Stephan Sturm
Assistant Professor
Department of Mathematical Sciences
Stratton Hall
202C
Worcester Polytechnic Institute
100 Institute Road
Worcester, MA 01609-2280
USA
Fon: + 1 / 508 / 831 - 5921
Fax: + 1 / 508 / 831 - 5824
Email:
Office hours: Wed. 12:00-2:00 p. m. & Fri., 2:00 - 4:00 p.m., and upon request per email
Home
Teaching
Publications
Talks
CV
Publications and Preprints
Preprints
Portfolio optimization under convex incentive schemes,
with
M. Bichuch
(under revision;
Preprint
, also available at
SSRN
;
arXiv
)
Publications
From smile asymptotics to market risk measures,
with
R. Sircar
(forthcoming in Math. Finance;
Preprint
, also available at
SSRN
;
arXiv
)
Is the minimum value of an option on variance generated by local volatility?,
with
M. Beiglböck
and
P. Friz
(
SIAM J. Finan. Math. 2, 213-220 (2011)
;
Preprint
, also available at
arXiv
)
On refined volatility smile expansion in the Heston model,
with
P. Friz
,
S. Gerhold
and
A. Gulisashvili
(
Quant. Finance, 11:8, 1151-1164 (2011)
;
Preprint
, also available at
arXiv
; a list of
Addenda and Corrigenda
is maintained by S. Gerhold)
Theses
Small-Time Large Deviations for Sample Paths of Infinite-Dimensional Symmetric Dirichlet Processes
(PhD thesis under the supervision of
A. Schied
)
Calculation of the Greeks by Malliavin Calculus
(Master's thesis under the supervisison of
W. Schachermayer
and
J. Teichmann
)
Stephan Sturm, 01/14/13
