Mathematics

Research Interests:

Mathematical finance, more specific: - Crash hedging strategies and optimal portfolios under the threat of a crash - Value at Risk and self-similarity - Insider trading - Liquidity risk

Selected Peer Reviewed Journals

• Ralf Korn, Olaf Menkens, and Mogens Steffensen. 2012. Worst-Case-Optimal Dynamic Reinsurance for Large Claims. European Actuarial Journal, 2, 1, pp21-48.
• Zhaojun Yang, Christian-Oliver Ewald, and Olaf Menkens. 2011. Pricing and Hedging of Asian Options: Quasi-Explicit Solutions via Malliavin Calculus. Mathematical Methods Of Operations Research, 74, 1, pp93-120.
• Olaf Menkens. 2006. Crash Hedging Strategies and Worst-Case Scenario Portfolio Optimization. International Journal Of Theoretical And Applied Finance, 9, 4, pp597-618.
• Ralf Korn, Olaf Menkens. 2005. Worst-Case Scenario Portfolio Optimization: A New Stochastic Control Approach. Mathematical Methods Of Operations Research, 62, 1, pp123-140.

Selected Chapters

• Olaf Menkens. 2007. Value at Risk and Self-Similarity. Numerical Methods for Finance, pp225-253.
• Ralf Korn, Olaf Menkens. 2005. On worst case investment with applications in finance and insurance mathematics. Interacting Stochastic Systems, pp397-406.

• Ralf Korn, Olaf Menkens (Speaker), Mogens Steffensen, Worst-Case-Optimal Dynamic Reinsurance for Large Claims, DMV Annual Meeting 2012, 17-SEP-12 - 20-SEP-12, Saarbruecken, Germany
• Ralf Korn, Olaf Menkens (Speaker), Mogens Steffensen, Worst-Case-Optimal Dynamic Reinsurance for Large Claims, 1st European Actuarial Journal (EAJ) Conference, 06-SEP-12 - 07-SEP-12, Lausanne, Switzerland
• Ralf Korn, Olaf Menkens (Speaker), Mogens Steffensen, Worst-Case-Optimal Dynamic Reinsurance for Large Claims, 7th Conference in Actuarial Science & Finance, 31-MAY-12 - 03-JUN-12, Samos, Greece
• Ralf Korn, Olaf Menkens (speaker), Mogens Steffensen, Optimizing Dynamic Proportional Reinsurance in the Large Claim Case with Respect to the Worst Case Possible, APMOD 2012 - International Conference on Applied Mathematical Optimization and Modelling, 28-MAR-12 - 30-MAR-12, Paderborn, Germany
• Ralf Korn, Olaf Menkens (speaker), Mogens Steffensen, Worst-Case-Optimal Dynamic Reinsurance for Large Claims, 10th German Probability and Statistics Days ¿ Stochastik-Tage 2012, 06-MAR-12 - 09-MAR-12, Mainz, Germany
• Zhaojun Yang, Christian-Oliver Ewald, and Olaf Menkens (speaker), Pricing and Hedging of Asian Options: Quasi-Explicit Solutions via Malliavin Calculus, 10th German Probability and Statistics Days ¿ Stochastik-Tage 2012, 06-MAR-12 - 09-MAR-12, Mainz, Germany
• Ralf Korn, Olaf Menkens (speaker), Mogens Steffensen, Optimising Proportional Reinsurance Using a Worst Case Scenario Approach, Workshop on Stochastic Models and Control (SMC), 29-MAR-11 - 01-APR-11, Bad Herrenalb, Germany
• Ralf Korn, Olaf Menkens (speaker), Mogens Steffensen, Optimising Proportional Reinsurance Using a Worst Case Scenario Approach - The General Case, SIAM Conference on Financial Mathematics and Engineering (FM10), 18-NOV-10 - 20-NOV-10, San Francisco, California, USA
• Ralf Korn, Olaf Menkens (speaker), Mogens Steffensen, Worst Case Scenario Portfolio Optimisation and Optimising Reinsurance - A Special Case, SIAM Conference on Financial Mathematics and Engineering (FM10), 18-NOV-10 - 20-NOV-10, San Francisco, California, USA
• Ralf Korn, Olaf Menkens (speaker), Mogens Steffensen, Optimising Reinsurance Using a Worst Case Scenario Approach , CEQURA Conference on Advances in Financial and Insurance Risk Management, 23-SEP-10 - 25-SEP-10, Munich, Germany
• Olaf Menkens, Worst-Case Scenario Portfolio Optimization Given the Probability of a Crash, GOCPS - 8th German Open Conference on Probability and Statistics, 04-MAR-08 - 07-MAR-08, Aachen, Germany
• Olaf Menkens, Hurst Exponent Estimation in the Quantiles, GOCPS - 8th German Open Conference on Probability and Statistics, 04-MAR-08 - 07-MAR-08, Aachen, Germany
• Olaf Menkens, Hurst Exponent Estimation in the Quantiles, EVA07 - 5th Conference on Extreme Value Analysis (Probabilistic and Statistical Models and their Applications), 23-JUL-07 - 27-JUL-07, Bern, Switzerland
• Olaf Menkens, Worst-Case Scenario Portfolio Optimization Given the Probability of a Crash, Statistics 2007 - Statistics under one umbrella, 27-MAR-07 - 30-MAR-07, Bielefeld, Germany
• Olaf Menkens, Hurst Exponent Estimation in the Quantiles, Numerical Methods for Finance 2006, 07-JUN-06 - 09-JUN-06, Dublin, Ireland
• Olaf Menkens, Value at Risk and Self-Similarity, Global Finance Conference 2005, 27-JUN-05 - 29-JUN-05, Dublin, Ireland
• Olaf Menkens, Hurst Exponent Estimation in the Quantiles, WEHIA 2005, 13-JUN-05 - 15-JUN-05, Colchester, United Kingdom
• Ralf Korn, Olaf Menkens (speaker), Optimales Investment und Crashes, 2. Workshop about "Dynamische Optimierungsprobleme in Finanz- und Versicherungsmathematik", 16-JUN-03 - 16-JUN-03, Trippstadt (near Kaiserslautern), Germany