Prof. Dr. Ralf Korn
Address
Gottlieb-Daimler-Straße
Building: 48
Room: 618
67663 Kaiserslautern
P.O. Box: 3049
67653 Kaiserslautern
Contact
Tel.: +49 631 205 2747
E-Mail: korn@mathematik.uni-kl.de
Editorial activities
- Editorial Board of "European Actuarial Journal", formerly "Blätter der DGVFM" (since 2007)
2020
- Editor of the Special Issue of Risks "Computational Finance and Risk Analysis in Insurance"
2011
- Special Issue of the European Actuarial Journal for the AFIR-Meeting in München
2010
- Recent Developments in Applied Probability and Statistics (eds. L. Devroye, B. Karasozen, M. Kohler, R. Korn), 2010, Springer, approx. 250 pages.
2009
- Finance and Stochastics: Special Issue on "Computational Methods in Finance"
- ERCIM-News: Special Issue on "Mathematics for Finance and Economics"
Publications
- Ralf Korn (2025)
A Framework for Optimal Portfolios with Sustainable Assets and Climate Scenarios
European Actuarial Journal (to appear)
- Bilgi Yilmaz, Christian Laudagé, Ralf Korn, Sascha Desmettre(2024)
Electricity GANs: Generative Adversarial Networks for
Electricity Price Scenario Generation
Commodities (to appear)
- Bükre Yilderim, A. Sevtap Kestel, Ralf Korn (2024)
Ruin probability for heavy-tailed and dependent losses
under reinsurance strategies
Mathematics and Computers in Simulation (to appear)
- Sema Coskun, Ralf Korn (2024)
A Mean Field Game Model for optimal
trading in the intraday electricity market
Decisions in Economics and Finance.
doi.org/10.1007/s10203-024-00445-1
- Bilgi Yilmaz, Ralf Korn(2024)
A Comprehensive guide to Generative Adversarial Networks (GANs) and
application to individual electricity demand
Expert Systems With Applications 250, 123851.
- Ralf Korn, Gerhard Stahl (2024)
A first look back - model performance under Solvency II
European Actuarial Journal 14 : 307-315.
- Bilgi Yilmaz, Ralf Korn (2023)
Understanding the mathematical background of Generative Adversarial Networks (GANs)
Mathematical Modelling and Numerical Simulation with Applications, 2023, 3(3), 234–255.
- Robert Buch, Stefanie Grimm, Ralf Korn, Ivo Richert (2023).
Estimating the Value-at-Risk by Temporal VAE.
Risks 2023, 11, 79. doi.org/10.3390/risks11050079.
- R Korn, JP Schmidt, H Zähle
Rechnen mit (der) Zukunft
Mitteilungen der Deutschen Mathematiker-Vereinigung 31 (1), 35-37.
- Ralf Korn, Ajla Nurkanovic (2023).
Optimal Portfolios with Sustainable Assets -- Aspects for Life Insurers.
European Actuarial Journal 13:125–145.
- M.Carmen Boado-Penas, Julia Eisenberg, Leonie V. Brinker, Ralf Korn (2023).
Managing Reputational Risk in the Decumulation Phase of a Pension Fund.
Insurance: Mathematics and Economics 109:52-68.
- Fatlinda Shaqiri, Ralf Korn, Hong Phuc Truong (2023).
Dynamic Regression Prediction Models for Customer Specific Electricity Consumption.
Electricity 4 : 185–215.
- Bilgi Yilmaz, Ralf Korn (2022).
Synthetic demand data generation for individual electricity consumers: Generative adversarial networks (GANs).
Energy AI 9, 100161.
- Ralf Korn, Lukas Müller (2022)
Optimal dynamic reinsurance with worst-case default of the reinsurer
European Actuarial Journal, available online under DOI 10.1007/s13385-022-00311-7 .
- Simon Schnürch, Ralf Korn (2022)
Point and Interval Forecasts of Death Rates Using Neural Network
ASTIN Bulletin: The Journal of the IAA, Volume 52, Issue 1, January 2022 , pp. 333 - 360, doi.org/10.1017/asb.2021.34
- Ralf Korn, Lukas Müller (2021)
Optimal portfolio choice with crash risk and model ambiguity
International Journal of Theoretical and Applied Finance, to appear.
