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Associate Professor

Lorenz SCHNEIDER is Associate Professor in Finance at EMLYON Business School, Lyon, France. He worked for six years as a Quantitative Analyst for Commodity and Hybrid Derivatives at Dresdner Kleinwort in the City of London. His research interests include asset distributions obtained via maximum entropy techniques and multi-factor models of commodity futures curves. He teaches courses on probability theory, commodity markets, and numerical techniques in C++. He holds a Ph.D. in Mathematics from the University Paris VI Pierre et Marie Curie.


  1. 1998 - 2001 Ph.D. in Mathematics - Mention très honorable (very good), with Prof. Claire Voisin - Paris VI Pierre et Marie Curie University, France       
  2. 1995 - 1997 Degree in Mathematics - University of Erlangen, Germany
  3. 1994 - 1995 Study of Mathematics - Università degli Studi di Bologna, Italy
  4. 1993 - 1994 Study of Mathematics - University of Erlangen, Germany
  5. 1991 - 1993 Study of Mathematics - University of Bonn, Germany
  6. 1991 Abitur at the Ohm-Gymnasium, Erlangen


  1. 2004 -2009 Quantitative Analyst for Commodity, Credit & Hybrid Derivatives - Dresdner Kleinwort, London, United Kingdom
  • Modelling of Oil Derivatives: Two-Factor Monte Carlo simulation of entire futures curve; Pricing of standard and exotic trades using Python payoff scripts
  • Modelling of Commodity Derivatives: American and Asian Options on spot prices and futures contracts, barrier options, European basket options, digital basket options, exotic structures, using analytical formulas, tree and PDE-methods, and Monte Carlo simulation
  • Modelling of Equity/Fx/Commodity/Bond-Hybrid portfolios with volatility smile replicating, maximum entropy and copula Monte Carlo techniques
  • Modelling of Credit Derivatives: Credit Default Swaps, Knock-Out CDS, Index CDS, Equity Default Swaps, CDSwaptions, Index CDSwaptions, Constant Maturity CDS, Range Accrual CDS


  1. Probability Theory, Stochastic Calculus, Stochastic Processes
  2. Financial Modelling
  3. Commodities Markets & Modelling
  4. C++, programming asset pricing libraries
  5. Numerical Methods
  6. VBA & Excel

Courses taughtTop

  1. Specialised Masters in Finance:

- Commodities Markets

- C++

- Numerical Methods

- Mathematics for Finance

  1.  Grande Ecole Program:

- Stochastic Methods for Finance / Probability

- Introduction to Commodities Markets


Research InterestTop

  1. Determining asset distributions for risk-neutral pricing implied by market data
  2. Entropy maximising techniques
  3. Multi-factor models of commodity Futures curves
  4. Multi-asset derivatives and joint distributions
  5. Stochastic volatility models
  6. Share pricing in emerging network markets