Dr. Marc Wittlinger

Address:

Contact:

+49 (0)731 / 50-23557
+49 (0)731 / 50-31096
Marc Wittlinger
Please make an appointment via e-mail

Research Interests:

• Portfolio optimization with random trading times
• Statistics of SupOU processes

Publications:

• Mai, J.-F. and Wittlinger M. (2013)
  Pricing bonds with optional sinking feature using Markov Decision Processes,
  submitted, pdf
• Stelzer R., Tosstorff T. and Wittlinger M. (2013)
  Moment based estimation of supOU processes and a related stochastic volatility model,
  submitted, pdf
• Christensen S. and Wittlinger M. (2012)
  Optimal relaxed portfolio strategies for growth rate maximization problems with transaction costs,
  submitted, pdf
• Rieder U. and Wittlinger M. (2012)
  On optimal terminal wealth problems with random trading times and drawdown constraints,
  submitted, pdf
• Wittlinger M. (2011)
  Terminal wealth problems in illiquid markets under a drawdown constraint
  PhD Thesis, Ulm University, pdf

Talks:

• On optimal terminal wealth problems with random trading times and drawdown constraints, Mathematische Seminar,
  Christian-Albrechts-Universität zu Kiel, 14.07.2012.
• A terminal wealth problem in an illiquid market under a drawdown constraint, Workshop Statistics of Lévy-driven Models,
  Ulm, 15.03.2012.
• A terminal wealth problem in an illiquid market under a drawdown constraint, German Probability and Statistics Days,
  Mainz, 08.03.2012.
• Optimal portfolios in illiquid markets under a drawdown constraint, European Summer School in Financial Mathematics,
  Zürich, 08.09.2011.
• Optimal portfolios in illiquid markets under a drawdown constraint, Workshop on Stochastic Models and Control, Bad
  Herrenalb, 29.03.2011. 
   

Courses:

• Time Series Analysis
• The Mathematics of Electricity Markets
• WiMa-Praktikum I (TradingRoom)

• Non-Linear Time Series Analysis
• Diffusion Processes with Applications to Finance
• WiMa-Praktikum II

• Time Series Analysis
• WiMa-Praktikum I (TradingRoom)

• Financial Mathematics II

• Optimierung und Finance

Summer Term 2010

• Financial Mathematics II

• Optimierung / OR II
• Spieltheorie I

• Optimierung / OR I
• Optimierung und Finance

• Stochastik für Wirtschaftswissenschaftler