Christoph Auth

Implemented the Continuous Wavelet Transform and Wavelet Coherence for time-frequency analysis of financial time series using MATLAB. Used the above to investigate if hedge-fund returns can be considered uncorrelated with stock-market returns across different times and frequencies. Results clearly showed an increase in co-movements across all frequencies during periods of higher volatility.

Provided mathematical tutoring and coursework support to both high school students and undergraduates helping to develop their understanding of the subject and improve problem solving skills. Teaching included one-to-one lectures, as well as group sessions

Researched both the bank's clients and clients' competitors through annual reports and other publicly available information. Thus developed a database which also incorporated Credit Default Swap quotations, providing the team with necessary information to estimate risk premiums for clients

#Probability Theory and Stochastic Processes #Derivative Securities #Numerical Methods and Programming #C++ Modelling in Asset Pricing #Partial Differential Equations #Continuous Time Finance for Interest Rate Models #Financial Products and Engineering #Financial Time Series

#Econometrics #Time Series Analysis #Linear Algebra #Game Theory

#Research Project: Theory of ARCH/GARCH Models #Dissertation: Prediction Performance of High-Frequency Realized Volatility Estimates (Invited to apply for publication in the Bonn Journal of Economics)