficiency.
    Risks. Vol. 4(4), 36.
  • A. Bock, R. Korn (2016).
    Improving Convergence of Binomials Schemes and the Edgeworth Expansion.
    Risks. Vol. 4(2), 15.
  • S. Audic, C. De Vargas, A. Gimmer, R. Korn, T. Stoeck (2016).
    The Tara Ocean voyage reveals global diversity and ditribution patterns of marine planktonic ciliates.
    Scientific Reports. 6.
  • P. Hieber, R. Korn, M. Scherer (2015).
    Analyzing the effect of low interest rates on the surplus participation of life insurance policies with different annual interest rate guarantees.
    European Actuarial Journal. Vol. 5(1), 11-28.
  • R. Korn, M. Pupashenko (2015).
    A new variance reduction method for calculating value at risk.
    Applied Mathematical Finance. Vol. 22(1), 83-98.
  • S. Desmettre, R. Korn, F. T. Seifried (2015).
    Lifetime Consumption and Investment for Worst-Case Crash Scenarios.
    International Journal of Theoretical and Applied Finance. 18.01.
  • C. Brugger, M. Hefter, R. Korn, S. Omland, K. Ritter, C. de Schryver, N. Wehn (2014).
    Mixed precision multilevel Monte Carlo on hybrid computing sysytem.
    IEEE conference on Computational Intelligence for Financial Engineering & Economics, IEEE. 215-222.
  • T. Engler, R. Korn (2014).
    Worst-Case Portfolio Optimization under Stochastic Interest Rate Risk.
    Risks. Vol. 2(4), 469-488.
  • S. Desmettre, R. Korn, P. Ruckdeschel, F. T. Seifried (2014).
    Robust Worst-Case Optimal Investment.
    OR Spectrum. Vol. 37(3), 677-701.
    [doi]
  • R. Korn, Q. Liang (2014).
    Robust and accurate Monte Carlo Simulation of (cross)-Gammas for Bermudan Swaptions in the LIBOR Market Model.
    Journal Of Computational Finance. Vol. 17(3), 87.
  • R. Korn, S. Müller (2013).
    The Optimal-Drift Model - An Accelarated Binomial Scheme.
    Finance and Stochastics. Vol. 17, 135-160.
  • R. Korn, C. Lindberg (2013).
    Portfolio optimization for an investor with a benchmark.
    Decisions in Economics and Finance.
  • R. Korn, F. T. Seifried (2013).
    A concise characterization of optimal consumption with logarithmic preferences.
    International Journal of Theoretical and Applied Finance. Vol. 16(6).
  • R. Korn, Q. Liang (2013).
    Adjoint Libor (Cross) Gammas for Bermudan Swaptions.
    RISK.
  • R. Korn, S. Tang (2013).
    Exact Analytical Solution for the Normal SABR Model.
    Wilmott 2013. Vol. 66, 64-69.
  • R. Korn, S. Zeytun (2013).
    Efficient Basket Monte Carlo option pricing via a simple analytical approximation.
    Journal Of Computational and Applied Mathematics. 243, 48-59.
  • M. Busch, R. Korn, F. T. Seifried (2013).
    Optimal Consumption and Investment for a Large Investor: An Intensity-Based Control Framework.
    Mathematical Finance. Vol. 23(4), 687-717.
  • R. Korn, O. Menkens, M. Steffensen (2012).
    Worst-case-optimal dynamic reinsurance for large claims.
    European Actuarial Journal. Vol. 2(1), 21-48.
  • R. Korn, Q. Liang (2012).
    Efficient Monte Carlo calculation of Delta Vector of a Bermudan Swaptions in the LIBOR Market Model.
    Wilmott 2012. 62, 54-63.
  • R. Korn, E. Korn, A. Kostiuk, H. Marxen, C. de Schryver, D. Schmidt, N. Wehn, (2012).
    A Hardware Efficient Random Number Generator for Nonuniform Distributions with Arbitrary Precision.
