Mathematische Optimierung und Wirtschaftsmathematik | Mathematical Optimization and Economathematics

Maximilian Klein analyses nested Monte Carlo simulations for the approximation of conditional expected values. Thereby, the book deals with two general risk functional classes for conditional expected values, on the one hand the class of …

Anja Schedel analyzes two models in the field of algorithmic game theory which both constitute bilevel problems in networks. The first model is a game-theoretic variant of the well-known Steiner forest problem, and one is interested in an optimal …

Oleg Wilfer presents a new conjugate duality concept for geometric and cone constrained optimization problems whose objective functions are a composition of finitely many functions. As an application, the author derives results for single minmax …

Ole Martin extends well-established techniques for the analysis of high-frequency data based on regular observations to the more general setting of asynchronous and irregular observations. Such methods are much needed in practice as real data …

Jan Natolski behandelt die Problematik der Quantifizierung des Risikokapitals aus einer theoretischen Perspektive, die in wertvolle Impulse für die praktische Handhabung mündet. Dies ist ein wichtiger Schritt, da Versicherungsunternehmen durch die …

Manuela Spangler deals with the default risk modelling of German covered bonds (Pfandbriefe). Existing credit risk models are not suitable for this purpose as they only consider the creditworthiness of the issuer while product-specific features …

Emilia Graß develops a solution method which can provide fast and near-optimal solutions to realistic large-scale two-stage stochastic problems in disaster management. The author proposes a specialized interior-point method to accelerate the …