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

      • 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

Publications & Arxiv-Preprints 

• • (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 F. Fießinger) Time-Consistent Asset Allocation for Risk Measures in a Lévy Market, https://arxiv.org/abs/2305.09471 (2023).

  • (with T. Nguyen) Utility maximization under endogenous pricing, http://arxiv.org/abs/2005.04312 (2023). 

  • (with A. Chen and F. Zhang) On the equivalence between Value-at-Risk and Expected Shortfall in non-concave optimization, accepted to Insurance Mathematics and Economics, (2024).

  • (with K. Gnameho and A. Pelsser) A Gradient Method for high-dimensional Backward Stochastic Differential Equations, Monte Carlo Methods and Applications  (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 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).