(for "Wolfgang Stadje" see https://sites.google.com/view/wstadje/home )
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
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
(with F. Fießinger) Optimal Capital Structure for Life Insurance Companies Offering Surplus Participation, http://arxiv.org/abs/2504.12851 (2025).
(with M. Aygün and R.J.A. Laeven) Higher-Order Ambiguity Attitudes, https://arxiv.org/abs/2501.13143 (2025).
(with R.J.A Laeven) A Rank-Dependent Theory for Decision under Risk and Ambiguity. https://arxiv.org/abs/2312.05977 (2025).
(with T. Nguyen) Utility maximization under endogenous pricing, accepted to Mathematics of Operations Research (2026).
(with R.J.A. Laeven, J. Schoenmakers, and N. Schweizer) Robust optimal stopping - a pathwise duality approach, Mathematics of Operations Research 50, 1250-1276 (2025).
(with F. Fießinger) The C^{0,1} Itô-Ventzell formula for weak Dirichlet processes, Electronic Communications in Probablity 30, 1-15 (2025).
(with F. Fießinger) Mean-Variance Optimization for Participating Life Insurance Contracts, Insurance: Mathematics and Economics 122, 230-248 (2025).
(with F. Fießinger) Time-Consistent Asset Allocation for Risk Measures in a Lévy Market, European Journal of Operations Research 321, 676-695 (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, 114–129 (2024) .
(with T. Ogihara) Efficient drift parameter estimation for ergodic solutions of backward SDEs, Scandinavian Journal of Statistics 51, 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).