Mitja Stadje

Publication Activity (10 Years)

Years Active: 2013-2024
Publications (10 Years): 8

Top Topics

Optimal Portfolio

Optimal Stopping

Top Venues

Finance Stochastics

Math. Oper. Res.

J. Appl. Probab.

Monte Carlo Methods Appl.

Publications

Kossi Gnameho, Mitja Stadje, Antoon Pelsser
A gradient method for high-dimensional BSDEs. Monte Carlo Methods Appl. 30 (2) (2024)
Frank Bosserhoff, Mitja Stadje
Robustness of Delta Hedging in a Jump-Diffusion Model. SIAM J. Financial Math. 14 (2) (2023)
Mitja Stadje
Two results on dynamic extensions of deviation measures. J. Appl. Probab. 57 (2) (2020)
Thai Nguyen, Mitja Stadje
Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts. SIAM J. Control. Optim. 58 (2) (2020)
An Chen, Thai Nguyen, Mitja Stadje
Risk management with multiple VaR constraints. Math. Methods Oper. Res. 88 (2) (2018)
Masaaki Fukasawa, Mitja Stadje
Perfect hedging under endogenous permanent market impacts. Finance Stochastics 22 (2) (2018)
Volker Krätschmer, Marcel Ladkau, Roger J. A. Laeven, John Schoenmakers, Mitja Stadje
Optimal Stopping Under Uncertainty in Drift and Jump Intensity. Math. Oper. Res. 43 (4) (2018)
Delip Madan, Martijn Pistorius, Mitja Stadje
On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation. Finance Stochastics 21 (4) (2017)
Roger J. A. Laeven, Mitja Stadje
Robust Portfolio Choice and Indifference Valuation. Math. Oper. Res. 39 (4) (2014)
Roger J. A. Laeven, Mitja Stadje
Entropy Coherent and Entropy Convex Measures of Risk. Math. Oper. Res. 38 (2) (2013)