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Dr. Martin Schmelzle

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

  • Winter term 2014/15: Derivatives Instruments, Lecture
  • Summer term 2014: Statistics III
  • Winter term 2013/14: Derivatives Instruments
  • Summer term 2013: Statistics III
  • Summer term 2012: Hannover International Summer School of Economics and Management (HISSEMA), International Finance, Lecture, Leibniz Universität Hannover
  • Summer term 2011: Hannover International Summer School of Economics and Management (HISSEMA), International Finance, Lecture, Leibniz Universität Hannover

Zur Person

Short bio

  • 2013-dato Research assistant at the Chair of Statistics and Risk Management, Universität Regensburg, Faculty of Business, Economics, Information & Real Estate
  • 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 intenational 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

  • A Simple Econometric Approach for Modeling Stress Event Intensities (2015), The Journal of Futures Markets 35(4), 300-320, DOI: 10.1002/fut.21695, with Rainer Jobst, Daniel Rösch and Harald Scheule

Working paper

Talks

  • Measuring Parameter Uncertainty in CDO Pricing Models, QMF2014 Quantitative Methods in Finance Conference, December 2014, UTS University of Technology Sydney, 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
  1. Fakultät für Wirtschaftswissenschaften
  2. Institut für Betriebswirtschaftslehre

Lehrstuhl für Statistik und Risikomanagement

Wissenschaftlicher Mitarbeiter

Dr. Martin Schmelzle

Schmelzle 191 191

Gebäude RW(S), Zi. 219

Telefon +49 941 943-2296 Telefax +49 941 943-4936 E-Mail
Sprechstunde: nach Vereinbarung