Lorenz Schneider

Lorenz SCHNEIDER is Associate Professor in Finance at EMLYON Business School, Lyon, France. He worked for six years as a Quantitative Analyst for Commodity and Hybrid Derivatives at Dresdner Kleinwort in the City of London. His research interests include asset distributions obtained via maximum entropy techniques and multi-factor models of commodity futures curves. He teaches courses on probability theory, commodity markets, and numerical techniques in C++. He holds a Ph.D. in Mathematics from the University Paris VI Pierre et Marie Curie.

EDUCATION

• 1998 - 2001 Ph.D. in Mathematics - Mention très honorable (very good), with Prof. Claire Voisin - Paris VI Pierre et Marie Curie University, France
  
• 1995 - 1997 Degree in Mathematics - University of Erlangen, Germany
• 1994 - 1995 Study of Mathematics - Università degli Studi di Bologna, Italy
• 1993 - 1994 Study of Mathematics - University of Erlangen, Germany
• 1991 - 1993 Study of Mathematics - University of Bonn, Germany
• 1991 Abitur at the Ohm-Gymnasium, Erlangen

EXPERIENCE

• 2004 -2009 Quantitative Analyst for Commodity, Credit & Hybrid Derivatives - Dresdner Kleinwort, London, United Kingdom
  • Modelling of Oil Derivatives: Two-Factor Monte Carlo simulation of entire futures curve; Pricing of standard and exotic trades using Python payoff scripts
  • Modelling of Commodity Derivatives: American and Asian Options on spot prices and futures contracts, barrier options, European basket options, digital basket options, exotic structures, using analytical formulas, tree and PDE-methods, and Monte Carlo simulation
  • Modelling of Equity/Fx/Commodity/Bond-Hybrid portfolios with volatility smile replicating, maximum entropy and copula Monte Carlo techniques
  • Modelling of Credit Derivatives: Credit Default Swaps, Knock-Out CDS, Index CDS, Equity Default Swaps, CDSwaptions, Index CDSwaptions, Constant Maturity CDS, Range Accrual CDS

EXPERTISE

• Probability Theory, Stochastic Calculus, Stochastic Processes
• Financial Modelling
• Commodities Markets & Modelling
• C++, programming asset pricing libraries
• Numerical Methods
• VBA & Excel

COURSES TAUGHT

Specialised Masters in Finance:

• Commodities Markets

• C++

• Numerical Methods

• Mathematics for Finance

Grande Ecole Program:

• Stochastic Methods for Finance / Probability

• Introduction to Commodities Markets

• VBA

RESEARCH INTEREST

• Determining asset distributions for risk-neutral pricing implied by market data
• Entropy maximising techniques
• Multi-factor models of commodity Futures curves
• Multi-asset derivatives and joint distributions
• Stochastic volatility models
• Share pricing in emerging network markets

PUBLICATIONS

ACADEMIC ARTICLES (6)

‑ Belze, Loïc, Larmande, François, , Schneider, Lorenz. 2016. La comptabilisation des rémunérations aux salariés en actions selon IFRS 2: Gestion du prix de modèle.Revue Française de Comptabilité, 499: 26-28 p.

‑ Tavin, Bertrand, Schneider, Lorenz. 2016. From the Samuelson volatility effect to a Samuelson correlation effect: An analysis of crude oil calendar spread options.Journal of Banking and Finance, FORTH

‑ Schneider, Lorenz. 2014. Firm value in emerging network industries.Information Economics and Policy, 26 (1): 75-87 P.

‑ Neri, Cassio, Schneider, Lorenz. 2014. The Impact of the Prior Density on a Minimum Relative Entropy Density : A Case Study with SPX Option Data.Entropy, 16 (5): 2642-2668 P.

‑ Neri, Cassio, Schneider, Lorenz. 2013. A Family of Maximum Entropy Densities Matching Call Option Prices.Applied Mathematical Finance, 20 (6): 548-577 P.

‑ Neri, Cassio, Schneider, Lorenz. 2011. Maximum entropy distributions inferred from option portfolios on an asset.Finance and Stochastics , 16 (2): 293–318 P.

PRESS ARTICLES (1)

‑ Ebach, Eva Marie, Scherer, Matthias, , Schneider, Lorenz. 2015. Was verraten Index- Optionen über zukünftige Abhängigkeiten?.Risiko Manager,