- Franziska Diez, Roman Horsky, Ralf Korn (2021)
Chancen-Risiko-Klassifizierung eines Portfolios aus staatlich geförderten Altersvorsorgeprodukten und Empfehlungen für die Kundenberatung
Zeitschrift für die gesamte Versicherungswissenschaft, to appear.
- Prilly Oktovioany, Ralf Korn, Robert Knobloch (2021)
A machine learning-based price state prediction model for agricultural commodities using external factors
Decisions in Economics and Finance, to appear.
- Robert Sicks, Ralf Korn, Stefanie Schwaar (2021)
A Generalised Linear Model Framework for β-Variational Autoencoders based on Exponential Dispersion Families
Journal of Machine Learning Research 22(233),1-41 , jmlr.org/papers/v22/21-0037.html .
- Ralf Korn, Bilgi Yilmaz (2021)
House prices as a result of trading activities: A patient trader model.
Computational Economics, doi.org/10.1007//s10614-021-10149-y .
- Ralf Korn, Lukas Müller (2021)
Optimal portfolios in the presence of stress scenarios.
Mathematics and Financial Economics, doi.org/10.1007/s11579-021-00304-2 .
- Marcel Beißer, Leander Geisinger, Ralf Korn (2021)
A worst-case approach for interest rate stresses and stock crashes.
IMA Journal of Management Mathematics, doi.org/10.1093/imaman/dpab019 .
- Simon Schnürch, Torsten Kleinow, Ralf Korn (2021)
Clustering-Based Extensions of the Common Age Effect Multi-Population Mortality Model.
RISKS 9(3) , 45.
- Franziska Diez, Ralf Korn (2021).
Correction to: Yield curve shapes of Vasicek interest rate models, measure transformations and an application for the simulation of pension products.
European Actuarial Journal , 1-7.
- Fatlinda Avdullai, Ralf Korn, Hans Martin Hoben (2021).
Neuronale Netze und Zeitreihenansätze zur Vorhersage des auslösenden Faktors in der privaten Krankenversicherung.
Zeitschrift für die gesamte Versicherungswissenschaft, 1-28 .
- Sema Coskun, Ralf Korn (2021).
Modeling the Intraday Electricity Demand in Germany.
in: Mathematical Modeling, Simulation and Optimization for Power Engineering and Management (ed. Michael Herty, Simone Göttlich, Anja Milde), Springer-Verlag, 3-23 .
- Carmen Boado-Penas, Julia Eisenberg, Ralf Korn (2021).
Transforming public pensions: A mixed scheme with a credit granted by the state.
Insurance: Mathematics and Economics 96, 140-152.
- A.-S. Krah, Z. Nikolic, R. Korn (2020).
Least-Squares Monte Carlo for Proxy Modeling in Life Insurance: Neural Networks.
Risks, 9(2), 116.
- A.-S. Krah, Z. Nikolic, R. Korn (2020).
Machine learning in least-squares Monte Carlo proxy modeling of life insurance companies.
Risks, 8(1), 21.
- Jingnan Wang, Ralf Korn (2020).
Numerical Algorithms for Reflected Anticipated Backward Stochastic Differential Equations with Two Obstacles and Default Risk.
RISKS , (3), 72.
- Magnus Wiese, Robert Knobloch, R. Korn, Peter Kretschmer (2020).
Quant gans: Deep generation of financial time series.
Quantitative Finance, 20(9), 1419-1440.
- Stefan Graf, Ralf Korn (2020).
A guide to Monte Carlo simulation concepts for assessment of risk-return profiles for regulatory purposes.
European Actuarial Journal 10, 273-293
- Wieger Hinderks, Ralf Korn, Andreas Wagner (2020).
A structural Heath–Jarrow–Morton framework for consistent intraday spot and futures electricity prices.
Quantitative Finance20 (3), 347-357 .
- Franziska Diez, Ralf Korn (2019).
Yield curve shapes of Vasicek interest rate models, measure transformations and an application for the simulation of pension products.
to appear in: European Actuarial Journal, DOI 10.1007/s13385-019-00214-0 .
- Simone Göttlich, Ralf Korn, Kerstin Lux (2019).
Optimal control of electricity input given an uncertain demand.
to appear in: Mathematical Methods of Operations Research, DOI:
- Lihua Chen, Ralf Korn (2019).
