Mailing Address		Office		Contact
Institut für Mathematik Humboldt-Universität zu Berlin Unter den Linden 6 D-10099 Berlin		Berlin-Adlershof Rudower Chaussee 25, Haus 1, Room 1.212		E-Mail: Phone: Fax:   penner (at) math.hu-berlin.de +49 (0)30 2093-5846 +49 (0)30 2093-5848

Research Interests: Financial Mathematics and Stochastic Calculus

• Markets with transaction costs and illiquidity
  
• Dynamic risk measures
• Duality theory for processes
• Optional measures
• BSDEs
  

Publications and Preprints

• (With Hans Föllmer) Convex risk measures and the dynamics of their penalty functions.
  Statistics and decisions, vol. 24 (2006), No. 1, pp. 61-96. [pdf (252 KB)].
  
  
• Dynamic convex risk measures: Time consistency, prudence, and sustainability.
  Doctoral thesis, Humboldt University of Berlin, 2008. [pdf (742 KB)].
  
  
• (With Teemu Pennanen) Hedging of claims with physical delivery under convex transaction costs.
  SIAM Journal on Financial Mathematics, vol. 1 (2010), pp. 158-178. [pdf (258 KB)]
  
  
• (With Beatrice Acciaio) Dynamic convex risk measures.
  In G. Di Nunno and B. Öksendal (Eds.), Advanced Mathematical Methods for Finance, Springer (2011), pp. 1-34. [pdf (264 KB)]
  
  
• (With Beatrice Acciaio and Hans Föllmer) Risk assessment for uncertain cash flows: Model ambiguity, discounting ambiguity, and the role of bubbles.
  To appear in Finance and Stochastics [pdf (335 KB)]
  
  
• (With Hans Föllmer) Monetary valuation of cash flows under Knightian uncertainty.
  International Journal of Theoretical and Applied Finance (IJTAF), vol. 14, issue: 1(2011), pp. 1-15 [pdf (190 KB)].
  
  
• (With Anthony Reveillac) Risk measures for processes and BSDEs.
  submitted. [pdf (410 KB)].
  
  

Talks at Workshops and Conferences

• Convex risk measures and the dynamics of their penalty functions.
  
• VII Workshop on Quantitative Finance, Perugia, Januar 2006.
  
  
• Dynamic convex risk measures: Time consistency, prudence, and sustainability.
  
• Workshop and Mid-Term Conference on Advanced Mathematical Methods for Finance, Vienna, Austria, September 2007,
  
• The Third Bachelier Colloquium on Mathematical Finance and Stochastic Calculus, Metabief, France, January 2008,
  
• Mini-Workshop: Mathematics of Solvency, Oberwolfach, Germany, February 2008.
  
  
• Markets with convex transaction costs.
• The Third General AMaMeF Conference, Pitesti, Romania, May 2008,
  
• Special Semester on Stochastics with Emphasis on Finance, Concluding workshop, Linz, Austria, December 2008.
  
• Paris Dauphine Workshop "Markets with frictions: transaction costs and liquidity risk", Paris, France, September 2010.
  
  
• Risk assessment for cash flows under model and discounting ambiguity.
• Fourth General Conference on Advances Mathematical Methods in Finance, Aalesund, Norway, May 2009,
  
• 33rd Conference on Stochastic Processes and Their Applications (SPA Berlin), Berlin, Germany, July 2009,
  
• The Fourth Bachelier Colloquium on Mathematical Finance and Stochastic Calculus, Metabief, France, January 2010.
  
• SIAM Conference on Financial Mathematics & Engineering, San Francisco, USA, November 2010.
  
• Young Researchers Workshop on Finance 2011, Tokyo, Japan, March 2011.
  
  
• Dynamic convex risk measures: a survey. (course of 3 lectures)
  
• Workshop Risk Analysis in Economics and Finance, Guanajuato, Mexico, February 2011.
  
• 4th Porto Meeting on Mathematics for Industry, Porto, Portugal, June 2012.
  
  

Seminar Talks

• On no arbitrage criteria for financial markets with proportional transaction costs in discrete time.
  
• Seminar at University of Franche-Comte, Besancon, January 2002,
• Seminar on Financial and Actuarial Mathematics, Vienna University of Technology, March 2002.


• Dynamic convex risk measures: Time consistency, prudence, and sustainability.
• Seminar on Stochastics, Helsinki University of Technology, November 2007,
• Seminar at Univerity of Perugia, January 2009


• Markets with convex transaction costs.
• Oberseminar Finanz- und Versicherungsmathematik, TU München, July 2009.


• Risk measures for processes and related BSDEs.
• Seminaire Bachelier, Paris, October 2012.