    International Journal of Reconfigurable Computing. Vol. 2012.
    [doi]
  • S. K. Acar, R. Korn, K. N. Acar, J. Wenze (2011).
    A Two-Factor HJM Interest Rate Model for Use in Asset Liability Management.
    Asset and Liability Management Handbook, Palgrave Macmillan UK. 62-76.
  • R. Korn, A. Kostiuk, H. Marxen, C. de Schryver, I. Shcherbakov, S. Wurm, N. Wehn (2011).
    Algorithmic complexity in the Heston model: an implementation view.
    Proceeding of the fourth workshop on High performance computational finance. ACM. 5-12.
  • M. Jung, R. Korn, A. Kostiuk, H. Marxen, C. de Schryver, N. Wehn (2011).
    Energy efficient acceleration and evaluation of financial computations towards real-time pricing.
    International Conference on Knowledge - Based and Intelligent Information and Engineering Systems, Springer Berlin Heidelbeg. 177-186.
  • R. Korn, A. Kostiuk, F. Kienle, H. Marxen, C. De Schryver, I. Shcherbakov, N. Wehn (2011).
    An energy efficient EPGA accelerator for Monte Carlo option pricing with the Heston model.
    In 2011 International Conference on Reconfigurable Computing and FPGAs, IEEE. 468-474.
  • R. Korn, Ö. Sezgin Alp (2011).
    Continuous-Time Mean-Variance Portfolios: A Comparison.
    Optimization.
  • Alp, Ö. Sezgin, and R. Korn, (2011).
    Continuous-Time Mean-Variance Portfolio Optimization in a Jump-Diffusion Market.
    Decisions in Economics and Finance. Vol. 34(1), 21-40.
  • R. Korn, T. K. Siu, A. Zhang (2011).
    Asset Allocation for a DC Pension Fund Under Regime Switching Environment.
    European Actuarial Journal 1. 361-377.
  • R. Korn (2010).
    Expected Utility Maximization.
    Encyclopedia of Quantitative Finance.
  • A.I. Cekic, R. Korn, O. Ugur (2010).
    A Mean-Variance Approach to Constant Proportion Debt Obligations.
    Wilmott Journal.
  • R. Korn, S. Müller (2010).
    Binomial Trees in Option Pricing - History, Practical Applications and Recent Developments.
    Recent Developments in Applied Probability and Statistics, Springer (eds. L. Devroye, B. Karasozen, M. Kohler, R. Korn). 119-138.
  • R. Korn, M. Schäl (2009).
    The numeraire portfolio in discrete time: Existence, related concepts and applications.
    Radon Series for Computational and Applied Mathematics (eds. H. Albrecher, W. Runggaldier, W. Schachermayer). 303-326.
  • E. Baydar, di G .Graziano, R. Korn, (2009).
    Theoretical solution versus industry standard: Optimal leverage function for CPDOs.
    Blätter der DGVFM. Vol. 30, 15-29.
  • R. Korn, F. Seifried (2009).
    A worst-case approach to continuous-time portfolio optimization.
    Radon Series for Computational and Applied Mathematics (eds. H. Albrecher, W. Runggaldier, W. Schachermayer). 327-345.
  • R. Korn, S. Müller (2009).
    The decoupling approach to binomial pricing of multi-asset options.
    Journal Of Computational Finance. Vol. 12(3), 1-30.
  • R. Korn, S. Müller (2009).
    Getting multi-dimensional trees into a new shape.
    WILLMOTT. Vol. 1(3), 145-153.
  • R. Korn, S. Zeytun (2009).
    Solving Optimal Investment Problems with Structured Products under CVaR Constraints.
    Optimization. Vol. 58(3), 291-304.
  • R. Korn, A. Wiese (2008).
    Optimal investment and bounded ruin probability: Constant portfolio strategies and mean-variance analysis.
    ASTIN Bulletin. Vol. 38(2), 423-440.
  • R. Korn (2008).
