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 Analysis:
Die Vorträge werden in der ersten Sitzung am 16.10.2018 vergeben. Es wird bis dahin um eine Anmeldung zum Seminar per Email gebeten. Das Seminar vertieft Themen aus der Stochastischen Analysis. Voraussetzung ist eine der Vorlesungen Stochastische Analysis oder Finanzmathematik II.

Vorlesung Stochastik

Office Hours:

by appointment via e-mail

Research

Project CORE

Preprints

  • Efficient allocations under law-invariance: a unifying approach
    Liebrich, F. , Svindland, G., 2018 (PDF)
  • 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, 22(5), 1325-1343, 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.,
    Proof and Computation: Digitalization in Mathematics, Computer Science, and Philosophy
    (K. Mainzer, P. Schuster, H. Schwichtenberg, editors)
    World Scientific Publishing Co. Pte. Ltd., 2018 (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)