I am junior professor of financial mathematics and probability theory at the Institute of Mathematics at TU Berlin. Before, I held positions at ETH Zurich, Aarhus University and at the FAM research group at TU Wien. My contact details are:
My area of research are stochastic processes with jumps - in particular affine processes - and their applications to stochastic volatility and interest rate modeling. I am also interested in properties and asymptotics of the implied volatility surface, and the analytical tools to study them, such as saddlepoint approximations, large deviation theory and moment explosions.
On the applied side I have worked on LIBOR models, short rate models and model calibration. On the theoretical side I am working mostly on affine processes, which remain a rich source of problems and challenges.
You can also have a look at this introduction to volatility smiles and calibration of option pricing models that I wrote some time ago.
Publications & Preprints
Preprints & Notes
Exponential Moments of Affine Processes (with Eberhard Mayerhofer). Submitted (2012).
Affine Processes on Symmetric Cones (with Christa Cuchiero, Eberhard Mayerhofer and Josef Teichmann). Submitted (2012).
Convex order properties of discrete realized variance and applications to variance options (with Claus Griessler). Submitted (2012).
A remark on Gatheral's 'most-likely path approximation' of implied volatility (with Josef Teichmann). Short note (2009).
An Intuitive Introduction to Operator Semi-groups: A short note on operator semi-groups and generators of Markov process. Written January 2006.
 Regularity of affine processes on general state spaces (with Walter Schachermayer and Josef Teichmann). Electronic Journal of Probability 18, no. 43, 1-17 (2013).
 Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models (with Antoine Jacquier and Aleksandar Mijatovic). Stochastics 85/2, 321-345 (2013).
 Asymptotic and Exact Pricing of Options on Variance (with Johannes Muhle-Karbe). Finance & Stochastics 17/1, 107-133 (2013).
 Polynomial processes and their applications to mathematical finance (with Christa Cuchiero and Josef Teichmann). Finance & Stochastics 16/4 711-740 (2012).
 On the Limit Distributions of Continuous-State Branching Processes with Immigration (with Aleksandar Mijatovic). Stochastic Processes and Applications 122, 2329-2345 (2012).
 Affine Processes are Regular (with Walter Schachermayer and Josef Teichmann). Journal of Probability Theory and Related Fields 151/3-4, 591-611(2011).
 The affine LIBOR models (with Antonis Papapantoleon and Josef Teichmann). Mathematical Finance (2012), DOI: 10.1111/j.1467-9965.2012.00531.x.
 Moment Explosions and Long-Term Behavior of Affine Stochastic Volatility Models. Mathematical Finance 21/1, 73-98 (2011).
 On convexity of solutions of ordinary differential equations (with Eberhard Mayerhofer and Alexander Smirnov). Journal of Mathematical Analysis and Applications 368/1 (2010).
 Moment Explosions in Stochastic Volatility Models (with Peter Friz). Contribution to Encyclopedia of Quantitative Finance (2009).
 Yield Curve Shapes and the Asymptotic Short Rate Distribution in Affine One-Factor Models (with Thomas Steiner). Finance & Stochastics 12/2, 149-172 (2008).
Affine Processes - Theory and Applications in Finance: A slightly updated version of my PhD thesis. Completed in January 2009 under supervision of Josef Teichmann.
Selected Talks and Presentations
Lecture Notes for a Minicourse on Affine Processes. November 2011 at the Workshop on Interest Rates and Credit Risk in Chemnitz, Germany.
On the limit distributions of continuous-state branching processes with immigration. June 2011 the Dynstoch Workshop in Heidelberg, Germany.
Pricing Options on Realized Variance - The Convex Order Conjecture. October 2010 at the AMaMeF Workshop in Berlin.
Affine Processes are Regular. October 2009 at the Forschungsseminar Stochastische Analysis und Stochastik der Finanzmärkte at the Humbold University in Berlin.
A new approach to LIBOR modeling. July 2009 at the Conference on stochastic processes and applications (SPA) in Berlin.
Moment Explosions and Long-Term Properties of Stochastic Volatility Models. February 2009 at the Conference on small time asymptotics, perturbation theory and heat kernel methods in mathematical finance in Vienna.
Affine Processes and Applications to Stochastic Volatility Modelling. January 2008 at the Weierstrass Institute in Berlin. The first part of this talk is a short introduction to affine processes.
Smile Asymptotics for Affine Stochastic Volatility Models. November 2007 at the Mini-Workshop on Calibration, Levy processes in finance, FFT, and related issues at the Vienna University of Technology.
Yield Curve Shapes and the Asymptotic Short Rate Distribution in Affine One-Factor Models. March 2007 at the Frankfurt MathFinance Workshop 2007 at the Frankfurt School of Finance and Management.
Non-Parametric Calibration of the Barndorff-Nielsen-Shephard Model. September 2006 at the Workshop on Financial Modelling with Jump Processes at the Ecole Polytechnique near Paris in France.