    Faszination Finanzmathematik – Probleme, Prinzipien und Methoden.
    Mathematische Semesterberichte. Vol. 55, 19-42.
  • R. Korn, H. Kraft (2008).
    Continuous-time Delegated Portfolio Management with Homogeneous Expectations.
    Financial Markets and Portfolio Management. Vol. 22(1), 67-90.
  • R. Korn (2008).
    Optimal portfolios: New variations of an old theme.
    Computational Management Science. Vol. 5, 289-304.
  • T. Gerstner, M. Holtz, R. Korn (2007).
    Valuation of performance-dependent options in a Black-Scholes framework.
    Numerical Methods for Finance (eds. J.Appleby, D.Edelman, and J.Miller) Chapman and Hall/CRC Press. 203-214.
  • C.O. Edwald, R. Korn, A. Zhang, (2007).
    Optimal management and inflation protection for defined contribution pension plans.
    Blätter der DGVFM. Vol. 28(2), 239-258.
  • R. Korn (2007).
    Stochastik an der Börse – Muss das sein?
    Mitteilungen der Mathematischen Gesellschaft Hamburg 26. 5-25.
  • R. Korn, M.Steffensen (2007).
    On worst case portfolio optimization.
    SIAM Journal on Control and Optimization. Vol. 46(6), pp. 2013-2030.
  • R. Korn, H. Kovilyanskaya (2007).
    Some Aspects of Investment into High-Yield Bonds.
    International Journal of Theoretical and Applied Finance. Vol. 10(6), 967-984.
  • R. Korn, K. Natcheva, J. Zipperer (2006).
    Langlebigkeitsbonds - Bewertung, Modellierung und Aspekte für deutsche Daten.
    Blätter der DGVFM. XXVII. Vol. 3, 397-418.
  • T. Beletski, R. Korn (2006).
    Optimal Investment with Inflation-linked Products.
    Advances in Risk Management (Hrsg. G.N. Gregoriou), Palgrave-Mac Millan. 170-190.
  • R. Korn, C. Rogers (2005).
    Stocks paying discrete dividends: modeling and option pricing.
    Journal Of Derivatives. Vol. 13(2), 44-49.
  • R. Korn, O. Menkens (2005).
    Worst-Case Scenario Portfolio Optimization: A New Stochastic Control Approach.
    Mathematical Methods of Operations Research. Vol. 62(1), 123-140.
  • R. Korn (2005).
    Optimal Portfolios with a Positive Lower Bound on Final Wealth.
    Quantitative Finance. Vol. 5(3), 315-321.
  • R. Korn (2005).
    Worst-Case Scenario Investment for Insurers.
    Insurance: Mathematics and Economics. Vol. 36, 1-11.
  • R. Korn, O. Menkens (2005).
    Worst-case investment with applications for banks and insurance companies.
    Interacting Stochastic Systems (Deuschel, Jean-Dominique; Greven, Andreas (Hrsg.)). 397-407.
  • M. Dahlgren, R. Korn (2005).
    The Swing Option on the Stock Market.
    International Journal of Applied and Theoretical Finance. Vol. 8(1), 123-139.
  • R. Korn, S. Kruse (2004).
    Einfache Verfahren zur Bewertung von inflationsgekoppelten Finanzprodukten.
    Blätter der DGVFM (Band XXVI, Heft 3). 351-367.
  • R. Korn, M. Krekel, J. de Kock, T.K. Man (2004).
    An analysis of some methods for pricing basket options.
    WILMOTT July 2004.
  • R. Korn (2004).
    Realism and Practicality of Transaction Cost Approaches in Continuous-Time Finance.
    Mathematical Methods of Operations Research. Vol. 60(2), 165-174.
  • R. Korn, H. Kraft (2004).
    Counter examples and stability in continuous-time portfolio optimization.
    Mathematical Finance. Vol. 14(3), S.403-414.
  • R. Korn, F. Oertel, M. Schäl (2003).
