Stephan Sturm

Assistant Professor
Department of Mathematical Sciences
Stratton Hall 202C
Worcester Polytechnic Institute
100 Institute Road
Worcester, MA 01609-2280

Fon: + 1 / 508 / 831 - 5921
Fax:  + 1 / 508 / 831 - 5824

Office hours: I am not on campus in Spring 2015. Office hours by video conference can be arranged upon request by email.

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Publications and Preprints

  • Portfolio optimization under convex incentive schemes, with M. Bichuch (Finance Stoch. 18:4, 873-915 (2014); Preprint, also available at SSRN; arXiv)
  • 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, 1/15/15