Education
2001 Ph.D. in Mathematics, Université Paris VI Pierre et Marie Curie
1997 Diplom in Mathematics, University of Erlangen, after studies in Bonn, Bologna and Erlangen
Experiences
2004 - 2009 Quantitative Analyst for Commodity & Hybrid Derivatives at Dresdner Kleinwort, London
2002 - 2004 Lecturer in Mathematics at the University of Erlangen
Publications & Research
Research Papers:
- Maximum Entropy Distributions Inferred from Option Portfolios on an Asset.
(With Cassio Neri) To appear in Finance and Stochastics in 2012.
http://www.springerlink.com/openurl.asp?genre=article&id=doi:10.1007/s00780-011-0167-7
http://arxiv.org/PS_cache/arxiv/pdf/0903/0903.4542v3.pdf
- A Family of Maximum Entropy Densities Matching Call Option Prices.
(With Cassio Neri) Submitted, available on www.arxiv.org at
http://arxiv.org/PS_cache/arxiv/pdf/1102/1102.0224v1.pdf
EMLYON Cahier de Recherche 2011/01.
- The Impact of the Prior Density on a Minimum Relative Entropy Density:
A Case Study with SPX Option Data. (With Cassio Neri) Submitted, available on www.arxiv.org at
http://arxiv.org/PS_cache/arxiv/pdf/1201/1201.2616v1.pdf
- The dot.com Boom (and Bust): Stock Prices in Emerging Network Markets.
(With Tobias Kretschmer, LMU München and LSE). ICE Discussion Paper No. 0508, July 2008.
- Firm Value in Emerging Network Industries.
(With Tobias Kretschmer, LMU München and LSE).
Presentations
- EMLYON Commodities Workshop, Lyon (May 2011)
- 5th Brazilian Conference on Statistical Modelling in Insurance and Finance, Maresías (April 2011)
- MathFinance Conference, Frankfurt (joint presentation with Iain Clark, March 2011),
- French Inter Business School Finance Seminar 2011, Rouen (January 2011)
- A Maximum Entropy Model for Basket Products at WBS 5th Fixed Income Conference in Budapest, Hungary (September 2008)
- dot.com Boom and Bust at School of Management, Ludwig-Maximilian University, Munich, Germany (June 2008)
Research Interests
- Asset distributions implied by market data
- Entropy maximising techniques
- One- and multi-factor models of commodity futures curves
- Multi-asset derivatives and joint distributions
Rewards
DAAD and Erasmus Scholarships
Languages
German, English (native speaker), French, Italian (fluent), Spanish (basic)
Courses taught
Stochastic Methods for Finance
Commodities Modelling
An Introduction to Commodities Markets
C++ and VBA Programming Courses
Numerical Methods in C++