    On the numeraire portfolio for jump diffusion processes.
    Decisions in Economics and Finance 26. 153-166.
  • R. Korn, H. Kraft (2003).
    Optimal portfolios with defaultable securities: A firms value approach.
    International Journal of Applied and Theoretical Finance. Vol. 6, 793-819.
  • R. Korn (2003).
    The Martingale Optimality Principle in Finance: The Best you can is good enough.
    WILMOTT July 2003.
  • R. Korn (2003).
    ... and justice for all.
    WILMOTT January 2003.
  • R. Korn, S. Laue (2002).
    Portfolio optimisation with transaction costs and exponential utility.
    Stochastic Processes and Related Topics (Hrsg. R. Buckdahn, H.J. Engelbert, M. Yor).
  • R. Korn, H. Kraft (2002).
    A stochastic control approach to portfolio problems with stochatic interest rates.
    SIAM Journal on Control and Optimization. Vol. 40(4), S.1250-1269.
  • R. Korn, P. Wilmott (2002).
    Optimal investment under the threat of a crash.
    International Journal of Theoretical and Applied Finance. Vol. 5, S.171-187.
  • R. Korn (2001).
    Crash and Earn.
    WILMOTT May 2001.
  • R. Korn (2001).
    Stochastic models for optimal investment.
    Selcuk Journal of Applied Mathematics. Vol. 2(2), S. 73-82.
  • S. Emmer, R. Korn, C. Klüppelberg (2001).
    Optimal portfolios with bounded capital at risk.
    Mathematical Finance. Vol. 11, S. 365-384.
  • R. Korn (2000).
    Value preserving portfolio strategies and a general framework for local approaches to optimal portfolios.
    Mathematical Finance. Vol. 10(2), S. 227-241.
  • R. Korn (1999).
    Some applications of impulse control in mathematical finance.
    Mathematical Methods of Operations Research. Vol. 50(3), S. 493-518.
  • R. Korn, M. Schäl (1999).
    On growth optimal and value preserving portfolio.
    Mathematical Methods of Operations Research. Vol. 50(2), S. 189-218.
  • R. Korn, C. Klüppelberg (1999).
    Optimale Portfolios mit beschränktem Risiko.
    Solutions. Vol. 3(2), S. 23-32.
  • R. Korn (1999).
    Optimal Portfolios with Derivative Securities.
    Zeitschrift für Angewandte Mathematik und Mechanik 79. Suppl. 3, 919-922.
  • R. Korn, S. Trautmann (1999).
    Optimal Control of Option Portfolios.
    OR-Spektrum. Vol. 21, Nr. 1-2, S.123-146.
  • R. Korn, P. Wilmott (1998).
    A General Framework for Hedging and Speculating with Options.
    International Journal of Applied and Theoretical Finance. Vol. 1(4), S.507-522.
  • I. Buckley, R. Korn, (1998).
    Optimal Cash Management and Transaction Costs.
    International Journal of Applied and Theoretical Finance. Vol. 1(3), S.315-330.
  • R. Korn (1998).
    Value Preserving Portfolio Strategies and the Minimal Martingale Measure.
    Mathematical Methods of Operations Research. Vol. 47(1), S.169-179.
  • R. Korn (1998).
    Portfolio Optimization with Strictly Positive Transaction Costs and Impulse Control.
    Finance and Stochastics. Vol. 2(2), S.85-114.
  • R. Korn, M. Kreer, M Lenssen (1998).
    Pricing of European Options when the Stock Price follows a linear Birth-Death Process.
    Communications in Statistics : Stochastic Models. Vol. 14(3), S.647-662.
  • R. Korn (1997).
    Optimal Impulse Control when the Control Consequences are random.
    Mathematics of Operations Research. Vol. 22(3), S.639-667.
  • R. Korn (1997).
    Some Applications of L²-Hedging with a Non-Negative Wealth Process.
    Applied Mathematical Finance. Vol. 4(1), S.64-79.
