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Welcome
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I am a freelance quantitative analyst/developer working in Switzerland.
Formerly, I was senior quantitative analyst in a large family office in Pfaffikon SZ. I also spent one year abroad as research fellow
at the Center for
Operations Research and Econometrics and at the Econometric
Institute. I obtained my PhD in Bayesian econometrics at the University of Fribourg, Switzerland, under the
supervision of Prof. Dr. Philippe
Deschamps. Here is my detailed vitae.
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Bayesian GARCH
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My book Financial Risk Management with Bayesian Estimation of GARCH Models has
been published in the Springer's series Lecture Notes in Economics
and Mathematical Systems (summary,
link,
toc, errata). My monograph won the Chorafas
prize 2008 at the University of Fribourg. A review of the book
by Prof. Dr. Yannick Malevergne has been published in Mathematical Reviews (issue 2010b). Look
inside the book on Amazon.
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Publications
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R packages AdMit,
bayesGARCH, DEoptim
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