Dr. Kay Frederik Pilz

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Current Affiliation	Contact
Senior Quantitative Analyst E.ON Energy Trading Düsseldorf, Germany

Professional Interests

Modeling of Financial and Real Commodity Derivatives, Modeling of Hybrid Markets and Multi-Asset Structures,
Statistical Arbitrage and Quantitative Trading

Previous Affiliations

• University of Technology, Sydney, Australia
  Senior Research Associate
  
  
• Sal. Oppenheim jr. & Cie., Investment Bank, Frankfurt
  Quantitative Analysis Group
  
• Ruhr-University of Bochum
  PhD Position

Publications

• "A 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.
• "A Simple Nonparametric Estimator of a Monotone Regression Function" (with H. Dette and N. Neumeyer). Bernoulli, 2006, Volume 12, No. 3. Preprint.
• "A Comparative Study of Monotone Nonparametric Kernel Estimates" (with H. Dette). Journal of Statistical Computation and Simulation, 2006, Volume 76, No. 1. Preprint and Table.
• "On 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.
• "Basket Volatility and Correlation" (with M. Fengler and P. Schwendner). In "Volatility as an Asset Class" edited by Israel Nelken, Risk Books, 2007. Risk Book.
• "Nonparametric Option Pricing with No-arbitrage Constraints" (with M. Birke). Journal of Financial Econometrics, 2009, Volume 7, No. 2. Preprint.
• "Stochastic Volatility Models in Foreign Exchange" (with S. Griebsch). Encyclopedia of Quantitative Finance, edited by Rama Cont, Wiley.
• "A Hybrid Commodity and Interest Rate Market Model" (with E. Schlögl). Submitted. Preprint.

Conference Talks

• 6th World Congress of the Bernoulli Society, 26 - 31 July 2004 in Barcelona. Talk "A Simple Nonparametric Estimator of a Monotone Regression Function". Conference Link.
• 4th World Congress of the Bachelier Finance Society, 17 - 20 August 2006 in Tokyo. Talk "A New Method for Nonparametric Option Pricing under Constraints". Conference Link.
• Frankfurt 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”. Conference Link.
• Frankfurt 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”. Conference Link.