Stefan Ankirchner
Stefan Ankirchner
Stefan Ankirchner
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<strong>Stefan</strong> <strong>Ankirchner</strong><br />
Date of birth: 13 Mar 1976<br />
Academic career<br />
2002 Diploma in Mathematics, Ludwig-Maximilians-<br />
Universität, Munich<br />
2005 Dr. rer. nat., Humboldt University, Berlin<br />
2005–2006 Chapman Fellow, Imperial College, London<br />
2006–2008 Researcher, Matheon, HU Berlin<br />
2008–2009 Quantitative Analyst, EnBW Trading, Karsruhe<br />
2009 Professor (W2, Bonn Junior Fellow), Bonn University<br />
Honours<br />
2006 Förderpreis der Fachgruppe Stochastik der Deutschen Mathematiker-<br />
Vereinigung<br />
2006 Dissertationspreis Adlershof<br />
Offers<br />
2009 Junior professorship, Ulm University<br />
Research Area G My main focus are Backward Stochastic Differential Equations (BSDEs) as<br />
a powerful tool for solving stochastic control problems. E.g. we have appealed to BSDEs for<br />
solving the Skorokhod embedding problem, and we have derived time bounds up to which<br />
probability distributions can be embedded into a Brownian motion, possibly with drift.<br />
Research Area H A major focus of my research is market risk that can not be prefectly hed-<br />
ged, but only cross hedged with highly correlated traded proxies. In particular, I have studied<br />
the effect of stochastic correlation and cointegration on hedge ratios and hedging error characteristics.<br />
Supervised theses<br />
Bachelor theses currently: 4<br />
Master theses: 2<br />
Diplom theses: 2, currently 4<br />
PhD theses currently: 1<br />
Selected publications<br />
[AD11] ANKIRCHNER, S. ; DERMOURNE, A.: Multiperiod mean variance portfolio optimization via market cloning.<br />
In: Applied Mathematics and Optimization (2011). – to appear<br />
[ADI07] ANKIRCHNER, <strong>Stefan</strong> ; DEREICH, Steffen ; IMKELLER, Peter: Enlargement of filtrations and continuous<br />
Girsanov-type embeddings. In: Séminaire de Probabilités XL Bd. 1899. Berlin : Springer, 2007, S. 389–<br />
410<br />
[ADRI07] ANKIRCHNER, <strong>Stefan</strong> ; DOS REIS, Goncalo ; IMKELLER, Peter: Classical and variational differentiability<br />
of BSDEs with quadratic growth. In: Electron. J. Probab. 12 (2007), S. no. 53, 1418–1453 (electronic). –<br />
ISSN 1083–6489<br />
[ADRI10] ANKIRCHNER, <strong>Stefan</strong> ; DOS REIS, Goncalo ; IMKELLER, Peter: Pricing and hedging of derivatives based<br />
on nontradable underlyings. In: Math. Finance 20 (2010), Nr. 2, S. 289–312. – ISSN 0960–1627<br />
[AH10] ANKIRCHNER, S. ; HEYNE, G.: Cross hedging with stochastic correlation. In: Finance and Stochastics<br />
(2010). – online first<br />
[AHI08] ANKIRCHNER, <strong>Stefan</strong> ; HEYNE, Gregor ; IMKELLER, Peter: A BSDE approach to the Skorokhod embedding<br />
problem for the Brownian motion with drift. In: Stoch. Dyn. 8 (2008), Nr. 1, S. 35–46. – ISSN 0219–4937
[AIP09] ANKIRCHNER, <strong>Stefan</strong> ; IMKELLER, Peter ; POPIER, Alexandre: On measure solutions of backward stochastic<br />
differential equations. In: Stochastic Process. Appl. 119 (2009), Nr. 9, S. 2744–2772. – ISSN<br />
0304–4149<br />
[AS11] ANKIRCHNER, S. ; STRACK, P.: Skorokhod embeddings in bounded time. In: Stochastics and Dynamics<br />
11 (2011), Nr. 2 & 3, S. 1–12
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