Worst-case portfolio optimization in discrete-time.
to appear in: Mathematical Methods of Operations Research, DOI: 10.1007/s00186-019-00668-8 .
- Ralf Korn, Elisabeth Leoff (2019).
Multi-asset worst-case optimal portfolios.
International Journal of Theoretical and Applied Finance. 22(4)
- Hayk Hambardzumyan, Ralf Korn (2019).
Dynamic Hybrid Products with Guarantees - An Optimal Portfolio Framework.
Insurance: Mathematics and Economics. 84 , 54-66 .
- S. Desmettre, S. Grün, R. Korn (2018).
Portfolio Optimization with Early Announced Discrete Dividends.
Operations Research Letters. 46, 548-552.
- Sema Coskun, Ralf Korn, Sascha Desmettre (2018).
Application of the Heath-Platen Estimator in the Fong-Vasicek Short Rate Model.
to appear in: The Journal of Computational Finance .
- A.-S. Krah, Z. Nikolic, R. Korn (2018).
A Least-Squares Monte Carlo Framework in Proxy Modeling of Life Insurance Companies.
Risks. 6, (2), 26.
[doi][www]
- S. Desmettre, S. Grün, R. Korn (2018).
Can Outstanding Dividend Payments be estimated by American Options?
Quantitative Finance. 18, (9), 1437-1446. .
- Hansjörg Albrecher, Daniel Bauer, Paul Embrechts, Damir Filipoviç, Pablo Koch, Ralf Korn, Stephane Loisel, Antoon Pelsser, Frank Schiller, Hato Schmeiser, Joel Wagner (2018).
Asset-Liability Management for Long-Term Insurance Business.
European Actuarial Journal. 8, (1), 9-25.
- R. Korn, A. Wagner (2018).
Chance-Risk Classification of Pension Products: Scientific Concepts and Challenges.
in : Innovations in Insurance, Risk- and Asset Management. Eds: K. Glau, D. Linders, A. Min, M. Scherer, L. Schneider, R. Zagst , World Scientific, 381-398.
- Sema Coskun, Ralf Korn (2018).
Pricing Barrier Options in the Heston Model Using the Heath-Platen estimator.
Monte Carlo Methods and Applications. 24, (1), 29-42.
[doi]
- B. Temocin, R. Korn, S. Selcuk-Kestel (2017).
Constant proportion portfolio insurance in defined contribution pension plan management under discrete-time trading.
Annals of Operations Research.
- R. Korn, B. Temocin, J. Wenzel (2017).
Applications of the central limit theorem for pricing Cliquet-style options.
European Actuarial Journal.
[doi]
- R. Korn, S. Kestel, B. Temocin (2017).
Constant Proportion Portfolio Insurance in Defined Contribution Pension Plan Management.
Annals of Operations Research.
- R. Korn, Y. Melnyk, F. Seifried (2017).
Stochastic Impulse Control with Regime-Switching Dynamics.
European Journal of Operations Research.
- S. Desmettre, R. Korn, J. Varela, N. Wehn (2016).
Nested MC-Based Risk Measurement of Complex Portfolios: Acceleration and Energy Efficiency.
Risks. Vol. 4(4), 36.
- A. Bock, R. Korn (2016).
Improving Convergence of Binomials Schemes and the Edgeworth Expansion.
Risks. Vol. 4(2), 15.
- S. Audic, C. De Vargas, A. Gimmer, R. Korn, T. Stoeck (2016).
The Tara Ocean voyage reveals global diversity and ditribution patterns of marine planktonic ciliates.
Scientific Reports. 6.
- P. Hieber, R. Korn, M. Scherer (2015).
Analyzing the effect of low interest rates on the surplus participation of life insurance policies with different annual interest rate guarantees.
European Actuarial Journal. Vol. 5(1), 11-28.
- R. Korn, M. Pupashenko (2015).
A new variance reduction method for calculating value at risk.
Applied Mathematical Finance. Vol. 22(1), 83-98.
- S. Desmettre, R. Korn, F. T. Seifried (2015).
Lifetime Consumption and Investment for Worst-Case Crash Scenarios.
International Journal of Theoretical and Applied Finance. 18.01.
- C. Brugger, M. Hefter, R. Korn, S. Omland, K. Ritter, C. de Schryver, N. Wehn (2014).
