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Short CV

Thorsten Schulz finished his Diploma in Mathematics at Technische Universität München by September 2011. For a period of six month he worked as a student trainee at MEAG. The title of his diploma thesis is "A conditionally independence model for credit portfolios based on dependent intensities with incomplete information". From October 2011 to February 2012 Thorsten Schulz has been employed as research assistant at the chair of Mathematical Finance. Since March 2012, he is doing a Ph.D. at KPMG Center of Excellence in Risk Management with focus on dependence modeling.

 

Publications in Journals

2016

  • Bannör, K. F.; Schulz, T.: A general Ornstein-Uhlenbeck stochastic volatility model with Lévy jumps. International Journal of Theoretical and Applied Finance 19 (8), 2016, - more…
  • Scherer, M.; Schulz, T.: Extremal dependence for bilateral credit valuation adjustments. International Journal of Theoretical and Applied Finance (IJTAF) 19 (7), 2016 more…

2014

  • Mai, J.-F.; Scherer, M.; Schulz, T.: Sequential modeling of dependent jump processes. Wilmott Magazine 2014 (70), 2014, 54-63 more…

Book Contributions and Conference Proceedings

2015

  • Bannör, K. F.; Scherer, M.; Schulz, T.: A two-sided Gamma-OU-BNS model for multicurrency FX markets. In: Innovations in Quantitative Risk Management. Springer International Publishing, 2015 more…
  • Khedher, A.; Schulz, T.: Lévy-Prozesse unendlicher Aktivität. Risiko Manager (3), 2015, 7-10 more…

2014

  • Khedher, A.; Scherer, M.; Schulz, T.: Statistische Eigenschaften und historische Parameterschätzung. RISIKO MANAGER (17), 2014, 8-14 more…
  • Khedher, A.; Schulz, T.: Optionsbewertung in exponentiellen Lévy-Modellen. Risiko Manager (20), 2014, 13-18 more…