Profile
Profile

Prof. Dr. Christian Pigorsch

E-mail: christian.pigorsch(at)uni-bonn.de
Phone: +49 228 73 3920
Homepage: http://ect-pigorsch.ect.uni-bonn.de/html/index.html
Institute: Department of Economics
Research Area: Research Area H
Date of birth: 14.Sep 1976
Mathscinet-Number: 866359

Academic Career

2002

Diploma in Quantitative Economics

2007

Dr. rer. nat., University of Munich

2007--

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.

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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