Prof. Dr. Mitja Stadje


Sprechstunde

Tuesdays from 14:30-15:30.


Further information can be found on my google site.


Employment & Education History

Tilburg University

  • tenured Associate Professor, November 2014
  • Assistant Professor (tenure track), September, 2010
  • Department of Econometrics and Operations Research

Eurandom, Technical University of Eindhoven

  • Postdoctoral Fellow, starting July, 2009
  • Multivariate Risk Modelling Group
  • Department of Mathematics and Computer Sciences

Princeton University

  • PhD: May 2009
    • Department of Operations Research and Financial Engineering
    • Advisor: Professor Patrick Cheridito
    • Graduate School Fellowship
  • M.A.: July 2007

Current Research Interests

  • Optimal Control Theory and its Applications in Insurance and Finance
  •  Dynamic Mortality Modelling
  •  Axiomatization and Aggregation of Risk Measures in Time-Consistent and Market-Consistent Directions
  •  Portfolio Selection and Valuations in Incomplete Markets 
  • Levy Processes and their Applications in Finance and Insurance
  • Optimal Entry and Exit decisions and the Pricing of American Options
  • Hedging under Endogenous Market Impacts 

Publications

See my webpage https://sites.google.com/site/mstadje/