Mixed precision multilevel Monte Carlo on hybrid computing sysytem.
IEEE conference on Computational Intelligence for Financial Engineering & Economics, IEEE. 215-222.
- T. Engler, R. Korn (2014).
Worst-Case Portfolio Optimization under Stochastic Interest Rate Risk.
Risks. Vol. 2(4), 469-488.
- S. Desmettre, R. Korn, P. Ruckdeschel, F. T. Seifried (2014).
Robust Worst-Case Optimal Investment.
OR Spectrum. Vol. 37(3), 677-701.
[doi]
- R. Korn, Q. Liang (2014).
Robust and accurate Monte Carlo Simulation of (cross)-Gammas for Bermudan Swaptions in the LIBOR Market Model.
Journal Of Computational Finance. Vol. 17(3), 87.
- R. Korn, S. Müller (2013).
The Optimal-Drift Model - An Accelarated Binomial Scheme.
Finance and Stochastics. Vol. 17, 135-160.
- R. Korn, C. Lindberg (2013).
Portfolio optimization for an investor with a benchmark.
Decisions in Economics and Finance.
- R. Korn, F. T. Seifried (2013).
A concise characterization of optimal consumption with logarithmic preferences.
International Journal of Theoretical and Applied Finance. Vol. 16(6).
- R. Korn, Q. Liang (2013).
Adjoint Libor (Cross) Gammas for Bermudan Swaptions.
RISK.
- R. Korn, S. Tang (2013).
Exact Analytical Solution for the Normal SABR Model.
Wilmott 2013. Vol. 66, 64-69.
- R. Korn, S. Zeytun (2013).
Efficient Basket Monte Carlo option pricing via a simple analytical approximation.
Journal Of Computational and Applied Mathematics. 243, 48-59.
- M. Busch, R. Korn, F. T. Seifried (2013).
Optimal Consumption and Investment for a Large Investor: An Intensity-Based Control Framework.
Mathematical Finance. Vol. 23(4), 687-717.
- R. Korn, O. Menkens, M. Steffensen (2012).
Worst-case-optimal dynamic reinsurance for large claims.
European Actuarial Journal. Vol. 2(1), 21-48.
- R. Korn, Q. Liang (2012).
Efficient Monte Carlo calculation of Delta Vector of a Bermudan Swaptions in the LIBOR Market Model.
Wilmott 2012. 62, 54-63.
- R. Korn, E. Korn, A. Kostiuk, H. Marxen, C. de Schryver, D. Schmidt, N. Wehn, (2012).
A Hardware Efficient Random Number Generator for Nonuniform Distributions with Arbitrary Precision.
International Journal of Reconfigurable Computing. Vol. 2012.
[doi]
- S. K. Acar, R. Korn, K. N. Acar, J. Wenze (2011).
A Two-Factor HJM Interest Rate Model for Use in Asset Liability Management.
Asset and Liability Management Handbook, Palgrave Macmillan UK. 62-76.
- R. Korn, A. Kostiuk, H. Marxen, C. de Schryver, I. Shcherbakov, S. Wurm, N. Wehn (2011).
Algorithmic complexity in the Heston model: an implementation view.
Proceeding of the fourth workshop on High performance computational finance. ACM. 5-12.
- M. Jung, R. Korn, A. Kostiuk, H. Marxen, C. de Schryver, N. Wehn (2011).
Energy efficient acceleration and evaluation of financial computations towards real-time pricing.
International Conference on Knowledge - Based and Intelligent Information and Engineering Systems, Springer Berlin Heidelbeg. 177-186.
- R. Korn, A. Kostiuk, F. Kienle, H. Marxen, C. De Schryver, I. Shcherbakov, N. Wehn (2011).
An energy efficient EPGA accelerator for Monte Carlo option pricing with the Heston model.
In 2011 International Conference on Reconfigurable Computing and FPGAs, IEEE. 468-474.
- R. Korn, Ö. Sezgin Alp (2011).
Continuous-Time Mean-Variance Portfolios: A Comparison.
Optimization.
- Alp, Ö. Sezgin, and R. Korn, (2011).
Continuous-Time Mean-Variance Portfolio Optimization in a Jump-Diffusion Market.
