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

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

Research Interests

• Interest rate and FX modelling
• Derivative pricing methodologies via PDE and Monte Carlo methods
• Sensitivity calculation via Algorithmic Differentiation