Sebastian Schlenkrich

Dozent

Lectures

• Stochastische Finanzmathematik I (Stochastic Finance I), WS 2021/22
  • Introduction and One-Period Models
  • Dynamic Hedging in Discrete Time Models
  • Black-Scholes Model
  • Optimal Stopping and American Options
  • Introduction to Continuous Finance

• Interest Rate Modelling and Derivative Pricing, since WS 2018/19
  • Yield Curves and Linear Products
  •  Vanilla Option Models
  • Term Structure Modelling
  • Bermudan Swaption Pricing
  • Model Calibration
  • Sensitivity Calculation

Short CV

• since 2023, Managing Director, FRAME Consulting GmbH, Berlin
• since 2018, Instructor at HU Berlin
• 2013 - 2023, Manager, Senior Manager and Principal at d-fine GmbH, Frankfurt
• 2012 - 2013, Associate Director at UBS, London
• 2011, MSc Mathematical Finance, University of Oxford
• 2007 - 2012, Consultant and Senior Consultant at d-fine GmbH, Frankfurt
• 2007, PhD (Dr. rer. nat.) in Mathematics at TU Dresden
• 2004, Diplom in Mathematics at TU Dresden

Research Interests

• Interest rate and FX modelling
• Derivative pricing methodologies via PDE and Monte Carlo methods
• Sensitivity calculation via Algorithmic Differentiation
• Machine learning methods for finance applications