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Dr. Christoph Gerhart

Ehem. wissenschaftlicher Mitarbeiter der Abteilung für Quantitative Finanzmarktforschung

 

 

Dr. Christoph Gerhart
Portrait_Christoph
 
 
 
 
 
 

 

 

Lehre

WS 2016/2017: Advanced Financial Modelling (Übung)

WS 2016/2017: Portfoliomanagment (Seminar)

SS 2017: Futures and Options (Übung)

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

SS 2018: Portfoliomanagement (Vorlesung, Übung)

WS 2018/19: Futures and Options (Vorlesung) und R Anwendungen in Finance (Seminar)

SS 2019: Principles of Finance und Portfoliomanagement (Vorlesungen) 

 

Forschungsinteressen

  • Modellierung von Kredit- und Liquiditätsrisiko
  • Zinsstrukturtheorie
  • Stochastische Analysis
  • Kalibrierung
  • Machine Learning
  • Portfoliotheorie
  • Zweipreistheorie

 

Publikationen

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 (mit Prof. Dr. Eberlein), Journal of quantitative finance

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

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

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

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

 

Konferenzen

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

Benutzerspezifische Werkzeuge