Office hours: by appointment
Assistant: Claudia Hoffmann
Deputy Head of Institute for Statistics and Mathematics
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.
Natalie Frantsits (since 2022)
Nurtai Meimanjanov (since 2022)
Niklas Hey (since 2020)
Gabriela Kováčová (2016-2022), now Assistant Professor (non-tenure track) at our institute
Jana Hlavinová (2016-2022), now Senior Lecturer at our institute
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 Stevens Institute of Technology
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
Submitted papers and preprints
Z. Feinstein, B. Rudloff (2023): Characterizing and Computing the Set of Nash Equilibria via Vector Optimization. [pdf] at arXiv.
Operations Research. Articles in Advance p.1-15.
→ research is featured in this video as part of WU's Researcher of the Month award of March 2022.
→ research was featured in the newspaper supplement (WU Magazin, p.20) of 'Die Presse' on March 19, 2022.
→ research was featured in the magazine 'Falter' on May 18, 2022.
G. Kováčová, B. Rudloff, I. Cialenco (2022): Acceptability maximization. [pdf] at arXiv.
Frontiers of Mathematical Finance 1(2), 219-248.
→ Gabriela Kováčová won with this paper the 2021 SIAM-FME Conference Paper Prize, see also here.
G. Kováčová, B. Rudloff (2021): Time consistency of the mean-risk problem. [pdf] at arXiv.
Operations Research 69(4), 1100-1117.
→ won the 2021 WU Star Journal Award for excellent research, also featured in this video
T. Fissler, R. Frongillo, J. Hlavinová, B. Rudloff (2021): Forecast Evaluation of Quantiles, Prediction Intervals, and other Set-Valued Functionals.
Electronic Journal of Statistics 15(1), 1034-1084.
→ Jana Hlavinová won with this paper the 2021 SIAM-FME Conference Paper Prize, see also here.
B. Rudloff, F. Ulus (2021): Certainty Equivalent and Utility Indifference Pricing for Incomplete Preferences via Convex Vector Optimization. [pdf] at arXiv.
Mathematics and Financial Economics 15(2), 397-430.
Z. Feinstein, W. Pang, B. Rudloff, E. Schaanning, S. Sturm, M. Wildman (2018): Sensitivity of the Eisenberg-Noe clearing vector to individual interbank liabilities. [pdf] at arXiv.
SIAM Journal on Financial Mathematics 9 (4), 1137-1325.
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
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).
An 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]
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 (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.