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
- 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)