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
Working Papers
- Maximum Entropy Distributions Inferred from Option Portfolios on an Asset.
(With Cassio Neri) Submitted to Finance and Stochastics.
- 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.
Recent Presentations
- September 2008 A Maximum Entropy Model for Basket Products at WBS 5th Fixed Income Conference in Budapest, Hungary
- June 2008 dot.com Boom and Bust at School of Management, Ludwig-Maximilian University, Munich, Germany
Research Interests
- Determining asset distributions for risk-neutral pricing implied by market data
- Entropy maximizing techniques
- One- and two-factor models of commodity Futures curves
- Multi-asset derivatives and joint distributions
- Share pricing in emerging network markets
Rewards
DAAD and Erasmus Scholarships
Languages
German, English (native speaker), French, Italian (fluent), Spanish (basic)
Courses taught
Stochastic Methods for Finance
VBA Programming Course