Lehrstuhl für Mechatronik in Maschinenbau und Fahrzeugtechnik (MEC)

Dr. Markus Hess

Contact

Email: markus.hess(at)rptu.de

Phone: +49 631/205-3706

Fax: +49 631/205-4201

Address

Gottlieb-Daimler-Straße

Gebäude 42, Raum 253

67663 Kaiserslautern 

RESEARCH INTERESTS

  • Stochastic Analysis, stochastic processes, SDEs, SPDEs
  • Lévy processes, CBI processes, Volterra processes, Langevin processes
  • Enlarged filtrations
  • Optimal/stochastic control, stochastic maximum principles
  • Financial Mathematics
  • Pricing financial derivatives, portfolio optimization
  • Stochastic modeling in energy & weather markets

TEACHING

  • Stochastic Modeling in Energy Markets (University of Ulm, 2013/2014)
     

Academic Profiles

ORCID
SSRN
ResearchGate
 

CAREER

  • Diploma in Mathematics, University of Trier
  • Ph.D. in Mathematics (Dr. rer. nat.), University Duisburg-Essen
  • Postdoc/Lecturer, Chair of Financial Mathematics, University of Ulm
  • Postdoctoral Research Fellow, Département de Mathématique, Sciences Actuarielles, Université Libre de Bruxelles, Brussels, Belgium
  • Quant positions in the Insurance & Banking Industry, Frankfurt/Main
  • Since May 2023, Wissenschaftlicher Mitarbeiter at RPTU Kaiserslautern-Landau

    PUBLICATIONS

    Interest Rate Modeling with Generalized Langevin Equations
    Brazilian Journal of Probability and Statistics (BJPS) 37, 2023, Pages 513-533. DOI
    M. Hess

    VIX Modeling for a Market Insider
    International Journal of Theoretical and Applied Finance (IJTAF) 26, 2023, Pages 2350015. DOI
    M. Hess

    The stochastic Leibniz formula for Volterra integrals under enlarged filtrations
    Stochastic Models 39, 2023, Pages 823-850. DOI
    M. Hess

    The VIX and Future Information
    International Journal of Theoretical and Applied Finance (IJTAF) 24, 2021, Pages 2150038. DOI
    M. Hess

    A New Approach to Wind Power Futures Pricing
    Decisions in Economics and Finance (DEAF) 44, 2021, Pages 1235-1252. DOI
    M. Hess

    Explicit Representations for Utility Indifference Prices
    Applied Mathematical Finance 28, 2021, Pages 23-47. DOI
    M. Hess

    An Anticipative Stochastic Minimum Principle under Enlarged Filtrations
    Stochastic Analysis and Applications 39, 2021, Pages 252-277. DOI
    M. Hess

    Pricing Electricity Forwards under Future Information on the Stochastic Mean-Reversion Level
    Decisions in Economics and Finance (DEAF) 43, 2020, Pages 751-767. DOI
    M. Hess

    A Pure-Jump Mean-Reverting Short Rate Model
    Modern Stochastics: Theory and Applications 7, 2020, Pages 113-134. DOI
    M. Hess

    Enlarged Filtrations and Indistinguishable Processes
    Stochastic Analysis and Applications 38, 2020, Pages 179-189. DOI
    M. Hess

    An Arithmetic Pure-Jump Multi-Curve Interest Rate Model
    International Journal of Theoretical and Applied Finance (IJTAF) 22, 2019, Pages 1950042. DOI
    M. Hess

    Optimal Equivalent Probability Measures under Enlarged Filtrations
    Journal of Optimization Theory and Applications (JOTA) 183, 2019, Pages 813-839. DOI
    M. Hess

    Minimal Variance Hedging in Multicurve Interest Rate Modeling
    Lithuanian Mathematical Journal (LMJ) 59, 2019, Pages 338-356. DOI
    M. Hess

    Pricing Temperature Derivatives under Weather Forecasts
    International Journal of Theoretical and Applied Finance (IJTAF), 21, 2018, Pages 1850031. DOI
    M. Hess

    Cliquet Option Pricing in a Jump-Diffusion Lévy Model
    Modern Stochastics: Theory and Applications, 5, 2018, Pages 317-336. DOI
    M. Hess

    Cliquet Option Pricing with Meixner Processes
    Modern Stochastics: Theory and Applications, 1, 2018, Pages 81-97. DOI
    M. Hess

    Modeling Positive Electricity Prices with Arithmetic Jump-Diffusions
    Energy Economics, 67, 2017, Pages 496-507. DOI
    M. Hess

    Modeling and Pricing Precipitation Derivatives under Weather Forecasts
    International Journal of Theoretical and Applied Finance (IJTAF), 19, 2016, Pages 1650051. DOI
    M. Hess