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Dr. Christoph Gerhart

Former Research Assistant of the Department of Quantitative Finance

 

Contact

Dr. Christoph Gerhart
       Portrait_Christoph
 
 
 
 
 
 

 

 

Teaching

WS 2016/2017: Advanced Financial Modelling (Tutorial)

WS 2016/2017: Portfolio Management (Seminar)

SS 2017: Futures and Options (Tutorial)

WS 2017/2018: Interest Rate Theory and Applications (Lecture)

SS 2018: Portfoliomanagement (Lecture)

WS 2018/19: Futures and Options (Lecture) and R Applications in Finance (Seminar)

SS 2019: Principles of Finance and Portfolio Management (Lectures)

 

Research

  • Modelling of credit- und liquidity risk
  • Interest Rate Theory
  • Stochastic analysis
  • Calibration
  • Machine Learning
  • Portfoliotheory
  • Two-Price Theory

 

Publications

Dissertation: A multiple-curve Lévy forward rate model in a two-price economy

A multiple-curve Lévy forward rate model in a two-price economy (with Prof. Dr. Eberlein), Journal of quantitative finance

Multiple-curve Lévy forward price model allowing for negative rates (with Prof. Dr. Eberlein and Prof. Dr. Grbac), Mathematical Finance

Empirical Analysis and Forecasting of Multiple Yield Curves (with Prof. Dr. Lütkebohmert-Holtz), Working Paper

Forecasting of Multiple Yield Curves Based on Machine Learning (with Prof. Dr. Lütkebohmert-Holtz and Marc Weber), Proceedings, International conference on Time Series and Forecasting

Robust Forecasting of Multiple Yield Curves (with Prof. Dr. Lütkebohmert-Holtz and Marc Weber), Springer Book (Statistics)

 

Conferences

Conference on Liquidity and Credit Risk, 2012, University of Freiburg

Ars Conjectandi, 2013, University of Freiburg

Term Structure Workshop, 2017, Deutsche Bundesbank

Robust Methods in Probability & Finance, 2017, ICERM Brown University

Robust Methods in Probability & Finance, 2018, University of Freiburg

German Probability and Statistics Days, 2018, University of Freiburg

International Risk Management Conference, 2018, Paris

Bachelier Conference, 2018, Trinity College Dublin

International Conference on Time Series and Forecasting, 2018, Granada

bwHPC symposium, 2018, University of Freiburg

Lange Nacht der Universität, 2018, University of Freiburg

ASSA Annual Meeting, Poster, 2019, Atlanta

International Conference on Forecasting Financial Markets, 2019, Venedig

International Congress on Industrial and Applied Mathematics, 2019, Valencia

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