Eduard Kromer


Research and Education

2014 - 2016

University of California, Berkeley, USA

from 09/2014 to 01/2016

Postdoctoral Scholar at the Department of Statistics

with a scholarship awarded by the German Academic Exchange Service (DAAD)

Sponsor: Steven N. Evans

Website: UC Berkeley

2008 - 2014

Justus-Liebig-University, Giessen, Germany

from 09/2008 to 01/2014

Dr. rer. nat. in Mathematics

Thesis title: Risk measures and their applications
Advisor: Ludger Overbeck
Referees: Ludger Overbeck and Stefan Weber

2010

Princeton University, Princeton, NJ, USA

from 03/2010 to 10/2010

Visiting Researcher

with a scholarship from the German Academic Exchange Service (DAAD)

Department of Operations Research and Financial Engineering (ORFE)
Conducted research with Patrick Cheridito

2004 - 2005

Università La Sapienza, Rome, Italy

from 09/2004 to 03/2005

Erasmus program. Rome, Italy.

Focus of studies: Martingale Theory and Mathematical Finance
Examiner: Giovanna Nappo

2002 - 2008

Justus-Liebig-University, Giessen, Germany

from 10/2002 to 06/2008

Diploma in Mathematics

Specialization: Mathematical Finance, Minor: Business Administration
Thesis: Affine processes in mathematical finance
Thesis Advisor: Ludger Overbeck
Referees: Ludger Overbeck and Winfried Stute

Publications

Dynamic systemic risk measures for bounded discrete time processes.
(with Ludger Overbeck and Katrin Zilch).
Mathematical Methods of Operations Research , March 2019, 1-32. ( pdf )
Path-dependent BSDEs with jumps and their connection to PPIDEs.
(with Ludger Overbeck and Jasmin Röder)
Stochastics and Dynamics, Vol. 17, No. 5, 2017. ( pdf )
Differentiability of BSVIEs and dynamic capital allocations.
(with Ludger Overbeck)
International Journal of Theoretical and Applied Finance 20(7), 2017, 1-26. ( pdf )
Systemic risk measures on general measurable spaces.
(with Ludger Overbeck and Katrin Zilch)
Mathematical Methods of Operations Research, 1-35, May 2016. (SharedIt)
A note on optimal risk sharing on L^p spaces.
(with Ludger Overbeck)
Operations Research Letters 44(2), 2016, 202-207. ( pdf )
Feynman Kac for functional jump diffusions with an application to credit value adjustment.
(with Ludger Overbeck and Jasmin Röder)
Statistics & Probability Letters 105, 2015, 120-129. ( pdf )
Representation of BSDE-based dynamic risk measures and dynamic capital allocations.
(with Ludger Overbeck)
International Journal of Theoretical and Applied Finance 17(5), 2014. ( pdf )
Suitability of capital allocations for performance measurement.
(with Ludger Overbeck)
The Journal of Risk 16(6), 2014, 31-58. ( pdf )
Reward-risk ratios.
(with Patrick Cheridito)
The Journal of Investment Strategies 3(1), 2013, 1-16. ( pdf )
Ordered contribution allocations: theoretical properties and applications.
(with Patrick Cheridito)
The Journal of Risk 14(1), 2011, 123-135. ( pdf )