Dr. Stefan Alex Popovici, (last update: July 2004)
|
Abteilung für Wahrscheinlichkeitstheorie und Statistik Institut für Angewandte Mathematik Rheinische Friedrich-Wilhelms-Universität Bonn Wegelerstraße 6 53115 Bonn Germany
|
Fields of Interest in Mathematical Finance:
Equity models with stochastic volatility and
jumps, Lévy processes and general semimartingales
applied to finance, Numerical methods for financial derivatives
(Monte Carlo, numerical PDEs, FFT), Equilibrium markets in continuous time.
Affiliation:
Department for Probability Theory and Statistics, Institute for Applied
Mathematics, University of Bonn, Germany,
Sonderforschungsbereich SFB 611 Bonn, "Singular Phenomena and
Scaling in Mathematical Models", A5,
Bonn International Graduate School in Mathematics and Physics.
Publications/Preprints/Working Papers
Courses/Teaching (
in German )
Sommersemester 2004, Seminarbetreuung: "Integration
in unendlichdimensionalen Räumen und ..."
Wintersemester 2003/2004,
Übungsguppenleitung: "Statistik und Stochastik der Finanzmärkte"
Sommersemester 2003, Seminarbetreuung
"Mathematische Modelle und Methoden für Finanzmärkte und Biologie"
Wintersemester 2002/2003, Übungsguppenleitung: Wahrscheinlichkeitstheorie I
Sommersemester 2001, Übungsgruppenleitung: Funktionalanalysis II
Wintersemester 2000/2001, Übungsgruppenleitung: Funktionalanalysis I
Education I studied
Mathematics, Computer Science and Finance in Bonn, Oxford and Paris and have
following degrees: PhD in
Mathematics (Dr. rer. nat., University of Bonn, "summa cum laude", Prof.
S. Albeverio, Prof. M. Schael) Masters in
Mathematics ( Diploma, University of Bonn, Grade 1.0, "with distinction", Prof.
S. Albeverio ) Masters in
Computer Science ( Diploma, University of Bonn, Grade 1.0, "with distinction",
Prof. Dr. A. Cremers ) Masters in
Mathematical Finance ( DEA Probabilités et Finance, Université Paris VI,
Rank 1 of 114, Prof. N. El-Karoui /Prof. M. Yor ) From 2001
to 2004 : PhD Scholarship of the German National Merit Foundation From 1997 to 2001
: Study Scholarship of the German National Merit Foundation Winner of the
German Federal Mathematics Competition (Bundeswettbewerb Mathematik, '94, '95,
'96 and '97) Winner of the
Mathematics Competition of the Land Hessen (Mathematikwettbewerb des Landes
Hessen)
Work Experience
2001 - 2002 : Quantitative Analyst at Global Equities
Derivatives Research, Deutschen Bank AG London (with Dr. M.
Overhaus).
Implementation of a C++ library for pricing and hedging exotic and
structured products using multidimensional Monte Carlo,
Fourier inversion, FFT, numerical solutions for PDEs, trees, etc.
Creation of automated trading spreadsheets.
October
2004 - ... : Associate, Quantitative Research, Credit Risk, Citadel
Investment Group, Chicago.
