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Publications Influence

Heat kernel asymptotics of the subordinator and subordinate Brownian motion

- Matthias A. Fahrenwaldt
- Mathematics
- 1 March 2019

For a class of Laplace exponents, we consider the transition density of the subordinator and the heat kernel of the corresponding subordinate Brownian motion. We derive explicit approximate… Expand

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Nonrecursive Separation of Risk and Time Preferences

- Matthias A. Fahrenwaldt, N. Jensen, M. Steffensen
- Mathematics
- 4 October 2016

Recursive utility disentangles preferences with respect to time and risk by recursively building up a value function of local increments. This involves certainty equivalents of indirect utility.… Expand

Sensitivity of life insurance reserves via Markov semigroups

- Matthias A. Fahrenwaldt
- Mathematics
- 7 January 2015

Abstract Fahrenwaldt M. Sensitivity of life insurance reserves via Markov semigroups. Scandinavian Actuarial Journal. We consider Thiele’s differential equation for the reserve of a multi-state… Expand

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Nonrecursive separation of risk and time preferences

- Matthias A. Fahrenwaldt, N. Jensen, M. Steffensen
- Mathematics
- 1 October 2020

Abstract Recursive utility disentangles preferences with respect to time and risk by recursively building up a value function of local increments. This involves certainty equivalents of indirect… Expand

A Multi-Step Binomial Model for Prediction Markets

- Matthias A. Fahrenwaldt
- Economics
- 25 November 2010

This short note adapts a multi-period binomial model for asset pricing under heterogeneous beliefs developed by He and Shi in July 2010 to the case of prediction markets thereby generalizing known… Expand

Option prices under liquidity risk as weak solutions of semilinear diffusion equations

- Matthias A. Fahrenwaldt, A. Roch
- Mathematics
- 18 February 2017

Prices of financial options in a market with liquidity risk are shown to be weak solutions of a class of semilinear parabolic partial differential equations with nonnegative characteristic form. We… Expand

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Spectral functions of subordinate Brownian motion on closed manifolds

- Matthias A. Fahrenwaldt
- Mathematics, Computer Science
- J. Lond. Math. Soc.
- 1 June 2016

TLDR

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Complex powers of abstract pseudodifferential operators

- Matthias A. Fahrenwaldt
- Mathematics
- 2018

Under suitable assumptions, we show that the abstract pseudodifferential operators introduced by Connes and Moscovici possess complex powers that belong to this class of operators. We analyse several… Expand

Expected utility approximation and portfolio optimisation

- Matthias A. Fahrenwaldt, Chaofan Sun
- Mathematics
- 1 July 2020

Abstract Classical portfolio selection problems that optimise expected utility can usually not be solved in closed form. It is natural to approximate the utility function, and we investigate the… Expand

Off-Diagonal Heat Kernel Asymptotics of Pseudodifferential Operators on Closed Manifolds and Subordinate Brownian Motion

- Matthias A. Fahrenwaldt
- Mathematics
- 1 March 2017

We derive the off-diagonal short-time asymptotics of the heat kernels of functions of generalised Laplacians on a closed manifold. As an intermediate step we give an explicit asymptotic series for… Expand

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