Martin Schweizer
PhD students
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Jürgen Amendinger
(Januar 1999)
"Initial Enlargement of Filtrations and Additional Information in Financial Markets"
TU Berlin
Frank Döberlein
(Januar 1999)
"On Term Structure Models Generated by Semimartingales"
TU Berlin
Thorsten Rheinländer
(July 1999)
"Optimal Martingale Measures and their Applications in Mathematical Finance"
TU Berlin
Thomas Møller
(June 2000)
"Quadratic Hedging Approaches and Indifference Pricing in Insurance"
University of Copenhagen
Dirk Becherer
(October 2001)
"Rational Hedging and Valuation with Utility-Based Preferences"
TU Berlin
Felix Esche
(January 2004)
(via linkedin)
"Two Essays on Incomplete Markets"
TU Berlin
Urs Gruber (September 2004)
"Convergence of Binomial Large Investor Models and General Correlated Random Walks"
TU Berlin
Susanne Klöppel (June 2006)
"Dynamic Valuations in Incomplete Markets"
ETH Zurich
Giuliana Bordigoni
(May 2007)
"Stochastic Control and BSDEs in a Robust Utility Maximization Problem with an Entropic Penalty Term"
Politecnico di Milano
Johannes Wissel
(December 2007)
(via linkedin)
"Arbitrage-free Market Models for Liquid Options"
ETH Zurich
Christoph Frei
(September 2009)
"Exponential Utility Indifference Valuation: Correlation, Semimartingales, BSDEs, Convergence"
ETH Zurich
Marcel Nutz
(September 2010)
"Optimal Consumption and Investment with Power Utility"
ETH Zurich
Christoph Czichowsky
(February 2011)
"Mean-Variance Portfolio Optimisation: Trading Constraints and Time Consistency"
ETH Zurich
Christian Reichlin (November 2012)
(via linkedin)
"Non-concave Utility Maximization: Optimal Investment, Stability and Applications"
ETH Zurich
Martin Herdegen
(July 2014)
"Numéraire-Independent Modelling of Financial Markets"
ETH Zurich
Ariel Neufeld
(May 2015)
"Knightian Uncertainty in Mathematical Finance"
ETH Zurich
Sebastian Herrmann
(February 2016)
"Beyond Black and Scholes: Uncertainty Aversion, Delta-Vega Hedging, and Bubbles and Crashes"
ETH Zurich
Danijel Zivoi (May 2017)
(via linkedin)
"Quadratic Hedging Problems Under Restricted Information"
ETH Zurich
Dániel Ágoston Bálint (April 2020)
(via linkedin)
"Towards a Discounting-Invariant No-Arbitrage Theory"
ETH Zurich
Last update: 17.08.2020 / M. Schweizer