Nils Detering
Assistant Professor in Mathematical Finance
Department of Statistics & Applied Probability
University of California, Santa Barbara
Santa Barbara, CA 93106, USA
Email: detering[at]pstat.ucsb.edu
Office: South Hall 5505
Office Hours: Wednesday 5:00-6:00 pm (MATH CS 120)
                      Monday 5:00-6:00 pm (Undergraduate Advising)
Teaching current term (Winter 2021):
- PSTAT 160A: Applied Stochastic Processes
Teaching previous terms (UCSB only):
- MATH CS 120: Special Topic (Random Graphs and Random Matrices) (Spring 2020)
- MATH CCS 121: Probability and Combinatorics (Spring
2019, Fall 2020)
- PSTAT 160A: Applied Stochastic Processes (Fall 2018, Winter 2019)
- PSTAT 223C: Advanced Topics in Financial Modeling (Systemic Risk) (Spring 2018)
- PSTAT 170: Introduction to Mathematical Finance
(Winter 2017, Fall 2017, Spring 2018)
- PSTAT 221B: Advanced Probability Theory (Random Graphs and Systemic Risk) (Winter 2017)
- PSTAT 210: Measure Theory for Probability (Fall 2016,
Fall 2017, Fall 2019, Fall 2020)
Research Interests:
- Financial Mathematics: Systemic risk, energy markets and model risk
- Probability theory: Stochastic Analysis and Random graphs, especially percolation on random graphs
Publications:
- Abstract polynomial processes, with F.E. Benth and P. Krühner
submitted, 2020
- Stochastic Volterra integral equations and a class of first order stochastic partial differential equations, with F.E. Benth and P. Krühner
submitted, 2020
- Accuracy of Deep Learning in Calibrating HJM Forward Curves, with F.E. Benth and S. Lavagnini
submitted, 2019
- Suffocating Fire Sales, with T. Meyer-Brandis, K. Panagiotou and D. Ritter
submitted, 2018
- Financial Contagion in a Stochastic Block Model, with T. Meyer-Brandis, K. Panagiotou and D. Ritter
accepted International Journal of Theoretical and Applied Finance
- Independent increment processes: A multilinearity preserving property, with F.E. Benth and P. Krühner
accepted Stochastics: An International Journal of Probability and Stochastic Processes
- An Integrated Model for Fire Sales and Default Contagion, with T. Meyer-Brandis, K. Panagiotou and D. Ritter
accepted Mathematics and Financial Economics
- Serotonergic axons as Fractional Brownian Motion paths: Insights into the self-organization of regional densities, with S. Janusonis, R. Metzler and T. Vojta
accepted: Frontiers In Computational Neuroscience
- Directed Chain Stochastic Differential Equations with J.-P. Fouque and T. Ichiba
Stochastic Processes and their Applications, 130(4) April 2020, Page 2519-2551
- Bootstrap percolation in directed and inhomogeneous random graphs, with T. Meyer-Brandis and K. Panagiotou
Electronic Journal of Combinatorics, 26(2), 2019, Page 1-43
- Managing Default Contagion in Financial Networks, with T. Meyer-Brandis, K. Panagiotou and D. Ritter
SIAM Journal on Financial Mathematics, 10(2), 2019, Page 430-465
- Quadratic hedging with multiple assets under illiquidity with applications in energy markets, with C. Christodoulou and T. Meyer-Brandis
International Journal of Theoretical and Applied Finance, Vol. 21, No. 04, 2018
- Systemic Risk in Networks , with T. Meyer-Brandis, K. Panagiotou and D. Ritter
Network Science - An Aerial View from Different Perspectives, 2019, Editors: F. Biagini, G. Kauermann, T. Meyer-Brandis
- A stochastic approach to serotonergic fibers in mental disorders, with S. Janusonis
Biochemie, 2018
- The Model Risk of Contingent Claims, with N. Packham
Quantitative Finance, 16:9 , Page 1357-1374, 2016
- Pricing and hedging asian-style options in energy, with F.E. Benth
Finance & Stochastics, Vol. 19(4), Page 849-889, 2015
- Model risk in incomplete markets with jumps, with N. Packham
Springer Proceedings in Mathematics & Statistics, Vol. 99, K. Glau et al: Innovations in Quantitative Risk Management, 2014
- Return distributions of equity-linked retirement plans under jump and interest rate risk, with A. Weber and U. Wystup
European Actuarial Journal Vol. 3(1), Page 203-228., 2013
- Return distributions of equity-linked retirement plans, with A. Weber and U. Wystup
Statistical Tools for Finance and Insurance, 2.Ed., Berlin: Springer, S. 393-413., 2011