  • R. Korn (1997).
    Value Preserving Portfolio Strategies in Continuous-Time Models.
    Mathematical Methods of Operations Research. Vol. 45(1), S.1-43.
  • R. Korn (1995).
    Contingent Claim Valuation with Different Interest Rates.
    Zeitschrift für Operations Research. Vol. 42(3), S.255-264.
  • R. Korn, S. Trautmann (1995).
    Continuous-Time Portfolio Optimization under Terminal Wealth Constraints.
    Zeitschrift für Operations Research. Vol. 42(1), S.69-92.
  • R. Korn (1993).
    The Pricing of Look Back Options and a Fubini Theorem for Itô-and Lebesgue- Integrals.
    Stochastic Processes and Optimal Control (ed. H.J.Engelbert, I.Karatzas, M.Röckner (Reihe Stochastics Monographs)) Gordon and Breach. Vol. 7, (S.105- 113)

  • S. Desmettre, R. Korn (2018).
    Moderne Finanzmathematik- Theorie und praktische Anwendung; Band 2: Erweiterungen des Black-Scholes-Modells, Zins, Kreditrisiko und Statistik.
    Springer Spektrum, Wiesbaden.
  • R. Korn (2014).
    Moderne Finanzmathematik - Theorie und praktische Anwendung; Band 1: Optionsbewertung und Portfolio-Optimierung.
    Springer Spektrum, Wiesbaden.
  • R. Korn, E. Korn, G. Kroisandt (2010).
    Monte Carlo Methods and Models in Finance and Insurance.
    Chapman & Hall/CRC Financial Mathematics Series.
  • L. Devroye, B. Karasözen, R. Korn, M. Kohler (2010).
    Recent Developments in Applied Probability and Statistics: Dedicated to the Memory of Jürgen Lehn.
    Physica Verlag/Springer ADD.
  • H.W. Hamacher, E. Korn, R. Korn, S. Schwarze (2004).
    Mathematik & Ökonomie.
    Universum - Verlag.
  • R. Korn, E. Korn (2001).
    Option pricing and portfolio optimization - Modern methods of financial mathematics.
    AMS.
  • R. Korn, E. Korn (1999).
    Optionsbewertung und Portfolio-Optimierung - Moderne Methoden der Finanzmathematik. Vieweg.
    (2. Auflage 2001, auch mittlerweile vergriffen)
  • R. Korn (1997).
    Optimal Portfolios - Stochastic Models for Optimal Investment and Risk Management in Continuous Time.
    (World Scientific, Singapore 1997)
  • C. Brugger, R. Korn, S. Tang, J. A. Verela, N. Wehn (2015).
    Pricing High Dimensional American Options on Hybrid CPU/FPGA Systems.
    FPGA Based Accelerators for Financial Applications, Springer
  • S. Desmettre, R. Korn, T. Sayer (2014).
    Optionsbewertung in der Praxis: Das stochastische Volatilitätsmodell nach Heston.
    Challenging Mathematics and Applications from Industry (Hrsg. H. Neunzert, D. Prätzel-Wolters), Springer
  • S. Desmettre, R. Korn (2014).
    10 Computational Challenges in Finance.
    FPGA Based Accelerators for Financial Applications, Springer (Hrsg. C. de Schryver)
  • R. Korn (2012).
    Zertifikate - Innovation oder Mogelpackung?
    ROI. 02, S. 28-31.
  • E. Korn, R. Korn (2012).
    The Monte Carlo Method.
    Simulating Copulas (J.F. Mai, M. Scherer), World Scientific (Pages 251-266)
  • E. Korn, R. Korn (2012).
    Sampling Univariate Random Variables.
    Simulating Copulas (J.F. Mai, M. Scherer), World Scientific (Pages 231-250)
  • R. Korn (2010).
    Financial Mathematics: Between Stochastic Differential Equations and Financial Crisis.
    Recent Developments in Applied Probability and Statistics (eds L. Devroye, B. Karasozen, M. Kohler, R. Korn).
