Interest Rate Modeling and Pricing of Structured Callable Products

In general the research concentrates on modeling of multi-dimensional financial systems and evaluation of related complex structured products, with particular focus on the (LIBOR) interest rate area. As such the interest rate curve is modeled as a multi-dimensional object via a system of Levy driven SDEs with stochastic volatility. On the one hand, the calibration of such a system to liquidly traded market data and to historical time series information has been a challenge for decades. On the other hand, the valuation of complex structured callable products requires efficient algorithms for optimal stopping and control problems in an multi-dimensional environment. In both respects the group has been carried out cutting edge research that is published in prestigious journals and also carried out different cooperation projects with banks. More details can be found here.

Selected Publications