Profile of Jörg Wenzel

Fields of Activity / Competences

  • Design and development of efficient algorithms for fraud detection
  • Monte-Carlo methods, especially Multilevel and Markov chain
  • Validation models and algorithms for structured products and derivatives 
  • Modeling and simulation of pension products



Major Publications

  • Pietsch, A.; Wenzel, J.:
    Orthonormal systems and Banach space geometry.
    Cambridge University Press, S. 563, (1998)
  • Sayer, T.; Wenzel, J.:
    From Model to Application: Calibration to Market Data.
    C. de Schryver (ed.): FPGA Based Accelerators for Financial Applications, 33-54, (2015)
  • Acar, S. K.; Korn, R.; Natcheva-Acar, K.; Wenzel, J.:
    A Two-Factor HJM Interest Rate Model for Use in Asset Liability Management.
    Asset and Liability Management Handbook, Palgrave Macmillan, (2011)

A collection of publications by Jörg Wenzel in the Fraunhofer-Publica