Professor of Mathematical Finance at Ulm University
Robert Stelzer graduated from Technische Universität München (TUM) in 2005 and obtained his PhD in Mathematics there in 2007. His PhD thesis was awarded the prize for outstanding dissertations by the probability and statistics group of the German Mathematical Society. From 2008 to 2011 he led as a Carl-von-Linde Junior Fellow an independent junior research group at the TUM Institute for Advanced Studies within its focus research area “Risk Analysis and Stochastic Modeling” before accepting an offer from Ulm University to become full professor of mathematical finance in 2011. At Ulm University, Robert Stelzer is engaged in the research training group “Modeling, analysis and simulation in economathematics” and the Master program “Finance”. He is Associate Editor of “Statistics and Risk Modeling” and “Journal of Mathematical Analysis and Applications”.
Robert’s main research areas are multivariate stochastic volatility models driven by Lévy processes and continuous time models for time series. Moreover, he is interested in extreme value theory, stochastic analysis, Markov-switching models and random matrices and their applications in high-dimensional statistics. His research has been published in various journals including Annals of Applied Probability, Bernoulli, Econometric Theory, Electronic Journal of Statistics, Mathematical Finance and Stochastic Processes and Their Applications.