Associate Professor
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
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.
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
- M. Nendel and F. Fuchs. Existence of Viscosity Solutions to Abstract Cauchy Problems via Nonlinear Semigroups. arXiv:2502.18270, 2025.
- 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.
- J. Blessing, M. Kupper, and M. Nendel. Convergence of infinitesimal generators and stability of convex monotone semigroups. arXiv:2305.18981, 2023.
- S. Della Corte, F. Fuchs, R.C. Kraaij, and M. Nendel. A Strict Comparison Principle for Integro-Differential Hamilton-Jacobi-Bellman Equations on Domains with Boundary. arXiv:2512.04005, 2025.
- M. Nendel, A. Neufeld, K. Park, and A. Sgarabottolo. Scaling limits of multi-period distributionally robust optimization problems. arXiv:2511.20126, 2025.
- M. Nendel. Chernoff-Mehler Approximation for Lévy Processes with Drift. arXiv:2511.19414, 2025.
Publications
- M. Nendel and A. Sgarabottolo. A parametric approach to the estimation of convex risk functionals based on Wasserstein distance. To appear in Appl. Math. Optim. (2025+)
- C. De Vecchi, M. Nendel, and J. Streicher. Upper Comonotonicity and Risk Aggregation under Dependence Uncertainty. To appear in Math. Finance (2025+)
- M. Kupper, M. Nendel, and A. Sgarabottolo. Hopf-Lax approximation for value functions of Lévy optimal control problems. To appear in Proc. Amer. Math. Soc. (2025+).
- J. Blessing, R. Denk, M. Kupper, and M. Nendel. Convex monotone semigroups and their generators with respect to Gamma-convergence. J. Funct. Anal. 288 (2025), paper no. 110841.
- M. Kupper, M. Nendel, and A. Sgarabottolo. Risk measures based on weak optimal transport. Quant. Finance 25 (2025), 163-180.
- 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.