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Mitja Stadje
Employment
Ulm University
Professor since 2015
Faculty of Mathematics & Economics
Tilburg University
tenured Associate Professor, 2014-2015
Assistant Professor, 2010-2014
Department of Econometrics and Operations Research
School of Management & Economics
Technical University of Eindhoven
Postdoctoral Fellow, 2009-2010
Multivariate Risk Modelling Group
Eurandom
Department of Mathematics and Computer Sciences
Education
Princeton University
PhD: June 2009, Advisor: Patrick Cheridito
PhD Thesis: Dynamic risk measures and backward stochastic differential equations
Department of Operations Research and Financial Engineering
Master of Arts: July 2007
Full Graduate School Fellowship 2005-2009
Technical University of Berlin
Diploma in Financial and Economic Mathematics (Dipl.-Math.oec.) 2005
PhD Students
Kossi Gnameho (graduated December 2016, University of Maastricht, joint supervision with Antoon Pelsser)
Frank Bosserhoff (graduated January 2020)
Christian Dehm (graduated November 2020)
Fangyuan Zhang (graduated November 2022, joint supervision with An Chen)
Felix Fießinger
Former Postdocs
Thai Nguyen 2015-2019, currently tenure-track assistant professor, École d'actuariat de l'Université Laval, Québec, Canada
Projects
Deutscher Verein für Versicherungswissenschaft e.V., "On the investment strategies in occupational pension plans", 2020-2021
Academic Participant of the Netspar Research Grant "Design of pension contracts in incomplete markets and under uncertainty'', Netherlands, 2018-2021
VENI Grant awarded by the National Dutch Science Foundation, "Valuations of financial positions under ambiguity", 2013-2016
Memberships
Member of the "Ausschuss Forschung und Transfer" of the DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik)
Member of the "Zulassungsausschuss" for the Master of Finance and for the "Zulassungsausschuss" for the Master in Aktuarwissenschaften ("berufsbegleitend'" master program designed for professionals), Faculty of Mathematics and Economics, Ulm University
Editorial Memberships
Associate Editor: Mathematical Methods of Operations Research (2018)-(2024)
Publications & Arxiv-Preprints
(with F. Fießinger) Mean-Variance Optimization for Participating Life Insurance Contracts, https://arxiv.org/abs/2407.11761 (2024).
(with R.J.A Laeven) A Rank-Dependent Theory for Decision under Risk and Ambiguity. https://arxiv.org/abs/2312.05977(2023).
(with F. Fießinger) The C^{0,1} Itô-Ventzell formula for weak Dirichlet processes, https://arxiv.org/abs/2307.16519 (2023).
(with T. Nguyen) Utility maximization under endogenous pricing, http://arxiv.org/abs/2005.04312 (2023).
(with F. Fießinger) Time-Consistent Asset Allocation for Risk Measures in a Lévy Market, accepted to European Journal of Operations Research (2024).
(with R.J.A. Laeven, J. Schoenmakers, and N. Schweizer) Robust optimal stopping - a pathwise duality approach, accepted to Mathematics of Operations Research (2024).
(with K. Gnameho and A. Pelsser) A Gradient Method for high-dimensional Backward Stochastic Differential Equations, Monte Carlo Methods and Applications (2024).
(with A. Chen and F. Zhang) On the equivalence between Value-at-Risk and Expected Shortfall in non-concave optimization, Insurance Mathematics and Economics 117 (2024) 114–129.
(with T. Ogihara) Efficient drift parameter estimation for ergodic solutions of backward SDEs, Scandinavian Journal of Statistics, 1–25 (2024).
(with C. Dehm and T. Nguyen) Non-concave expected utility optimization with uncertain time horizon, Applied Mathematics and Optimization 88, 65 (2023).
(with F. Bosserhoff) Robustness of Delta hedging in a jump-diffusion model, SIAM Journal on Financial Mathematics 14, 663-702 (2023).
(with F. Bosserhoff, A. Chen and N. Sørensen) On the investment strategies in occupational pension plans, Quantitative Finance 22, 889-905 (2022).
(with F. Bosserhoff) Mean-variance hedging of unit linked life insurance contracts in a jump-diffusion model, Insurance Mathematics and Economics 100, 130-146 (2021).
(with T. Nguyen) Non-concave optimal investment with Value-at-Risk constraint: An application to life insurance contracts, SIAM Journal on Control and Optimization 58, 895-936 (2020).
Two results on dynamic extensions of deviation measures, Journal of Applied Probability 57, 1-10 (2020).
(with V. Krätschmer, M. Ladkau, R.J.A. Laeven, and J. Schoenmakers) Optimal stopping under drift and jump uncertainty, Mathematics of Operations Research 43, 1177-1209 (2018).
(with A. Chen and T. Nguyen) Risk management with multiple VaR constraints, Mathematical Methods of Operations Research 88, 297-337 (2018).
(with A. Chen and T. Nguyen) Optimal investment under VaR-regulation and minimum insurance, Insurance: Mathematics and Economics 79, 194-209 (2018).
(with M. Fukasawa) Perfect hedging under endogenous permanent market impacts, Finance & Stochastics 22, 417-442 (2018).
(with M. Pistorius) On dynamic deviation measures and continuous-time portfolio optimisation, Annals of Applied Probability 27, 3342-3384 (2017).
(with D. Madan and M. Pistorius) On consistent valuations based on distorted expectation: from multinomial random walks to Levy processes, Finance & Stochastics 21, 1073-1102 (2017).
(with D. Madan and M. Pistorius) Convergence of BSDeltaEs driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver, Stochastic Processes and their Applications 126, 1553–1584 (2016).
(with R.J.A. Laeven) Robust portfolio choice and indifference evaluation , Mathematics of Operations Research 39, 1109-1141 (2014).
(with A. Pelsser) Time-consistent and market-consistent evaluations, Mathematical Finance 24, 25-65 (2014).
(with R.J.A. Laeven) Entropy coherent and entropy convex measures of risk, Mathematics of Operations Research 38, 265-293 (2013).
(with P. Cheridito) BSDeltaEs and BSDEs with non-Lipschitz drivers: comparison, convergence and robustness, Bernoulli 19, 1047-1085 (2013).
(with P. Cheridito) Existence, minimality and approximations of solutions of BSDEs with convex drivers, Stochastic Processes and their Applications 122, 1540-1565 (2012).
Extending dynamic convex risk measures from discrete time to continuous time: a convergence approach, Insurance: Mathematics and Economics 47, 391-404 (2010).
(with P. Cheridito) Time-inconsistencies of Value at Risk and time-consistent alternatives, Finance Research Letters 6, 40-46 (2009).
(with A. Schied) Robustness of Delta hedging for path-dependent options in local volatility models, Journal of Applied Probability 44, 865-879 (2008).