Mitja Stadje

Email:

• stadje@eurandom.tue.nl

Employment & Education

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. 2007, GPA: 3.945

Technical University of Berlin

• Diploma in Mathematical Finance, summa cum laude (perfect 100% score)
  • Advisor: Professor Alexander Schied

Philipps University, Marburg

• Prediploma (roughly a B.S.)
  

• Major Field: Probability Theory and Statistics

Current Research Interest

• Financial Mathematics, in particular the assessment, control and minimization of risk by dynamic risk measure
• Backward stochastic differential equations and their applications to finance
• Multivariate Levy Processes in finance
• New utility functionals enabling a dynamic adaptation of the extent of risk averseness to the current liquidity

Fellowships & Honors

• Princeton University, Graduate School Fellowship, 2005-2009
• National Science Foundation, Fellowship, Spring 2008 and 2009
• National Science Foundation, Summer Research Scholarship, 2007-2008
• Award for Excellence in Teaching, School of Engineering, Fall 2008

Publications & Papers

• (with A. Schied) Robustness of Delta hedging for path-dependent options in local volatility models
  Journal of Applied Probability 44, 865-879 (2008).
• (with P. Cheridito) Time-inconsistencies of Value at Risk and time-consistent alternatives
  Finance Research Letters 6, 1, 40-46 (2009).
• Extending time-consistent risk measures from discrete time to continuous time: a convergence approach.
• (with P. Cheridito) BSDEs in discrete time with non-Lipschitz drivers: properties, limit theorems and robustness.
• (with P. Cheridito) A Donsker principle for BSDEs.

Presentations

• Acutarial Seminar, Leibniz University, Hannover, September 2009
• Conference on Stochastic Processes and Their Applications, Berlin, July 2009
• Financial and Actuarial Seminar, University of Michigan, February 2009
• Statistics and Probability Seminar, EURANDOM, Technical University of Eindhoven, February 2009
• Informs Annual Meeting, Washington D.C., October 2008
• Graduate Student Research Conference, Princeton, May 2008
• Statistics Seminar, University of Haifa, December 2007

Teaching Assistantships

• Regression and Time Series for Professor Rene Carmona, Fall 2006
• Stochastic Calculus and Finance for Professor Patrick Cheridito, Spring 2006
• Convex Optimization for Professor Alexandre d'Aspremont, Spring 2006
• Probability Theory for Professor Erhan Cinlar, Fall 2007 and Fall 2008 (Teaching Award 2008)

• Advanced Analysis for Engineers for Professor Baehrwald, Spring 2003