Profil
Forschungsthemen
- Numerical and quantitative methods for financial modeling
- Valuation of equity and credit derivatives
- Optimization and simulation methods
- Stochastic processes
- Model calibration and model risk
- Mathematical algorithms and computational techniques
Ausbildungsziele
- Supervision of theses (B.Sc. and M.Sc.)
- Supervision of term papers
- Winter term 2023/24: Software Course: Applied Statistics 1 (w/ Python)
- Summer term 2023: Credit Risk Management (Tutorial)
- Winter term 2022/23: Derivative Securities (Lecture and Tutorial)
- Winter term 2021/22: Derivative Securities (Lecture)
- Summer term 2021: Credit Risk Management (Lecture)
- Winter term 2020/21: Derivative Securities (Lecture)
- Summer term 2020: Statistics 2 (Lecture)
- Winter term 2019/20: Statistics 1 (Lecture)
- Summer term 2019: Software Course: Applied Statistics 2 (w/ R and SAS)
- Winter term 2016/17: Derivative Securities (Tutorial)
- Summer term 2016: Statistics 3 (Tutorial)
- Winter term 2015/16: Derivative Securities (Tutorial)
- Summer term 2015: Statistics 3 (Tutorial)
- Winter term 2014/15: Derivative Securities (Lecture and Tutorial)
- Summer term 2014: Statistics 3 (Tutorial)
- Winter term 2013/14: Derivative Securities (Tutorial)
- Summer term 2013: Statistics 3 (Tutorial)
- Summer term 2012: International Finance (Lecture), Hannover International Summer School of Economics and Management (HISSEMA), Leibniz Universität Hannover
- Summer term 2011: International Finance (Lecture), Hannover International Summer School of Economics and Management (HISSEMA), Leibniz Universität Hannover
Zur Person
- 2013–dato Research assistant at the Chair of Statistics and Risk Management, Universität Regensburg, Faculty of Business, Economics and Management Information Systems
- 2011–2013 Research assistant at the Institute for Banking and Finance, Leibniz Universität Hannover, School of Economics and Management, Head of Faculty International Office with responsibilities for the coordination of international affairs and school's exchange programs
- 2010–2011 NORD/LB Market Risk Control
- 2008 Graduation (Diplom-Oeconom) Leibniz Universität Hannover, School of Economics and Management
Publikationen
Publications
- Arndt Claußen, Daniel Rösch and Martin Schmelzle (2019), Hedging parameter risk, Journal of Banking & Finance 100, 111–121, DOI: 10.1016/j.jbankfin.2019.01.003
- Martin Schmelzle (2018), Correlated default and parameter risk, Doctoral Dissertation, Gottfried Wilhelm Leibniz Universität Hannover, DOI: 10.15488/3942
- Rainer Jobst, Daniel Rösch, Harald Scheule and Martin Schmelzle (2015), A simple econometric approach for modeling stress event intensities, The Journal of Futures Markets 35(4), 300–320, DOI: 10.1002/fut.21695
Working papers
- Rainer Jobst, Daniel Rösch, Harald Scheule and Martin Schmelzle (2018), Expectations in markets for correlated default risk, Universität Regensburg and University of Technology Sydney, in: Martin Schmelzle (2018), Correlated default and parameter risk, Doctoral Dissertation, Gottfried Wilhelm Leibniz Universität Hannover, Chapter 2, DOI: 10.15488/3942
- Martin Schmelzle (2010), Option pricing formulae using Fourier transform: Theory and application, https://pfadintegral.com/articles/option-pricing-formulae-using-fourier-transform/
Talks
- Hedging parameter risk, 6th Workshop Banks and Financial Markets, October 2016, Universität Wien (jointly organized w/ Universität Augsburg and Deutsche Bundesbank), joint work w/ Arndt Claußen and Daniel Rösch
- Hedging of parameter errors in risk management, German Operations Research Society (GOR e.V.) Working Group on Financial Management and Financial Institutions (GOR AG FIFI), Universität Augsburg, April 2016, joint work w/ Arndt Claußen and Daniel Rösch
- Measuring parameter uncertainty in CDO pricing models, QMF2014 Quantitative Methods in Finance Conference, December 2014, University of Technology Sydney (UTS), joint work with Daniel Rösch and Stefan Weber
- Measuring parameter uncertainty in CDO pricing models, OR2014 International Conference on Operations Research, Business Analytics and Optimization, RWTH Aachen University, September 2014, joint work with Daniel Rösch and Stefan Weber
- Measuring parameter uncertainty in CDO pricing models, HVB PhD Seminar, November 2012, Universität Hamburg, joint work with Daniel Rösch and Stefan Weber
- Ratings based capital adequacy for securitizations, International Risk Management Conference Fifth Edition (IRMC), June 2012, Pontificia Università Lateranense, Vatican (Rome), Authors: Kristina Lützenkirchen, Daniel Rösch and Harald Scheule
Miscellanea
- Nomination of the diploma thesis “Optionspreisbewertung mit stochastischer Volatilität und Sprungprozessen – Eine Untersuchung am Deutschen Aktienindex” for the “Hochschulpreis David-Kopf 2008” and participation at the “Karriere-Preis der DZ Bank Gruppe” in 2009
- Study abroad (ERASMUS/SOCRATES) Universidad Rey Juan Carlos, Madrid and Universidad Complutense de Madrid