Decisions in Economics and Finance. Vol. 34(1), 21-40.
- R. Korn, T. K. Siu, A. Zhang (2011).
Asset Allocation for a DC Pension Fund Under Regime Switching Environment.
European Actuarial Journal 1. 361-377.
- R. Korn (2010).
Expected Utility Maximization.
Encyclopedia of Quantitative Finance.
- A.I. Cekic, R. Korn, O. Ugur (2010).
A Mean-Variance Approach to Constant Proportion Debt Obligations.
Wilmott Journal.
- R. Korn, S. Müller (2010).
Binomial Trees in Option Pricing - History, Practical Applications and Recent Developments.
Recent Developments in Applied Probability and Statistics, Springer (eds. L. Devroye, B. Karasozen, M. Kohler, R. Korn). 119-138.
- R. Korn, M. Schäl (2009).
The numeraire portfolio in discrete time: Existence, related concepts and applications.
Radon Series for Computational and Applied Mathematics (eds. H. Albrecher, W. Runggaldier, W. Schachermayer). 303-326.
- E. Baydar, di G .Graziano, R. Korn, (2009).
Theoretical solution versus industry standard: Optimal leverage function for CPDOs.
Blätter der DGVFM. Vol. 30, 15-29.
- R. Korn, F. Seifried (2009).
A worst-case approach to continuous-time portfolio optimization.
Radon Series for Computational and Applied Mathematics (eds. H. Albrecher, W. Runggaldier, W. Schachermayer). 327-345.
- R. Korn, S. Müller (2009).
The decoupling approach to binomial pricing of multi-asset options.
Journal Of Computational Finance. Vol. 12(3), 1-30.
- R. Korn, S. Müller (2009).
Getting multi-dimensional trees into a new shape.
WILLMOTT. Vol. 1(3), 145-153.
- R. Korn, S. Zeytun (2009).
Solving Optimal Investment Problems with Structured Products under CVaR Constraints.
Optimization. Vol. 58(3), 291-304.
- R. Korn, A. Wiese (2008).
Optimal investment and bounded ruin probability: Constant portfolio strategies and mean-variance analysis.
ASTIN Bulletin. Vol. 38(2), 423-440.
- R. Korn (2008).
Faszination Finanzmathematik – Probleme, Prinzipien und Methoden.
Mathematische Semesterberichte. Vol. 55, 19-42.
- R. Korn, H. Kraft (2008).
Continuous-time Delegated Portfolio Management with Homogeneous Expectations.
Financial Markets and Portfolio Management. Vol. 22(1), 67-90.
- R. Korn (2008).
Optimal portfolios: New variations of an old theme.
Computational Management Science. Vol. 5, 289-304.
- T. Gerstner, M. Holtz, R. Korn (2007).
Valuation of performance-dependent options in a Black-Scholes framework.
Numerical Methods for Finance (eds. J.Appleby, D.Edelman, and J.Miller) Chapman and Hall/CRC Press. 203-214.
- C.O. Edwald, R. Korn, A. Zhang, (2007).
Optimal management and inflation protection for defined contribution pension plans.
Blätter der DGVFM. Vol. 28(2), 239-258.
- R. Korn (2007).
Stochastik an der Börse – Muss das sein?
Mitteilungen der Mathematischen Gesellschaft Hamburg 26. 5-25.
- R. Korn, M.Steffensen (2007).
On worst case portfolio optimization.
SIAM Journal on Control and Optimization. Vol. 46(6), pp. 2013-2030.
- R. Korn, H. Kovilyanskaya (2007).
Some Aspects of Investment into High-Yield Bonds.
International Journal of Theoretical and Applied Finance. Vol. 10(6), 967-984.
- R. Korn, K. Natcheva, J. Zipperer (2006).
Langlebigkeitsbonds - Bewertung, Modellierung und Aspekte für deutsche Daten.
Blätter der DGVFM. XXVII. Vol. 3, 397-418.
- T. Beletski, R. Korn (2006).
Optimal Investment with Inflation-linked Products.
Advances in Risk Management (Hrsg. G.N. Gregoriou), Palgrave-Mac Millan. 170-190.
- R. Korn, C. Rogers (2005).
Stocks paying discrete dividends: modeling and option pricing.
Journal Of Derivatives. Vol. 13(2), 44-49.
