Seminar "Mathematical and Computational Finance" SS 2016 (online information)

	A	B	C	D	E
1	Topic	Authors	Title	Link	Student
2	Numerical methods	Eberlein, Glau, P.	Analysis of Fourier transform valuation formulas and applications		Hilbig
3		Gaß, Glau, Mahlstedt, Mair	Chebyshev Interpolation for Parametric Option Pricing	http://arxiv.org/abs/1505.04648	Thiele
4		Gaß, Glau, Mair	Magic points in finance: Empirical integration for parametric option pricing	http://arxiv.org/abs/1511.00884	Nguyen
5		Gaß, Glau	Parametric Integration by Magic Point Empirical Interpolation	http://arxiv.org/abs/1511.08510	Truong
6	Systemic risk	Armenti, Crepey, Drapeau, P.	Multivariate Shortfall Risk Allocation and Systemic Risk	http://arxiv.org/abs/1507.05351	Lenkana
7		Brunnermeier, Cheridito	Measuring and Allocating Systemic Risk	http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2372472	Ferhat
8		Chen, Iyengar, Moallemi	An axiomatic approach to systemic risk	https://moallemi.com/ciamac/papers/systemic-risk-2011.pdf	Ho
9		Biagini, Fouque, Frittelli, Meyer-Brandis	A Unified Approach to Systemic Risk Measures via Acceptance Sets	http://www.pstat.ucsb.edu/faculty/fouque/PubliFM/SysRkProperties150423.pdf	Tsigkros & Krause
10	Model-free methods	Hobson, Laurence, Wang	Static-arbitrage upper bounds for the prices of basket options	http://www2.warwick.ac.uk/fac/sci/statistics/staff/academic-research/hobson/publications/basketu.pdf	Müller
11		Hobson, Laurence, Wang	Static-arbitrage optimal subreplicating strategies for basket options.	http://www2.warwick.ac.uk/fac/sci/statistics/staff/academic-research/hobson/publications/basketl.pdf	Schmidt
12		d'Aspremont, L. El Ghaoui	Static Arbitrage Bounds on Basket Option Prices	http://arxiv.org/abs/math/0302243	Wieduwilt
13		Peña, J. Vera, and L. Zuluaga	Static-arbitrage lower bounds on the prices of basket options via linear programming	http://repository.cmu.edu/cgi/viewcontent.cgi?article=1352&context=tepper	Krellner
14		Tankov	Improved Frechet-Hoeffding bounds and model-free pricing of multiasset options	https://arxiv.org/abs/1004.4153	Deng
15		Lux, P.	Improved Frechet-Hoeffding bounds on d-copulas and applications in model-free finance	https://arxiv.org/abs/1602.08894	Ernst
16	VaR bounds	Embrechts, Puccetti, Rüschendorf	Model uncertainty and VaR aggregation	http://poseidon01.ssrn.com/delivery.php?ID=573003097124109026101021027106079102004031054052030066103127103126126085090026069007006034063101028059032066028100001120072102046016071077042066003093094076125072096068080057089026001094064084001087120071123090068001119027027003017120077109022104086104&EXT=pdf	Eggebrecht
17	VaR bounds	Bernard, Vanduffel	A new Approach to Assessing Model Risk in High Dimensions	http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2393054	Seibele
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