printlogo
ETH Zuerich - Homepage
 
print
  

Prof. Dr. Hans-Jakob Lüthi

Postal address

Prof. Dr. Hans-Jakob Lüthi
Institut für Operations Research
HG G 21.5
Rämistrasse 101
8092 Zürich
Switzerland

More information

Phone   +41 44 632 4015
E-Mail  
Homepage   http://www.ifor.math.ethz.ch/~luethi/

Curriculum_Vitae

List of publications

Research Interest

Besides managing the IFOR I am involved in the following projects: RiskLab, Variational Inequalitites Equilibrium Programming, Linear Complementarity and Pivoting in Oriented Matroids (with Komei Fukuda).

In the last years the applications of OR in Financial Engineering became a new focus of the institutes research:
The Computation of Equilibrium Prices in an International Market of CO2 emission permits lead to new techniques for solving variational inequalities using interior point techniques.
Maximum Loss Computation for Portfolios (jointly with G. Studer) became a practical method for worst-case analysis in (financial) risk-management.
In the recent work together with G. Unger entitled "Power Portfolio Optimization and Hedging Strategies" we used the concept of coherent risk measure to investigate dispatching policies for hydro power plants. The application of financial risk engineering in other domains (such as production capacity reservation is underway.
The paper "Pricing American put options by fast solutions of the linear complementarity problem" is another nice example of combining mathematical optimization techniques with computational methods in finance.

My current interest centers around the concept of real options and its relationship to the valuation of production felxibility. Indeed, in the paper Convex Risk Measures for Portfolio Optimization and Concepts of Flexibility we established some fundamental framework for the value based on an axiomatic framework to measure risk.

Please look up the corresponding project descriptions on the www-page.

 

Wichtiger Hinweis:
Diese Website wird in älteren Versionen von Netscape ohne graphische Elemente dargestellt. Die Funktionalität der Website ist aber trotzdem gewährleistet. Wenn Sie diese Website regelmässig benutzen, empfehlen wir Ihnen, auf Ihrem Computer einen aktuellen Browser zu installieren. Weitere Informationen finden Sie auf
folgender Seite.

Important Note:
The content in this site is accessible to any browser or Internet device, however, some graphics will display correctly only in the newer versions of Netscape. To get the most out of our site we suggest you upgrade to a newer browser.
More information

© 2009 Mathematics Department | Disclaimer | 20 September 2006
top