[photo Thomas Bernhardt]

Thomas Bernhardt [CV] ORC-id

Institution Heriot-Watt University
Status Research Associate connected to IFoA funded project
Manager Catherine Donnelly
Contact T.Bernhardt@hw.ac.uk

Research Interests

Stochastic analysis and filtering. Topics related to diffusions and Lévy processes. Measure theoretical problems arising from financial mathematics.

Working Papers and Diploma Thesis

  1. How much to put in a tontine [abstract] Thomas Bernhardt, Catherine Donnelly, expected completion December 2018
  2. Discretionary stopping of stochastic differential equations with generalised drift [abstract, article] Thomas Bernhardt, Pui Chan Lon, Neofytos Rodosthenous, Mihail Zervos, submitted and under revision since July 2018
  3. Pension Decumulation Strategies: A State-of-the-Art Report [abstract, slides, report] Thomas Bernhardt, Catherine Donnelly, 2018, IFoA
  4. Itô Semi-Diffusions, an alternative approach to Lévy models [abstract, slides, thesis] Thomas Bernhardt, Mihail Zervos, 2017
  5. Weak solutions to SDEs, reflected in a càdlàg function [abstract, slides, thesis] Thomas Bernhardt, Mihail Zervos, 2017
  6. Filtering problems with stochastic intensities of Cox Jump processes (in German) [abstract, slides, thesis] Dirk Becherer, Thomas Bernhardt, Pavel Gapeev, 2013

Acknowledged in

  1. Polynomial jump-diffusions on the unit simplex [contribution, paper] Christa Cuchiero, Martin Larsson, Sara Svaluto-Ferro, The Annals of Applied Probability, 2018