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.