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

 

Publications

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