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Dr. Gregor Heyne

Short CV: 
  • October 2007: Diplom in Mathematics (Humboldt University)
  • November 2007 - present: PhD Student (Humboldt University and Quantitative Products Laboratory)

 

Major Research Interests: 
  • Backward Stochastic Differential Equations
  • Cross Hedging in Incomplete Market
  • Derivative Valuation in Incomplete Markets

 

Publications: 
  • Ankirchner, Stefan; Heyne, Gregor; Imkeller, Peter. A BSDE approach to the Skorokhod embedding problem for the Brownian motion with drift. Stoch. Dyn. 8, No. 1, 35-46 (2008).
  • Ankirchner, Stefan; Heyne, Gregor. Cross hedging with stochastic correlation, (Working Paper).

 

Organized Workshops & Conferences: 
  • Workshop on Mathematical Finance for Young Researchers; Oktober 6/7, 2008.

 

e-Mail Adress: 
LastName.FirstName[at]db.com

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