Prof. Dr. Christian Pigorsch

E-mail: christian.pigorsch(at)
Phone: +49 228 73 3920
Institute: Department of Economics

Academic Career


Diploma in Quantitative Economics


Dr. rer. nat., University of Munich


Junior Professor (W1), Bonn

Research Profile

My research interests are in the broad field of financial econometrics. This includes the estimation of stochastic differential equations as well as exploiting the information contained in high-frequency financial market data in order to construct more precise daily volatility measures. A typical example is the separation of the price variation into the variation coming from price jumps and the variation due to the continuous price evolvement.

Contribution to Research Areas

Research Area H
Most financial market models are given as a continuous time model. However, the estimation of these models is complicated by the availability of only discretely observed data, which requires the use and development of appropriate non-standard econometric methods. In a joint project with Stefan Ankirchner we establish new continuous-time models for cross-hedging risk. The estimation of these models via well-suited econometric methods allows us to highlight the practical relevance of our setup.

MathSciNet Publication List (external link)

Supervised Theses

  • Bachelor theses: 10, currently 4
  • Master theses: 2, currently 2
  • Diplom theses: 3, currently 1
  • PhD theses: 1, currently 1
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