- R. Korn, O. Menkens (2005).
Worst-Case Scenario Portfolio Optimization: A New Stochastic Control Approach.
Mathematical Methods of Operations Research. Vol. 62(1), 123-140.
- R. Korn (2005).
Optimal Portfolios with a Positive Lower Bound on Final Wealth.
Quantitative Finance. Vol. 5(3), 315-321.
- R. Korn (2005).
Worst-Case Scenario Investment for Insurers.
Insurance: Mathematics and Economics. Vol. 36, 1-11.
- R. Korn, O. Menkens (2005).
Worst-case investment with applications for banks and insurance companies.
Interacting Stochastic Systems (Deuschel, Jean-Dominique; Greven, Andreas (Hrsg.)). 397-407.
- M. Dahlgren, R. Korn (2005).
The Swing Option on the Stock Market.
International Journal of Applied and Theoretical Finance. Vol. 8(1), 123-139.
- R. Korn, S. Kruse (2004).
Einfache Verfahren zur Bewertung von inflationsgekoppelten Finanzprodukten.
Blätter der DGVFM (Band XXVI, Heft 3). 351-367.
- R. Korn, M. Krekel, J. de Kock, T.K. Man (2004).
An analysis of some methods for pricing basket options.
WILMOTT July 2004.
- R. Korn (2004).
Realism and Practicality of Transaction Cost Approaches in Continuous-Time Finance.
Mathematical Methods of Operations Research. Vol. 60(2), 165-174.
- R. Korn, H. Kraft (2004).
Counter examples and stability in continuous-time portfolio optimization.
Mathematical Finance. Vol. 14(3), S.403-414.
- R. Korn, F. Oertel, M. Schäl (2003).
On the numeraire portfolio for jump diffusion processes.
Decisions in Economics and Finance 26. 153-166.
- R. Korn, H. Kraft (2003).
Optimal portfolios with defaultable securities: A firms value approach.
International Journal of Applied and Theoretical Finance. Vol. 6, 793-819.
- R. Korn (2003).
The Martingale Optimality Principle in Finance: The Best you can is good enough.
WILMOTT July 2003.
- R. Korn (2003).
... and justice for all.
WILMOTT January 2003.
- R. Korn, S. Laue (2002).
Portfolio optimisation with transaction costs and exponential utility.
Stochastic Processes and Related Topics (Hrsg. R. Buckdahn, H.J. Engelbert, M. Yor).
- R. Korn, H. Kraft (2002).
A stochastic control approach to portfolio problems with stochatic interest rates.
SIAM Journal on Control and Optimization. Vol. 40(4), S.1250-1269.
- R. Korn, P. Wilmott (2002).
Optimal investment under the threat of a crash.
International Journal of Theoretical and Applied Finance. Vol. 5, S.171-187.
- R. Korn (2001).
Crash and Earn.
WILMOTT May 2001.
- R. Korn (2001).
Stochastic models for optimal investment.
Selcuk Journal of Applied Mathematics. Vol. 2(2), S. 73-82.
- S. Emmer, R. Korn, C. Klüppelberg (2001).
Optimal portfolios with bounded capital at risk.
Mathematical Finance. Vol. 11, S. 365-384.
- R. Korn (2000).
Value preserving portfolio strategies and a general framework for local approaches to optimal portfolios.
Mathematical Finance. Vol. 10(2), S. 227-241.
- R. Korn (1999).
Some applications of impulse control in mathematical finance.
Mathematical Methods of Operations Research. Vol. 50(3), S. 493-518.
- R. Korn, M. Schäl (1999).
On growth optimal and value preserving portfolio.
Mathematical Methods of Operations Research. Vol. 50(2), S. 189-218.
- R. Korn, C. Klüppelberg (1999).
Optimale Portfolios mit beschränktem Risiko.
Solutions. Vol. 3(2), S. 23-32.
- R. Korn (1999).
Optimal Portfolios with Derivative Securities.
Zeitschrift für Angewandte Mathematik und Mechanik 79. Suppl. 3, 919-922.
- R. Korn, S. Trautmann (1999).
Optimal Control of Option Portfolios.
OR-Spektrum. Vol. 21, Nr. 1-2, S.123-146.
- R. Korn, P. Wilmott (1998).
A General Framework for Hedging and Speculating with Options.
