Department Mathematik
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Inhaltsbereich

Gregor Svindland

Mathematics Institute LMU Munich
Theresienstr. 39
D-80333 Munich

Email:svindla [at] math [dot] lmu [dot] de

Office: B226

Arbeitsgruppe Stochastik und Finanzmathematik





Teaching

Seminar Stochastische Prozesse:
Inhalt: Martingale in stetiger Zeit, Brownsche Bewegung.
Die Vorträge werden in der ersten Sitzung am 9.4 vergeben. Um am Seminar teilzunehmen, senden Sie mir bitte eine entsprechende Email bis zum 8.4. Unbedingte Voraussetzung für die Teilnahme sind die Vorlesungen Stochastik und Wahrscheinlichkeitstheorie. Das Seminar ist eine gute Ergänzung zur Vorlesung Stochastische Analysis und richtet sich daher primär an Masterstudierende. Bachelorstudierende mit entsprechenden Vorkenntnissen können auch teilnehmen.

Vorlesung Stochastische Analysis

Office Hours:

by appointment via e-mail

Research

Project CORE

Preprints

  • Limitations of law-invariant insurance pricing
    Bellini, F. , Koch-Medina, P. , Munari, C., Svindland, G. , 2018 (PDF)
  • Constructive proofs of negated statements
    Berger, J. , Svindland, G., 2018 (PDF)
  • Risk sharing for capital requirements with multidimensional security markets
    Liebrich, F. , Svindland, G., 2018 (PDF)

Publications

  • Brouwer's fan theorem and convexity
    Berger, J. , Svindland, G.,
    Journal of Symbolic Logic, forthcoming, 2018 (PDF)
  • Which eligible assets are compatible with comonotonic capital requirements?
    Koch-Medina, P. , Munari, C. , Svindland, G. ,
    Insurance: Mathematics and Economics, forthcoming, 2018 (PDF)
  • Fatou closedness under model uncertainty
    Maggis, M. , Meyer-Brandis, T. , Svindland, G. ,
    Positivity, forthcoming, 2018 (PDF)
  • Convexity and unique minimum points
    Berger, J. , Svindland, G.,
    Archive for Mathematical Logic, forthcoming, 2018 (PDF)
  • Strongly consistent multivariate conditional risk measures
    Hoffmann, H. , Meyer-Brandis, T. , Svindland, G. ,
    Mathematics and Financial Economics, 12(3), 413-444, 2017 (PDF)
  • Ambiguity sensitive preferences in Ellsberg Frameworks
    Ravanelli, C. , Svindland, G. ,
    Economic Theory, forthcoming, 2017 (PDF)
  • Model spaces for risk measures
    Liebrich, F. , Svindland, G.,
    Insurance: Mathematics and Economics, 77, 150-165, 2017 (PDF)
  • Constructive convex programming
    Berger, J. , Svindland, G.,
    To appear in: Proof-Computation-Digitalization in Mathematics, Computer Science and Philosophy
    (K. Mainzer, P. Schuster, H. Schwichtenberg, editors)
    to be published by World Scientific Publishing Co. Pte. Ltd., Singapore, 2017 (PDF)
  • Convexity and constructive infima
    Berger, J. , Svindland, G. ,
    Archive for Mathematical Logic, 55, 873-881, 2016 (PDF)
  • Robust optimal risk sharing and risk premia in expanding pools
    Knispel, T. , Laeven, R. , Svindland, G. ,
    Insurance: Mathematics and Economics, 70, 182-195, 2016 (PDF)
  • A separating hyperplane theorem, the fundamental theorem of asset pricing, and Markov's principle
    Berger, J. , Svindland, G. ,
    Annals of Pure and Applied Logic, 167, 1161-1170, 2016 (PDF)
  • Risk-consistent conditional systemic risk measures
    Hoffmann, H. , Meyer-Brandis, T. , Svindland, G. ,
    Stochastic Processes and their Applications, 126(7), 2014-2037, 2016 (PDF)
  • The Mathematical Concept of Measuring Risk
    Biagini, F. , Meyer-Brandis, T. , Svindland, G. ,
    Risk - A Multidisciplinary Introduction, Klüppelberg C., Straub D. and Welpe I.M. (Eds.), Springer, 2014 (Link to the book)
  • On the lower arbitrage bound of american contingent claims
    Acciaio, B. , Svindland, G. ,
    Mathematical Finance, 27, 147-155, 2014 (PDF)
  • Dilatation monotonicity and convex order
    Svindland, G. ,
    Mathematics and Financial Economics, 8, 241-247, 2014 (PDF)
  • Comonotone Pareto optimal allocations for law invariant robust utilities on L^1
    Ravanelli, C. , Svindland, G. ,
    Finance and Stochastics, 18, 249-269, 2014 (PDF)
  • Are law-invariant risk functions concave on distributions?
    Acciaio, B. , Svindland, G. ,
    Dependence Modeling, 1, 54-64, 2013 (PDF)
  • The canonical model space for law-invariant convex risk measures is L^1
    Filipovic, D. , Svindland, G. ,
    Mathematical Finance 22(3), 585-589, 2012 (PDF)
  • Dual representation of monotone convex functions on L^0
    Kupper, M. , Svindland, G. ,
    Proceedings of the AMS, 139(11), 4073-4086, 2011 (PDF)
  • Continuity properties of law-invariant (quasi-)convex risk functions on L^\infty
    Svindland, G. ,
    Mathematics and Financial Economics, 3(1), 39-43, 2010 (PDF)
  • Subgradients of law-invariant convex risk measures on L^1
    Svindland, G. ,
    Statistics & Decisions, 27(2), 169-199, 2010 (PDF)
  • Optimal risk sharing with different reference probabilities
    Acciaio, B. , Svindland, G. ,
    Insurance: Mathematics and Economics, 44(3), 426-433, 2009 (PDF)
  • A note on natural risk statistics
    Ahmend, S. , Svindland, G. ,
    Operations Research Letters, 36(6), 662-664, 2008 (PDF)
  • Optimal capital and risk allocations for law- and cash-invariant convex functions
    Filipovic, D. , Svindland, G. ,
    Finance and Stochastics, 12(3), 423-439, 2008 (PDF)