Max Nendel

Associate Professor
Max Nendel

Contact Information:
Max Nendel
Department of Statistics and Actuarial Science
University of Waterloo
Mathematics 3, 200 University Avenue W
Waterloo, Ontario, N2L 3G1, Canada

Office: M3 2113
Email: mnendel@uwaterloo.ca

Google Scholar profile

Short bio

I am an associate professor of quantitive finance and actuarial science in the Department of Statistics and Actuarial Science. I obtained my PhD in mathematics from University of Konstanz in 2017 under the joint supervision of Robert Denk and Michael Kupper. Prior to joining the University of Waterloo in 2024, I held a junior professorship at Bielefeld University’s Center for Mathematical Economics, where I have been PI in the Collaborative Research Center 1283 and the Research Training Group 2865.

Detailed CV (12/2024).

Research interests

My research activities are primarily concerned with model uncertainty in economics, finance, and actuarial science with a focus on the valuation of financial and insurance products under model uncertainty using non-linear partial differential equations. In addition, I work on mathematical topics related to regulatory policymaking, risk measures, and mean field games.

Preprints

  • J. Dianetti, M. Nendel, L. Tangpi, and S. Wang. Pasting of Equilibria and Donsker-type Results for Mean Field Games. arXiv:2411.00633, 2024.
  • S. Della Corte, F. Fuchs, R.C. Kraaij, and M. Nendel. A comparison principle based on couplings of partial integro-differential operators. arXiv:2410.19566, 2024.
  • C. De Vecchi, M. Nendel, and J. Streicher. Upper Comonotonicity and Risk Aggregation under Dependence Uncertainty. arXiv:2406.19242, 2024.
  • J. Blessing and M. Kupper, and M. Nendel. Convergence of infinitesimal generators and stability of convex monotone semigroups. arXiv:2305.18981, 2023.
  • M. Nendel and A. Sgarabottolo. A parametric approach to the estimation of convex risk functionals based on Wasserstein distance. arXiv:2210.14340, 2022.
  • J. Blessing, R. Denk, M. Kupper, and M. Nendel. Convex monotone semigroups and their generators with respect to gamma-convergence. arXiv:2202.08653, 2022.

Publications

  • M. Kupper, M. Nendel, and A. Sgarabottolo. Risk measures based on weak optimal transport. Forthcoming in Quant. Finance (2024+).
  • M. Nendel. Lower semicontinuity of monotone functionals in the mixed topology on Cb. Finance Stoch. 29 (2025), 261-287.
  • B. Goldys, M. Nendel, and M. Röckner. Operator semigroups in the mixed topology and the infinitesimal description of Markov processes. J. Differential Equations 412 (2024), 23-86.
  • P. Kurth, M. Nendel, and J. Streicher. A hypothesis test for the long-term calibration in rating systems with overlapping time windows. Risks 12 (2024), 131.
  • M. Nendel and J. Streicher. An axiomatic approach to default risk and model uncertainty in rating systems. J. Math. Econom. 109 (2023), paper no. 102896.
  • R. Denk, M. Kupper, and M. Nendel. Convex semigroups on lattices of continuous functions. Publ. Res. Inst. Math. Sci. 59 (2023), 393-421.
  • J. Dianetti, G. Ferrari, M. Fischer, and M. Nendel. A unifying framework for submodular mean field games. Math. Oper. Res. 48 (2023), 1679-1710.
  • S. Fuhrmann, M. Kupper, and M. Nendel. Wasserstein perturbations of Markovian transition semigroups. Ann. Inst. H. Poincaré Probab. Statist. 59 (2023), 904-932.
  • F.-B. Liebrich and M. Nendel. Separability vs. robustness of Orlicz spaces: financial and economic perspectives. SIAM J. Financial Math. 13 (2022), 1344-1378.
  • M. Nendel and M. Röckner. Upper envelopes of families of Feller semigroups and viscosity solutions to a class of nonlinear Cauchy problems. SIAM J. Control Optim. 59 (2021), 4400-4428.
  • J. Dianetti, G. Ferrari, M. Fischer, and M. Nendel. Submodular mean field games: existence and approximation of solutions. Ann. Appl. Probab. 31 (2021), 2538-2566.
  • M. Nendel, M.D. Schmeck, and F. Riedel. A decomposition of general premium principles into risk and deviation. Insurance Math. Econom. 100 (2021), 193-209.
  • R. Denk, M. Kupper, and M. Nendel. Convex semigroups on Lp-like spaces. J. Evol. Equ. 21 (2021), 2491-2521.
  • M. Nendel. On nonlinear expectations and Markov chains under model uncertainty. Internat. J. Approx. Reason. 130 (2021), 226-245.
  • M. Nendel. Markov chains under nonlinear expectation. Math. Finance 31 (2021), 474-507.
  • M. Nendel. A note on stochastic dominance, uniform integrability, and lattice properties. Bull. Lond. Math. Soc. 52 (2020), 907-923.
  • R. Denk, M. Kupper, and M. Nendel. A semigroup approach to nonlinear Lévy processes. Stochastic Process. Appl. 130 (2020), 1616-1642.
  • B. Barraza, R. Denk, J. Hernández, F. Kammerlander, and M. Nendel. Regularity and asymptotic behavior for a damped plate-membrane transmission problem. J. Math. Anal. Appl. 474 (2019), 1082-1103.
  • B. Barraza, R. Denk, J. Hernández, and M. Nendel. Mapping properties for operator-valued pseudodifferential operators on toroidal Besov spaces. J. Pseudo-Differ. Oper. Appl. 9 (2018), 523-538.
  • R. Denk, M. Kupper, and M. Nendel. Kolmogorov-type and general extension results for nonlinear expectations. Banach J. Math. Anal. 12 (2018), 515-540.