Fellowship
Carl von Linde Junior Fellow
Appointment
2008
Institution
Ulm University
Department
Institute of Mathematical Finance
Host
Claudia Klüppelberg
Focus Group
Risk Analysis and Stochastic Modeling
From 2000 to 2005 Robert Stelzer studied mathematical finance and economics at Technische Universität München and at University of Århus at the Department of Mathematical Sciences. In January 2005 he received his diploma from TUM (thesis: “On Markov-Switching Models – Stationarity and Tail Behaviour”). From 2005 he was doing research for his doctoral thesis in mathematics at TUM (dissertation: “Multivariate Continuous Time Stochastic Volatility Models Driven by a Lévy Process“. Examiners: Prof. Dr. C. Klüppelberg, Prof. Dr. A. Lindner, Prof. Dr. J. Jacod). In October 2007 he became a research assistant at the Chair of Mathematical Statistics at TUM and worked as a post-doctoral researcher. From 2008 until 2011 Robert Stelzer was a Carl von Linde Junior Fellow. In April 2011 he obtained the professorship at the Institute of Mathematical Finance of Ulm University.
Stelzer has intensively studied multivariate models driven by Lévy processes - both models especially designed for finance and, more general, time series models in continuous time. He has been working on Markov-switching models and the discrete approximation of Lévy driven stochastic differential equations.
As a Carl von Linde Junior Fellow he is soon to be joined by several Ph.D. students and plans to work on projects like “Extreme value theory and risk analysis for multivariate stochastic processes”, “Numerical methods for Lévy driven stochastic differential equations”, “Statistical analysis of Lévy driven continuous time processes” and “Properties of matrix-valued Lévy processes and matrix subordinators”.