  • N. Frass, R. Korn, J. Schnabl, S. Vorgrimler (2010).
    Adressrisikomodelle: Die Risikoeinschätzung verbessern.
    Die Bank. 02.
  • R. Korn (2009).
    Modern Mathematics for Finance and Economics: From Stochastic Differential Equations to the Credit Crisis.
    ERCIM News 78. 10-12.
  • R. Korn, M. Krekel (2002).
    Optimal portfolios with fixed consumption and income streams.
    Berichte des ITWM. 31.
  • R. Korn (2001).
    Elementare Probleme der Finanzmathematik.
    Mathematik in der modernen Welt (Hrsg. N. Christmann, FB Mathematik, Universität Kaiserslautern) (Pages 87-121)
  • J. Hinz, R. Korn (2000).
    A martingale method of portfolio optimization for unobservable mean rate of return.
    Report in Wirtschaftsmathematik. 68.
  • R. Korn, P. Wilmott
    Room for a View.
    (Working paper)
  • R. Korn, C. Klüppelberg
    Optimal portfolios with bounded value at risk.
    (Working paper)
  • R. Korn (1997).
    Das Portfolio-Problem: Stochastische Modelle und Methoden zur Bestimmung optimaler Investmentstrategien.
    Forschungsmagazin der Johannes Gutenberg-Universität Mainz. Jg.13, S.65-71.
  • R. Korn, P. Wilmott (1996).
    Option Prices and Subjective Beliefs.
    Berichte zur Stochastik und verwandte Gebiete. 5.
  • I. Buckley, R. Korn (1996).
    Optimal Cash Management and Transaction Costs.
    Berichte zur Stochastik und verwandte Gebiete. 6.
  • R. Korn (1993).
    Contingent Claim Valuation in a Market with Higher Interest Rates for Borrowing than for Lending.
    Berichte zur Stochastik und verwandte Gebiete 1, S. 294.
  • S. Desmettre, C. De Schryver, C. Kestel, R. Korn, J. A. Verela, N. Wehn (2015).
    Optimization strategies for portable code for Monte Carlo-based value-at-risk systems.
    In Proceeding of the 8th Workshop on High Performance Computational Finance, ACM. 3.
  • C. Brugger, R. Korn, S. Tang, J. A. Varela, N. Wehn (2015).
    Reverse Longstaff - Schwatrz American option pricing on hybrid CPU/ FPGA systems.
    In Proceedings of the 2015 Design. Automation & Test in Europe Conference & Exhibition, EDA Consortium. 1599-1602.
  • R. Korn (2003).
    Worst-case investment with applications for banks and insurance companies.
    Conference Proceedings, ERC-Conference, METU Ankara.
  • R. Korn, S. Trautmann (1993).
    A Dual Method for Portfolio Optimization under Terminal Wealth Constraints.
    Proceedings of the 20th Annual Meeting of the European Finance Association, Kopenhagen.

Forschungsinteressen

  • Finanzmathematik: Portfolio-Optimierung, Transaktionskosten, Modellierung von Inflation, Dividenden und Langlebigkeit
  • Stochastische Steuerung: Steuerung zeitstetiger Prozesse mit Anwendungen in der Finanzmathematik, Worst-Case-Control
  • Impulssteuerung: Verallgemeinerte Impulssteuerungen mit unsicherer Steuerungskonsequenz
  • Werterhaltung: werterhaltende Strategien in allgemeinen Finanzmärkten
  • Worst-Case-Steuerung: Anwendung bei der Portfolio-Optimierung bei Crash-Gefahr
  • Monte-Carlo-Methoden: Anwendungen in der Finanzmathematik
  • Baumverfahren zur Optionsbewertung: mehrdimensionale Binomialbäume
  • Quasi-Variationsungleichungen und Viskositätslösungen: Anwendungen bei Impulssteuerungsproblemen
Zum Seitenanfang