Humboldt Universität zu Berlin
Institute of Mathematics
Section Stochastics

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Dirk Becherer Matheon-Professor Chair of Stochastic Analysis and Mathematical Finance EMail Phone Fax   myfamilyname at math.hu-berlin.de ++49 (0)30 2093-5835 or -5811 (Ms.Bergmann) ++49 (0)30 2093-5848

Mailing Adress		Office Adress
Institut für Mathematik Humboldt Universität zu Berlin Unter den Linden 6 D-10099 Berlin		Berlin-Adlershof Rudower Chaussee 25, House 1, Room 1.206 (view map)

Research Area: Stochastic Analysis and Mathematical Finance

• Research Seminar: Stochastic Analysis and Mathematical Finance (HU/TU research seminar), see here
• Berliner Kolloquium Wahrscheinlichkeitstheorie (HU/TU/WIAS/Potsdam probability theory colloqium), see here
• Mathematics Calendar (current mathematical talks and workshops in Berlin-Potsdam)
• Stochastic Analysis - with applications in biology, finance and physics : Festkolloqium in honour of Hans Föllmer and opening of the DFG research training group 1845, Humboldt Graduate School, Berlin, 16-17 Nov 2012
• Young Researchers Workshop on Mathematical Finance , Humboldt Graduate School, Berlin, 11-13 Oct 2012
• IMPACT Workshop in honour of Peter Imkeller , HU Berlin, 24-26 Feb 2011
• A.MA.ME.F Conference, Berlin 27-30 Sept 2010
• Workshop on Stochastics, Control and Finance, in honour of Mark H.A. Davis, at Imperial College London, 12-14 April 2010 (Festschrift to appear in Stochastics)


• Berlin Mathematical School BMS (graduate program, phd scholarships)
• DFG Research Training Group 1845: Stochastic analysis with applications in biology, finance and physics, Berlin/Potsdam (graduate program, phd scholarships)
• MATHEON - DFG Research Center - Mathematics for Key Technologies. Application area E Finance
• IMU Berlin Einstein Foundation Program (fellowships for research visits to Berlin)

Excellent young researchers interested to do graduate or doctoral research in Berlin are always welcome to contact me. Here is a brief outline of possibilities.
On another matter: Regretably I can`t accept requests for 'internship projects'.

Publications

See on Google Scholar here or below: (paper versions linked below might not agree with the final published version - please check published versions before quoting)

• 'From Bounds on Optimal Growth Towards a Theory of Good-Deal Hedging', in Advanced Financial Modelling, vol 8, p.27-52, of Radon Series on Computational and Applied Mathematics, 2009 pdf
• 'Optimization of a futures portfolio utilizing numerical market phase-detection' (with Lars Putzig, Illia Horenko ), preprint here. SIAM J Financial Mathematics 1, 2010, p.752-779
• 'Optimal Weak Static Hedging of Equity and Credit Risk Using Derivatives' (with Ian Ward), Applied Mathematical Finance 17/(1), 2010, p.1-28 , rev version pdf
• 'Utility Indifference Valuation'. in Encyclopaedia of Quantitative Finance 2010, preprint pdf from 2009
• 'Arrow Debreu Prices' (with Mark Davis). in Encyclopaedia of Quantitative Finance 2010, preprint pdf from 2008
• 'Bounded solutions to Backward SDE's with Jumps for Utility Optimization and Indifference Hedging', Annals of Applied Probability 16/4, 2006, p.2027-2054, pdf (final version)
• 'Classical solutions to reaction diffusion systems for hedging problems with interacting Ito and point processes' (with Martin Schweizer), Annals of Applied Probability 15/(2), 2005, p.1111-1144, pdf
• 'Utility indifference hedging and valuation via reaction diffusion systems', pdf, Proceedings of the Royal Society, Series A, vol 460, 2004, p.27-51, theme issue on Stochastic Analysis with Applications to Mathematical Finance, at JSTOR. (Published online 2003)
• 'Rational hedging and valuation of integrated risks under constant absolute risk aversion', pdf, Insurance: Mathematics an d Economics 33/(1), 2003, p.1-28.
• 'A monetary value for initial information in portfolio optimization' (with Jürgen Amendinger and Martin Schweizer). Last version from 3/2002: pdf, Finance & Stochastics 7/(1), 2003, p.29-46. (A former version with the different title 'Quantifying the value of initial investment information' has appeared as Discussion Paper No.41, 2000, of the SFB 373)
• 'Rational hedging and valuation with utility-based preferences'. Doctoral disseration (Ph.D thesis), Technical University of Berlin. Submitted 2001-7-31, defended 2001-10-8. e-published 2001-10-29.
• 'The numeraire portfolio for unbounded semimartingales', pdf, Finance & Stochastics 5/(3), 2001, p.327-341

