- One-Page Overviews (PDF)
- resume
- tabellarischer Lebenslauf
- 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