International Journal of Applied and Theoretical Finance. Vol. 1(4), S.507-522.
- I. Buckley, R. Korn, (1998).
Optimal Cash Management and Transaction Costs.
International Journal of Applied and Theoretical Finance. Vol. 1(3), S.315-330.
- R. Korn (1998).
Value Preserving Portfolio Strategies and the Minimal Martingale Measure.
Mathematical Methods of Operations Research. Vol. 47(1), S.169-179.
- R. Korn (1998).
Portfolio Optimization with Strictly Positive Transaction Costs and Impulse Control.
Finance and Stochastics. Vol. 2(2), S.85-114.
- R. Korn, M. Kreer, M Lenssen (1998).
Pricing of European Options when the Stock Price follows a linear Birth-Death Process.
Communications in Statistics : Stochastic Models. Vol. 14(3), S.647-662.
- R. Korn (1997).
Optimal Impulse Control when the Control Consequences are random.
Mathematics of Operations Research. Vol. 22(3), S.639-667.
- R. Korn (1997).
Some Applications of L²-Hedging with a Non-Negative Wealth Process.
Applied Mathematical Finance. Vol. 4(1), S.64-79.
- R. Korn (1997).
Value Preserving Portfolio Strategies in Continuous-Time Models.
Mathematical Methods of Operations Research. Vol. 45(1), S.1-43.
- R. Korn (1995).
Contingent Claim Valuation with Different Interest Rates.
Zeitschrift für Operations Research. Vol. 42(3), S.255-264.
- R. Korn, S. Trautmann (1995).
Continuous-Time Portfolio Optimization under Terminal Wealth Constraints.
Zeitschrift für Operations Research. Vol. 42(1), S.69-92.
- R. Korn (1993).
The Pricing of Look Back Options and a Fubini Theorem for Itô-and Lebesgue- Integrals.
Stochastic Processes and Optimal Control (ed. H.J.Engelbert, I.Karatzas, M.Röckner (Reihe Stochastics Monographs)) Gordon and Breach. Vol. 7, (S.105- 113)
- R. Korn, A. Wagner (2019) Praxishandbuch Lebensversicherungsmathematik: Simulation und Klassifikation von Produkten.
VVW, Karlsruhe.
- S. Desmettre, R. Korn (2018).
Moderne Finanzmathematik- Theorie und praktische Anwendung; Band 2: Erweiterungen des Black-Scholes-Modells, Zins, Kreditrisiko und Statistik.
Springer Spektrum, Wiesbaden.
- R. Korn (2014).
Moderne Finanzmathematik - Theorie und praktische Anwendung; Band 1: Optionsbewertung und Portfolio-Optimierung.
Springer Spektrum, Wiesbaden.
- R. Korn, E. Korn, G. Kroisandt (2010).
Monte Carlo Methods and Models in Finance and Insurance.
Chapman & Hall/CRC Financial Mathematics Series.
- L. Devroye, B. Karasözen, R. Korn, M. Kohler (2010).
Recent Developments in Applied Probability and Statistics: Dedicated to the Memory of Jürgen Lehn.
Physica Verlag/Springer ADD.
- H.W. Hamacher, E. Korn, R. Korn, S. Schwarze (2004).
Mathematik & Ökonomie.
Universum - Verlag.
- R. Korn, E. Korn (2001).
Option pricing and portfolio optimization - Modern methods of financial mathematics.
AMS.
- R. Korn, E. Korn (1999).
Optionsbewertung und Portfolio-Optimierung - Moderne Methoden der Finanzmathematik. Vieweg.
(2. Auflage 2001, auch mittlerweile vergriffen)
- R. Korn (1997).
Optimal Portfolios - Stochastic Models for Optimal Investment and Risk Management in Continuous Time.
(World Scientific, Singapore 1997)
- C. Brugger, R. Korn, S. Tang, J. A. Verela, N. Wehn (2015).
Pricing High Dimensional American Options on Hybrid CPU/FPGA Systems.
FPGA Based Accelerators for Financial Applications, Springer
- S. Desmettre, R. Korn, T. Sayer (2014).
Optionsbewertung in der Praxis: Das stochastische Volatilitätsmodell nach Heston.
