Assistant Professor in Mathematical Finance

My CV

Teaching current term (Fall 2019):

• MATH CS 120: Special Topic (Random Graphs and Random Matrices)

Teaching previous terms (UCSB only):

• PSTAT 210: Measure Theory for Probability
• MATH CCS 121: Probability and Combinatorics (Spring 2019)
• PSTAT 160A: Applied Stochastic Processes (Winter 2019)
• PSTAT 160A: Applied Stochastic Processes (Fall 2018)
• PSTAT 170: Introduction to Mathematical Finance (Spring 2018)
• PSTAT 223C: Advanced Topics in Financial Modeling (Systemic Risk) (Spring 2018)
• PSTAT 170: Introduction to Mathematical Finance (Fall 2017)
• PSTAT 210: Measure Theory for Probability (Fall 2017)
• PSTAT 170: Introduction to Mathematical Finance (Winter 2017)
• PSTAT 221B: Advanced Probability Theory (Random Graphs and Systemic Risk) (Winter 2017)
• PSTAT 210: Measure Theory for Probability (Fall 2016)

Research Interests:

• Financial Mathematics: Systemic risk, energy markets and model risk
• Probability theory: Stochastic Analysis and Random graphs, especially percolation on random graphs

Publications:

• F.E. Benth, N. Detering, P. Krühner: Stochastic Volterra integral equations and a class of first order stochastic partial differential equations, submitted, 2019
• N. Detering, T. Meyer-Brandis, K. Panagiotou, D. Ritter: An Integrated Model for Fire Sales and Default Contagion, submitted, 2019
• F.E. Benth, N. Detering, P. Krühner: Independent increment processes: A multilinearity preserving property, submitted, 2018
• N. Detering, T. Meyer-Brandis, K. Panagiotou, D. Ritter: Suffocating Fire Sales, submitted, 2018
• N. Detering, T. Meyer-Brandis, K. Panagiotou, D. Ritter: Financial Contagion in a Generalized Stochastic Block Model, submitted, 2018
• S. Janusonis, N. Detering, R. Metzler, T. Vojta: Serotonergic axons as Fractional Brownian Motion paths: Insights into the self-organization of regional densities, submitted, 2019
• N. Detering, J.-P. Fouque, T. Ichiba: Directed Chain Stochastic Differential Equations, accepted: Stochastic Processes and their Applications
• N. Detering, T. Meyer-Brandis, K. Panagiotou: Bootstrap percolation in directed and inhomogeneous random graphs, accepted: Electronic Journal of Combinatorics
• N. Detering, T. Meyer-Brandis, K. Panagiotou, D. Ritter: Managing Default Contagion in Financial Networks, accepted: SIAM Journal on Financial Mathematics
• C. Christodoulou, N. Detering, T. Meyer-Brandis: Quadratic hedging with multiple assets under illiquidity with applications in energy markets, International Journal of Theoretical and Applied Finance, Vol. 21, No. 04, 2018
• N. Detering, T. Meyer-Brandis, K. Panagiotou, D. Ritter: Systemic Risk in Networks , accepted: Network Science - An Aerial View from Different Perspectives, 2019, Editors: F. Biagini, G. Kauermann, T. Meyer-Brandis
• S. Janusonis, N. Detering: A stochastic approach to serotonergic fibers in mental disorders, Biochemie, 2018
• N. Detering, N. Packham: The Model Risk of Contingent Claims, Quantitative Finance, 16:9 , Page 1357-1374, 2016
• F.E. Benth, N. Detering: Pricing and hedging asian-style options in energy, Finance & Stochastics, Vol. 19(4), Page 849-889, 2015
• N. Detering, N. Packham: Model risk in incomplete markets with jumps, Springer Proceedings in Mathematics & Statistics, Vol. 99, K. Glau et al: Innovations in Quantitative Risk Management, 2014
• N. Detering, A. Weber, U. Wystup: Return distributions of equity-linked retirement plans under jump and interest rate risk, European Actuarial Journal Vol. 3(1), Page 203-228., 2013
• N. Detering, A. Weber, U. Wystup: Return distributions of equity-linked retirement plans, Statistical Tools for Finance and Insurance, 2.Ed., Berlin: Springer, S. 393-413., 2011