Department Mathematik
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Felix-Benedikt Liebrich

Mathematisches Institut der Universität München
Theresienstr. 39
D-80333 München

Email: liebrich (at) math.lmu.de

Tel:   +49 (0)89   2180 4633
Fax:  +49 (0)89   2180 4043
Büro: Block B, 2. Stock, 218

Arbeitsgruppe Stochastik und Finanzmathematik


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Office hours: Wednesday, 3-4p.m

I am a PhD student supervised by Gregor Svindland and a member of the workgroup "Stochastics and Financial Mathematics" at the Department of Mathematics of the LMU. For more information please see my academic CV.

Research Interests

My research focuses on the mathematical foundations underlying problems arising from decisions made under the influence of imperfect knowledge and financial mathematics. More specifically I am interested in
  • Orlicz space-type methods in risk theory
  • Uncertainty robust model spaces
  • (Partial) law-invariance/probabilistic sophistication
  • Risk sharing, utility maximisation and equilibrium problems

Publications

Talks

  • Uncertainty Robust Spaces, Robust Techniques in Quantitative Finance, Oxford, UK. September 03-07, 2018
  • TBA, 10th World Congress of the Bachelier Finance Society, Dublin, Ireland. July 16-20, 2018
  • Uncertainty Robust Model Spaces, Model Uncertainty & Robust Finance Workshop, Milan, Italy. March 14-17, 2018
  • Risk Sharing with Higher Dimensional Security Markets, SIAM Student Chapter, University of Warwick, UK. February 28, 2018
  • Model Spaces for Risk Measures, Doktorandentreffen Stochastik 2017 Kaiserslautern, Germany. August 2-4, 2017

Teaching