Deputy Institute Chair
Multivariate risks, (dynamic) set-valued risk measures
Markets with transaction costs
Systemic risk measures
Incomplete preference relations
Algorithms to solve vector optimization problems
A set-valued Bellman's principle
Aumann integrals, stochastic differential inclusions
Vienna University of Economics and Business (2015 - present)
Full Professor since January 2017
Associate Professor (Febr.-Dec. 2016)
Assistant Professor (July 2015-Jan. 2016)
Habilitation in Financial Mathematics, January 2016
Princeton University (2006-2015). Department of Operations Research and Financial Engineering, Assistant Professor
Vienna University of Technology, Financial and Actuarial Mathematics, Vienna, Austria (March-Aug. 2006);
IMPA (Instituto Nacional de Matematica Pura e Aplicada), Rio de Janeiro, Brazil (Feb. 2005-Jan. 2006);
Martin-Luther-University Halle-Wittenberg, Halle, Germany (1996-2006);
Ph.D. in Financial Mathematics, July 2006.
M.S. in Financial Mathematics, March 2002.
Andrea Wagner (since 2016)
Christian Diem (since 2017)
Jana Matyašovská (since 2016)
Gabriela Kováčová (since 2016)
Firdevs Ulus (2011-2015), now Assistant Professor at Bilkent University
Çağın Ararat (2011-2015), now Assistant Professor at Bilkent University
Zach Feinstein (2010-2014), now Assistant Professor at Washington University in St. Louis
Set Optimization and Applications in Finance - The State of the Art. From Set-Relations to Set-Valued Risk Measures.
(co-edited with A.H. Hamel, F. Heyde, A. Löhne, C. Schrage).
Springer Proceedings in Mathematics & Statistics, Vol. 151, Springer, 2015.
331 pages. ISBN: 978-3-662-48668-9
Z. Feinstein, W. Pang, B. Rudloff, E. Schaanning, S. Sturm, M. Wildman: Sensitivity of the Eisenberg-Noe clearing vector to individual interbank liabilities. [preprint] at arXiv.
Submitted for publication.
Ç. Ararat, A. Hamel, B. Rudloff (2017): Set-valued shortfall and divergence risk measures. [pdf] at arXiv.
International Journal of Theoretical and Applied Finance 20 (5) 1750026
Z. Feinstein, B. Rudloff (2017): A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle. [pdf] at arXiv.
Journal of Global Optimization 68 (1), 47–69.
A. Hamel, F. Heyde, A. Löhne, B. Rudloff, C. Schrage (2015): Set optimization - a rather short introduction. (76 pages) [pdf] at arXiv.
In: A.H. Hamel, F. Heyde, A. Löhne, B. Rudloff, C. Schrage (eds.): Set Optimization and Applications in Finance - The State of the Art, Springer PROMS series, Vol. 151, 65-141. ISBN: 978-3-662-48668-9
Z. Feinstein, B. Rudloff (2015): A comparison of techniques for dynamic multivariate risk measures. [pdf] at arXiv.
In: A.H. Hamel, F. Heyde, A. Löhne, B. Rudloff, C. Schrage (eds.): Set Optimization and Applications in Finance - The State of the Art, Springer PROMS series, Vol. 151, 3-41. ISBN: 978-3-662-48668-9
A. Löhne, B. Rudloff (2014): An algorithm for calculating the set of superhedging portfolios in markets with transaction costs. [pdf] at arXiv.
International Journal of Theoretical and Applied Finance 17 (2) 1450012 (33 pages).
A MatLab as well as a C implementation of Benson's algorithm (by A. Löhne) used to solve the linear vector optimization problems arising in the above paper can be downloaded here [Benson]
A. Löhne, B. Rudloff, F. Ulus (2014): Primal and dual approximation algorithms for convex vector optimization problems. [pdf] at arXiv.
Journal of Global Optimization 60 (4) 713-736.
A MatLab implementation (by F. Ulus) can be downloaded here [convex Benson]
B. Rudloff, A. Street, D. Valladao (2014): Time consistency and risk averse dynamic decision models: Definition, interpretation and practical consequences. [pdf] at optimization online.
European Journal of Operational Research 234 (3), 743-750.
A. Hamel, A. Löhne, B. Rudloff (2014): Benson type algorithms for linear vector optimization and applications. [pdf] at arXiv
Journal of Global Optimization 59 (4), 811-836.
A MatLab as well as a C implementation (by A. Löhne) can be downloaded here [Benson]
B. Rudloff (2009): Coherent Hedging in Incomplete Markets.
Quantitative Finance 9 (2), 197 - 206.
B. Rudloff, J. Sass, R. Wunderlich (2008): Entropic Risk Constraints for Utility Maximization.
In: Chr. Tammer, F. Heyde (eds.): Festschrift in Celebration of Prof. Dr. Wilfried Grecksch's 60th Birthday. Shaker Verlag, Aachen, 149 - 180. ISBN 978-3-8322-7500-6.
A. Hamel, B. Rudloff (2008): Continuity and Finite-Valuedness of Set-Valued Risk Measures.
In: Chr. Tammer, F. Heyde (eds.): Festschrift in Celebration of Prof. Dr. Wilfried Grecksch's 60th Birthday. Shaker Verlag, Aachen, 49 - 64. ISBN 978-3-8322-7500-6.
B. Rudloff (2007): Convex Hedging in Incomplete Markets. [pdf] at arXiv.
Applied Mathematical Finance 14 (5), 437 - 452.
B. Rudloff (2005): A Generalized Neyman-Pearson Lemma for Hedge Problems in Incomplete Markets.
Proceedings of the Workshop Stochastische Analysis, 241 - 250. ISSN 1612-5665.
B. Rudloff (2005): Hedging with Convex Risk Measures.
In: N. Kolev, P. Morettin (eds.): Proceedings of the Second Brazilian Conference on Statistical Modelling in Insurance and Finance, ISBN 85-88697-07-6.
Valuation of Default Correlations and Application to Pricing synthetic CDO's.
Master Thesis (Diplomarbeit), Martin-Luther-University Halle-Wittenberg, 2002.
[in german: Ein Modell zur Berechnung von Ausfallkorrelationen und dessen Anwendung auf die Bewertung synthetischer CDOs]
Advisor: Prof. W. Grecksch.