Profile of Prof. Dr. Andreas Wagner

Fields of Activity / Competences

• Data Science and Machine Learning
• Risk measurement and valuation of derivatives in the energy sector
• Modeling and simulation of pension products
• Loss extrapolation
• »Fraunhofer-Forschungsmanager«

 

Publications

Major Publications

• Wagner, A.:
  Residual demand modeling and application to electricity pricing.
  The Energy Journal, Vol. 35 (2), (2014).
• Korn, R.; Wagner, A.:
  Chance-risk classification of pension products: Scientific concepts and challenges.
  Innovations in Insurance, Risk- and Asset Management, (2018).
• Hinderks, W.J.; Wagner, A.:
  Pricing German Energiewende products: intraday cap/floor futures.
  Energy Economics, Vol. 81, 287-296 (2019).
• Hinderks, W.J.; Korn, R.; Wagner, A.:
  A structural Heath–Jarrow–Morton framework for consistent intraday spot and futures electricity prices.
  Quantitative Finance, Volume 20, Issue 3, Pages 347-357, (2020).