Andreas Weber
Andreas is working as a Senior Financial Engineer and Partner at MathFinance AG
responsible for developing pricing tools for financial derivatives. His main focus
is on modeling and implementation of valuation methods in FX. He is also offering
consultancy on implementing quantitative methods.
Previously he worked in the Financial Engineering team of Commerzbank AG, being
responsible for Foreign Exchange options. This included the modeling and development
of valuation and hedging tools for the FX Options desk, both OTC and listed products,
the continuous maintenance and extension of the trading platform with exotic options
as well as the coordination in this field of the bank-wide valuation platform with
the IT, Risk Controlling, and Risk management groups.
Articles
-
Return distributions of equity-linked retirement plans under jump and interest rate
risk by Nils Detering, Andreas Weber and Uwe Wystup, European Actuarial Journal,
June 2013 (DOI 10.1007/s13385-013-0061-0, Print ISSN 2190-9733, Online ISSN 2190-9741)
- Pricing Formulae for Foreign Exchange Options (pdf), joint with Uwe Wystup, Contribution to Encyclopedia of Quantitative Finance, Wiley. January
2009.
- Vergleich von Anlagestrategien bei Riesterrenten ohne Berücksichtigung von
Gebühren: Eine Simulationsstudie zur Verteilung der Renditen (slides
in German), joint with Uwe Wystup, Research Report, Center for Practical Quantitative
Finance, Frankfurt School of Finance & Management. August 2008.
- Riesterrente im Vergleich: Eine Simulationsstudie zur Verteilung der Renditen (slides
in German), joint with Uwe Wystup, Research Report, Center for Practical Quantitative
Finance, Frankfurt School of Finance & Management. August 2008.
- Quasi random numbers and their application to pricing basket and lookback options,
joint with Jürgen Hakala, Tino Senge and Uwe Wystup, Foreign Exchange
Risk, Risk Publications, London 2002.