Katharina Oberpriller, Ph.D.

I was a postdoc in the group of Thorsten Schmidt at the university of Freiburg. In may 2022, I finished my PhD at the Gran Sasso Science Institute, L'Aquila under the supervision of Francesca Biagini. 

Personal homepage: https://sites.google.com/view/katharina-oberpriller

Research subjects

•  Financial mathematics
•  Model uncertainty
•  Stochastic analysis

Preprints

• Robust asymptotic insurance-finance arbitrage, with Moritz Ritter and Thorsten Schmidt, 2022, arXiv
• Liquidity based modeling of asset price bubbles via random matching, with Francesca Biagini, Andrea Mazzon and Thilo Meyer-Brandis, 2022, arXiv
• Classical and deep pricing for path-dependent options in non-linear generalized affine models, with Benedikt Geuchen and Thorsten Schmidt, 2022, arXiv
• Non-linear Affine Processes with Jumps, with Francesca Biagini and Georg Bollweg, 2022, arXiv

Publications

• Generalized Feynman-Kac Formula under volatility uncertainty, with Bahar Akhtari, Francesca Biagini and Andrea Mazzon, accepted for publication in Stochastic Processes and their Applications, 2023, arXiv
• Reduced-form framework for multiple ordered default times under model uncertainty, with Francesca Biagini and Andrea Mazzon,  Stochastic Processes and their Applications, 156, 1-43, 2023, arXiv
• Reduced-form setting under model uncertainty with non-linear affine intensities, with Francesca Biagini, Probability, Uncertainty and Quantitative Risk, 6(3), 159-188, 2021