Profile
Profile

Prof. Dr. Stefan Ankirchner

Former Bonn Junior Fellow
Current position: Professor (W2), University of Jena

E-mail: s.ankirchner(at)uni-jena.de
Homepage: http://www.stochastik.uni-jena.de/Mitarbeiter/Prof_+Dr_+S_+Ankirchner.html
Location: Mathematics Center
Institute: Institute for Applied Mathematics
Department of Economics
Research Areas: Research Area G
Research Area H
Date of birth: 13.Mar 1976
Mathscinet-Number: 760315

Academic Career

2002

Diploma in Mathematics, LMU Munich

2005

Dr. rer. nat., HU Berlin

2005 - 2006

Chapman Fellow, Imperial College, London, England, UK

2006 - 2008

Researcher, Matheon, HU Berlin

2008 - 2009

Quantitative Analyst, EnBW Trading, Karlsruhe

2009 - 2014

Professor (W2, Bonn Junior Fellow), University of Bonn

Since 2014

Professor (W2), Institute for Mathematics, University of Jena

Contribution to Research Areas

Research Area G
My main focus are Backward Stochastic Differential Equations (BSDEs) as a powerful tool for solving stochastic control problems. E.g. we have appealed to BSDEs for solving the Skorokhod embedding problem, and we have derived time bounds up to which probability distributions can be embedded into a Brownian motion, possibly with drift.
Research Area H
A major focus of my research is market risk that cannot be perfectly hedged, but only cross hedged with highly correlated traded proxies. In particular, I have studied the effect of stochastic correlation and cointegration on hedge ratios and hedging error characteristics.

Selected Publications

[1] Stefan Ankirchner, Peter Imkeller, Gonçalo Dos Reis
Pricing and hedging of derivatives based on nontradable underlyings
Math. Finance , 20: (2): 289--312
2010
DOI: 10.1111/j.1467-9965.2010.00398.x
[2] Stefan Ankirchner, Peter Imkeller, Alexandre Popier
On measure solutions of backward stochastic differential equations
Stochastic Process. Appl. , 119: (9): 2744--2772
2009
DOI: 10.1016/j.spa.2009.02.003
[3] Stefan Ankirchner, Gregor Heyne, Peter Imkeller
A BSDE approach to the Skorokhod embedding problem for the Brownian motion with drift
Stoch. Dyn. , 8: (1): 35--46
2008
DOI: 10.1142/S0219493708002160
[4] Stefan Ankirchner, Peter Imkeller, Alexandre Popier
Optimal cross hedging of insurance derivatives
Stoch. Anal. Appl. , 26: (4): 679--709
2008
DOI: 10.1080/07362990802128230
[8] Stefan Ankirchner, Steffen Dereich, Peter Imkeller
Enlargement of filtrations and continuous Girsanov-type embeddings
Séminaire de Probabilités XL
of Lecture Notes in Math. : 389--410
Publisher: Springer, Berlin
2007
DOI: 10.1007/978-3-540-71189-6_21
[9] Stefan Ankirchner, Peter Imkeller, Gonçalo Dos Reis
Classical and variational differentiability of BSDEs with quadratic growth
Electron. J. Probab. , 12: : no. 53, 1418--1453
2007
DOI: 10.1214/EJP.v12-462

Publication List

Awards

2006

Förderpreis der Fachgruppe Stochastik der Deutschen Mathematiker-Vereinigung

2006

Dissertationspreis Adlershof

Offers

2009

Junior Professorship, University of Ulm

Supervised Theses

  • Master theses: 2
  • Diplom theses: 2, currently 4
  • PhD theses currently: 1
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