About me:

I work in the industry as a "quant", doing research and development on many topics in finance, ranging from high-frequency data to long term forecasts, from option pricing to bond portfolio construction, from optimizing market orders to risk evaluations for complex portfolios. Recurring themes in my work are volatility, ARCH processes and their applications. I held various positions at banks, hedge funds and service providers and have written over 30 research papers in finance, most of them using careful empirical analyses combined with mathematical models. In a former life, I was as a physicist.