Teaching

• Humboldt Universität zu Berlin
  • General information sheet (in German) for students interested in a specialization in the area Stochastics pdf
  • Sommersemester 2013: Stochastic Finance II (lecture), see Vorlesungsverzeichnis and information sheet pdf, exercise sheets here
  • Wintersemester 2012/13: Stochastic Finance I (lecture), and Seminar on Stochastic Analysis and Filtering. See Vorlesungsverzeichnis
  • Wintersemester 2011/12: Stochastics 2 (BMS Stochastic Processes 1), information sheet pdf, the course materials website, and Stochastics Practical (BZQIII), BZQIII materials website - see also Vorlesungsverzeichnis.
  • Stochastic Analysis, Sommersemester 2011, see Vorlesungsverzeichnis, or information sheet pdf or the course materials website.
  • Stochastics 2, Wintersemester 2010/11, see Vorlesungsverzeichnis, or information sheet pdf.
  • Seminar on Markov Processes and Applications, Wintersemester 2010/11, see Vorlesungsverzeichnis, Information sheet pdf
  • Stochastics 1 , Sommersemester 2010, see Vorlesungsverzeichnis, or the course materials website
  • (Intoduction to) Stochastic Finance I, with Prof. M. Kupper , see Vorlesungsverzeichnis, Wintersemester 2009. (Lectures/classes start at 16.Oct)
    
  • Stochastic Finance II, see Vorlesungsverzeichnis, Sommersemester 2009
    
  • Seminar, Stochastic Backward SDEs and Applications in Mathematical Finance, pdf, Wintersemester 08/09, see Vorlesungsverzeichnis
    
  • Stochastic Finance II, pdf, see Vorlesungsverzeichnis, Sommersemester 2008,
    
• Imperial College London, MSc Mathematical Finance postgraduate program
  
  • Lecture MSF3, Stochastic Processes, Fall 2007, Syllabus, course material
    
  • Lecture MSF7, Optimal Investment and Incomplete Markets, Summer 2007
• Imperial College London, mathematics undergraduate program
  
  • Lecture M3/4S15, Monte Carlo Methods in Financial Engineering, Fall 2007
• Imperial College Business School, postgraduate program
  
  • Lecture, Mathematical Techniques for Finance, Fall 2007, course material

Miscellaneous

• I serve as associate editor for Finance and Stochastics (2006-), Bernoulli Journal (2013-) of the Bernoulli Society for Mathematical Statistics and Probability, SIAM Journal on Financial Mathematics (2008-11) and the Mark H.A. Davis Festschrift: Stochastics, Control and Finance, special issues 5-6 in vol.84 of the journal Stochastics (2012)
• Media - On mathematics and financial risk: Own interview contributions in radio features Die Krise und die Finanzmathematik (Radio Bayern 2, IQ - Wissenschaft und Forschung, 15.1.2010), Unterschätzte Risiken (Deutschlandradio Kultur, Forschung und Gesellschaft, 9.4.2009). Other contributions Alles richtig und trotzdem falsch? (Anmerkungen zur Finanzkrise und Finanzmathematik, Artikel von H.Föllmer, 2009), Hintergrundinformationen der DMV (Deutsche Mathematiker-Vereinigung)
• Sources for preprints and references: ArXiv, Social Science Research Network, Zentralblatt MATH - ZMATH Online Database, IDEAS, Defaultrisk.com,
• Helpful material on probability and mathematical writing: Probability Net (by Noel Vaillant), A Guide to Writing in Mathematics Classes (by Annalisa Crannell), Tipps zu Halten von Seminarvorträgen (by Jan Kallsen), How to write your first Paper (by Steven G.Krantz, Notices AMS 54, no. 11, 2007). How not to write: Tips for authors (by J.S. Milne)
• You know excellent books that are not yet availabe in our library (i.p. Zweigbibliothek/Lehrbuchsammlung at Schrödingerzentrum) ? Help yourself and us: Please recommend these books to be aquired here!
• Former affiliations: Mathematical Finance Section at Imperial College London, Technische Universität Berlin of Berlin, Graduiertenkolleg ''Stochastic Processes and Probabilistic Analysis'' - German Science Foundation DFG, National Research Center SFB 373 ''Quantification and Simulation of Economic Processes'' - Humboldt Universität Berlin, Georg-August Universität Göttingen.
• Diplomarbeit (Masterthesis), in German: 'Asymptotiken zur Bewertung von Optionen unter Transaktionskosten' (ps.gz, Abstrakt) ('asymptotics for the valuation of options under transaction costs'), 1996, Universität Göttingen

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mylastname(at)math.hu-berlin.de last update: 1/2013

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