Martin Schmelzle, Dipl.–Oec.

On this web page you can find some brief information about my educational background, main interests and specialization.

short bio

In 2008 I finished my studies at the Leibniz Universität Hannover, School of Economics and Management and graduated as ‘Diplom–Oeconom’. During my studies I spent one year in Madrid, Spain, via the ERASMUS/SOKRATES program, where the School maintains a partnership with the Universidad Rey Juan Carlos. My thesis is about option pricing with stochastic volatility and jump processes applied to German derivatives markets. After an episode in market risk control at a major North German Landesbank, I enjoy academic life with stations at the Leibniz Universität Hannover and the Universität Regensburg.

interests and specialization

Since graduating from university I enjoy working on topics related to the fascinating field of quantitative finance. To gain a deeper understanding of the theory of asset pricing and turning formulae into running code is a rewarding task.

For instance, there is ample evidence that many standard approaches in financial mathematics based on the normal distribution like, e.g., Black–Scholes option pricing are not always an adequate choice. In fact there are often heavy-tailed and leptokurtic data which are seen for a lot of underlying assets. I have a big interest in modeling and implementation of contemporary quantitative models for financial instruments taking into account these empirical issues and other ‘stylized facts’. This includes areas like

  • Numerical and quantitative methods for financial modeling
  • Optimization and simulation methods
  • Stochastic processes (with jumps)
  • Model calibration
  • Mathematical algorithms and computational techniques

want to know more ?

If you want to know more about me or my professional specialization, please, do not hesitate to contact me!