Curriculum Vitae

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Education
1994 - 1997: doctorate at Humboldt University, Berlin
1993 - 1994: Fulbright grant; Columbia University, New York City
1988 - 1993: diploma in mathematics at Humboldt University
Academic Positions
1999 to present: research assistant at the Weierstraß-Institut für Angewandte Analysis und Stochastik
1994 - 1999: research assistant at the Sonderforschungsbereich 373 ``Quantification and Simulation of Economic Processes''
1992 - 1993: teaching assistant at Humboldt University
Teaching
``Riskmanagement for Financial Institutions'' at Humboldt University Berlin: winter term 2001/2002, winter term 2000/2001
Publications
"The Cornish-Fisher-Expansion in the Context of Delta-Gamma-Normal Approximations", 2002, Journal of Risk, vol 4(4), pp.33-52.
"Maths of all angles", GARP Risk Review, 2002, May/June, vol.6, pp.28-33.
"Approximating Value at Risk in Conditional Gaussian Models" with Yuze Yiang, 2002, in Applied Quantitative Finance, Springer, edited by Wolfgang Härdle, Torsten Kleinow, and Gerhard Stahl.
"Coherent Risk Measures and Good-Deal Bounds" with Uwe Küchler, 2001, Finance and Stochastics, vol 5(2), p.181-200.
"Arbitrage und die Gültigkeit des Barwertprinzips im Markt für Bundeswertpapiere" with Richard Stehle and Stephan Wernicke. Zeitschrift für betriebswirtschaftliche Forschung, Jul/Aug 2000, pp.440-468.
"Super-Hedging and Arbitrage Pricing of Bonds and Interest Rate Derivatives", 1998, Shaker-Verlag, Aachen, ISBN 3-8265-3380-1.
"Arbitrage Bounds for the Term Structure of Interest Rates", 1998, Finance and Stochastics, vol 2(1), pp.29-40.
Selected Working Papers
 
Postdoc Positions, Summer Schools, and Research Visits
CNR Padova, February 2002, 1 week
CNR Padova, June 2001, 2 weeks
Ulm University, September 1999, 2 weeks
Padova University, November 1998, 2 weeks
Stockholm Business School, November 1997, 3 weeks
Aarhus University, October 1997, 1 week
Postdoc at Laboratoire de Probablités, Paris Jussieu, October-December 1996
Odense, Research Course in Dynamic Asset Pricing (Darell Duffie), September 1996, 2 weeks
Ascona, Summer School of Swiss Actuaries, August 1995, 1 week
Aarhus University, November 1994, 4 weeks
Consulting
2000/2001: Contributions to an expert opinion by Professor Richard Stehle on risk management for Bankgesellschaft Berlin.
1999: Implementation of a statistical database backend for risk measurement using C++ and POET (Bankgesellschaft Berlin).
1999: Consulting for CADAC GmbH, Berlin; tests of random numbers for equidistribution and independence.
Internships
1993: Intern/Programmer at Deutsche Bank Research, Frankfurt; time series analysis for interest rates in C++
1991: Intern at IDUNA-Nova insurance, Hamburg; insurance calculations in APL
1986: Application Programmer for the Department of Transport of the GDR; database applications implemented in Turbo Pascal
Memberships
Deutsche Gesellschaft für Finanzwirtschaft (German Finance Association)
Bachelier Finance Society
European Finance Association
Verein für Socialpolitik

last reviewed: February 19, 2003, Stefan Jaschke