Benedikt Blum

Research Unit of Financial and Actuarial Mathematics
Technische Universität Wien
Wiedener Hauptstraße 8 ("Freihaus")
1040 Wien IV
Austria

Phone: 0043 (0) 1-58801-105-22
Fax: 0043 (0) 1-58801-105-99
Office: DA07A21

e-mail: bensonØfam.tuwien.ac.at



Position: Project assistant at Christian Doppler Lab for Portfolio Risk Management (PRisMaLab)

PhD thesis: Superreplication and Arbitrage in Multiasset Models under Proportional Transaction Costs
(supervisor: Prof. Walter Schachermayer, Univ. of Vienna). Submitted, Dec. 2010.

Research interests: Stochastic calculus, theory of arbitrage, jump processes, Monte Carlo
simulation, numerical finance

Publications:
  • Deterministische Bewertung von Optionen in Lévy-Modellen. Diploma Thesis, Munich University of Technology, 2006.
  • The face-lifting theorem for proportional transaction costs in multiasset models. Statistics and Decisions, 27, 4, 2009.
  • The fundamental theorem of asset pricing for continuous multiasset models under small proportional transaction costs. Work in progress, 2009-2010

    • CV (on Google maps)

    Teaching:
  • Lebensversicherungsmathematik Ü, WS 09/10
  • Lebensversicherungsmathematik Ü, WS 08/9
  • Höhere Mathematik 4 für Elektro- und Informationstechnik Ü, SS 06 (TUM)
  • Höhere Mathematik 2 für Maschinenwesen Ü, SS 06 (TUM)
  • Stochastische Prozesse Ü, WS 05/06 (TUM)
  • Lineare Algebra und Analytische Geometrie 2 Ü, SS 04 (TUM)
  • Lineare Algebra und Analytische Geometrie 1 Ü, WS 03/04 (TUM)