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Prof. Dr. Dirk Becherer
Humboldt-Universität zu Berlin
Institut für Mathematik |
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| Contact this member: | mailto |
| Personal homepage: | link |
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| Belongs to Maths: | III: Applied and stochastic analysis
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| Belongs to Application Area: | E: Finance
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| Fields of activitiy: | Stochastic Finance |
| Short CV: | 2008- Professor, Matheon, at Humboldt University; 2004-08 Lecturer at Imperial College London; 2002-04 Marie Curie and Chapman Fellowships by the EU and Imperial; 1996-2001 Research Assistant TU Berlin; 1996 Diploma, Göttingen
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| Head of Projects: | E8: "Numerical Multidimensional Time Series Analysis for Portfolio Optimization"
E9: "Beyond replication: Hedging in markets with frictions"
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| Publications: | Indifference valuation
D. Becherer, in: Encyclopedia of Quantitative
Finance. Wiley, Chichester. To appear
(2009) | From Bounds on optimal growth
Towards a theory of good-deal hedging
D. Becherer, in: Radon Series on Computational and Applied Mathematics. De Gruyter, Berlin. To appear
(2009) | Weak optimal static hedging of equity and credit risk using derivatives
I. Ward and D. Becherer, in: Applied Mathematical Finance (to appear) (2009) | Optimization of a Futures Portfolio utilizing numerical Market Phase-detection
Lars Putzig, Dirk Becherer and Illia Horenko (2009) | Arrow debreu prices
D. Becherer and M. Davis, in: Encyclopedia of Quantitative Finance. Wiley,
Chichester. To appear
(2008) | Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
D. Becherer, in: Annals of Applied Probability, 16:2027–2054 (2006) |
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