Kay Frederik Pilz
E.ON Energy Trading
Modeling of Financial and Real Commodity Derivatives, Modeling of Hybrid Markets and Multi-Asset Structures,
Statistical Arbitrage and Quantitative Trading
- University of Technology,
Senior Research Associate
- Sal. Oppenheim jr. & Cie.,
Investment Bank, Frankfurt
Quantitative Analysis Group
- Ruhr-University of Bochum
Note on Nonparametric Estimation of the Effective Dose in Quantal
Bioassay" (with H. Dette and N. Neumeyer). Journal of the American
Statistical Association, 2005, Volume 100, June. Preprint.
Simple Nonparametric Estimator of a Monotone Regression Function"
(with H. Dette and N. Neumeyer). Bernoulli, 2006, Volume 12, No. 3. Preprint.
Comparative Study of Monotone Nonparametric Kernel Estimates" (with
H. Dette). Journal of Statistical Computation and Simulation, 2006, Volume
76, No. 1. Preprint
the Estimation of a Monotone Conditional Variance in Nonparametric
Regression" (with H. Dette). Annals of the Institute of Statistical
Mathematics, 2009, Volume 61, No. 1. Preprint.
Volatility and Correlation" (with M. Fengler and P. Schwendner). In
"Volatility as an Asset Class" edited by Israel Nelken, Risk
Books, 2007. Risk
Option Pricing with No-arbitrage Constraints" (with M. Birke).
Journal of Financial Econometrics, 2009, Volume 7, No. 2. Preprint.
Volatility Models in Foreign Exchange" (with S. Griebsch). Encyclopedia
of Quantitative Finance, edited by Rama Cont, Wiley.
Hybrid Commodity and Interest Rate Market Model" (with E. Schlögl). Submitted.
World Congress of the Bernoulli Society, 26 - 31 July 2004 in Barcelona.
Talk "A Simple Nonparametric Estimator of a Monotone Regression
World Congress of the Bachelier Finance Society, 17 - 20 August 2006 in
Tokyo. Talk "A New Method for Nonparametric Option Pricing under
MathFinance Conference 2008, 17 - 18 March 2008 in Frankfurt. Talk
"Option Pricing with No-Arbitrage Constraints". Conference Link
and MathFinance Link.
- 15th International Conference on Computing in
Economics and Finance, 15 - 17 July 2009 in Sydney. Talk “Valuation of
Continuous Barrier Options under Heston’s Stochastic Volatility Dynamics”.
MathFinance Conference 2011, 14 - 15 March 2011 in Frankfurt. Talk
"A Hybrid Commodity and Interest Rate Market Model". Conference Link
and MathFinance Link.
- 2nd Annual Practical Quantitative Analysis in Commodities,
8 - 10 June 2011 in London. Talk “Hybrid Interest Rate and Commodity Modelling”.