Challenging Mathematics and Applications from Industry (Hrsg. H. Neunzert, D. Prätzel-Wolters), Springer
- S. Desmettre, R. Korn (2014).
10 Computational Challenges in Finance.
FPGA Based Accelerators for Financial Applications, Springer (Hrsg. C. de Schryver)
- R. Korn (2012).
Zertifikate - Innovation oder Mogelpackung?
ROI. 02, S. 28-31.
- E. Korn, R. Korn (2012).
The Monte Carlo Method.
Simulating Copulas (J.F. Mai, M. Scherer), World Scientific (Pages 251-266)
- E. Korn, R. Korn (2012).
Sampling Univariate Random Variables.
Simulating Copulas (J.F. Mai, M. Scherer), World Scientific (Pages 231-250)
- R. Korn (2010).
Financial Mathematics: Between Stochastic Differential Equations and Financial Crisis.
Recent Developments in Applied Probability and Statistics (eds L. Devroye, B. Karasozen, M. Kohler, R. Korn).
- N. Frass, R. Korn, J. Schnabl, S. Vorgrimler (2010).
Adressrisikomodelle: Die Risikoeinschätzung verbessern.
Die Bank. 02.
- R. Korn (2009).
Modern Mathematics for Finance and Economics: From Stochastic Differential Equations to the Credit Crisis.
ERCIM News 78. 10-12.
- R. Korn, M. Krekel (2002).
Optimal portfolios with fixed consumption and income streams.
Berichte des ITWM. 31.
- R. Korn (2001).
Elementare Probleme der Finanzmathematik.
Mathematik in der modernen Welt (Hrsg. N. Christmann, FB Mathematik, Universität Kaiserslautern) (Pages 87-121)
- J. Hinz, R. Korn (2000).
A martingale method of portfolio optimization for unobservable mean rate of return.
Report in Wirtschaftsmathematik. 68.
- R. Korn, P. Wilmott
Room for a View.
(Working paper)
- R. Korn, C. Klüppelberg
Optimal portfolios with bounded value at risk.
(Working paper)
- R. Korn (1997).
Das Portfolio-Problem: Stochastische Modelle und Methoden zur Bestimmung optimaler Investmentstrategien.
Forschungsmagazin der Johannes Gutenberg-Universität Mainz. Jg.13, S.65-71.
- R. Korn, P. Wilmott (1996).
Option Prices and Subjective Beliefs.
Berichte zur Stochastik und verwandte Gebiete. 5.
- I. Buckley, R. Korn (1996).
Optimal Cash Management and Transaction Costs.
Berichte zur Stochastik und verwandte Gebiete. 6.
- R. Korn (1993).
Contingent Claim Valuation in a Market with Higher Interest Rates for Borrowing than for Lending.
Berichte zur Stochastik und verwandte Gebiete 1, S. 294.
- S. Desmettre, C. De Schryver, C. Kestel, R. Korn, J. A. Verela, N. Wehn (2015).
Optimization strategies for portable code for Monte Carlo-based value-at-risk systems.
In Proceeding of the 8th Workshop on High Performance Computational Finance, ACM. 3.
- C. Brugger, R. Korn, S. Tang, J. A. Varela, N. Wehn (2015).
Reverse Longstaff - Schwatrz American option pricing on hybrid CPU/ FPGA systems.
In Proceedings of the 2015 Design. Automation & Test in Europe Conference & Exhibition, EDA Consortium. 1599-1602.
- R. Korn (2003).
Worst-case investment with applications for banks and insurance companies.
Conference Proceedings, ERC-Conference, METU Ankara.
- R. Korn, S. Trautmann (1993).
A Dual Method for Portfolio Optimization under Terminal Wealth Constraints.
Proceedings of the 20th Annual Meeting of the European Finance Association, Kopenhagen.
Research interests
- Financial mathematics: portfolio optimisation, transaction costs, modelling of inflation, dividends and longevity
- Stochastic control: control of continuous-time processes with applications in financial mathematics, worst-case control
- Impulse control: generalized impulse control with uncertain control consequences
- Value preserving strategies: value preserving strategies in general financial markets
- Worst-case control: applications to portfolio optimisation with crashes
- Monte-Carlo methods: applications in finance
- Tree methods for option pricing: multi-dimensional trees
- Quasi-variational inequalities and viscosity solutions: applications in impulse control