We investigate a portfolio optimization problem under the threat of a market crash, where the interest rate of the bond is modeled as a Vasicek process, which is correlated with the stock price process. We adopt a non-probabilistic worst-case approach for the height and time of the market crash....

Binomial trees are very popular in both theory and applications of option pricing. As they often suffer from an irregular convergence behavior, improving this is an important task. We build upon a new version of the Edgeworth expansion for lattice models to construct new and quickly converging...

Optimal product management problems with multiple product generations in continuous time lead to the consideration of dynamic optimal control problems that feature both intervention costs and partially controlled regime shifts. We therefore investigate and solve such stochastic impulse control...

We introduce four variants of the common age effect model proposed by Kleinow, which describes the mortality rates of multiple populations. Our model extensions are based on the assumption of multiple common age effects, each of which is shared only by a subgroup of all considered populations....