In this talk we review some fundamental concepts for the valuation of game options in incomplete markets. This comprises static and dynamic approaches based on arbitrage and utility considerations. In any of these setups, the relation to Dynkin games plays a key role. As a special case we consider convertible bonds.

Short bio:

Jan Kallsen is professor at the university of Kiel (Germany) with specialisation in Mathematical Finance. He studied Mathematics and Physics in Kiel and Freiburg. He holds a PhD in Mathematics from Freiburg university. He spent extended research visits at Boston University and Technische Universität Wien. Prior to Kiel he held a position as associate professor at Technische Universität München. His primary research interest are financial mathematics and the theory of stochastic processes.