Lorenz Schneider

Biography

Lorenz SCHNEIDER ASSOCIATE PROFESSOR Economics, Finance, Control Lorenz SCHNEIDER is Associate Professor in Finance at EMLYON Business School, Lyon, France. He worked for six years as a Quantitative Analyst for Commodity and Hybrid Derivatives at Dresdner Kleinwort in the City of London. His research interests include asset distributions obtained via maximum entropy techniques and multi-factor models of commodity futures curves. He teaches courses on probability theory, commodity markets, and numerical techniques in C++. He holds a Ph.D. in Mathematics from the University Paris VI Pierre et Marie Curie.

Research Interest

Determining asset distributions for risk-neutral pricing implied by market data Entropy maximising techniques Multi-factor models of commodity Futures curves Multi-asset derivatives and joint distributions Stochastic volatility models Share pricing in emerging network markets