Lorenz SCHNEIDER
Professor level 1
Research topics
1. Determining asset distributions for risk-neutral pricing implied by market data
2. Entropy maximising techniques
3. Multi-factor models of commodity Futures curves
4. Multi-asset derivatives and joint distributions
5. Stochastic volatility models
6. Share pricing in emerging network markets
Publications
Schneider, Lorenz, Tavin, Bertrand. 2024. Seasonal volatility in agricultural markets: modelling and empirical investigations. Annals of Operations Research, 334 (1-3) : 7-58 p.
Pierre, Erwan, Schneider, Lorenz. 2024. Intermittently coupled electricity markets. Energy Economics, 130 : 31 p.
André, Eric, Schneider, Lorenz, Tavin, Bertrand. 2023. Measuring Information Flows in Option Markets: A Relative Entropy Approach. Journal of Derivatives, 31 (2) : 73-99 p.
Neri, Cassio, Schneider, Lorenz. 2023. Euclidean Affine Functions and their Application to Calendar Algorithms. Software: Practice and Experience, 53 (4) : 937-970 p.
Belze, Loïc, Larmande, François, Schneider, Lorenz. 2020. Transaction Costs, Option Prices, and Model Risk in Fair Value Accounting. European Accounting Review, 29 (2) : 201-232 p.
Tavin, Bertrand, Schneider, Lorenz. 2018. From the Samuelson volatility effect to a Samuelson correlation effect: An analysis of crude oil calendar spread options. Journal of Banking and Finance, 95 : 185-202 p.
Belze, Loïc, Larmande, François, Schneider, Lorenz. 2016. La comptabilisation des rémunérations aux salariés en actions selon IFRS 2: Gestion du prix de modèle. Revue Française de Comptabilité, 499 : 26-28 p.
Neri, Cassio, Schneider, Lorenz. 2014. The Impact of the Prior Density on a Minimum Relative Entropy Density: A Case Study with SPX Option Data. Entropy, 16 (5) : 2642-2668 p.
Schneider, Lorenz. 2014. Firm value in emerging network industries. Information Economics and Policy, 26 (1) : 75-87
Neri, Cassio, Schneider, Lorenz. 2013. A Family of Maximum Entropy Densities Matching Call Option Prices. Applied Mathematical Finance, 20 (6) : 548-577 p.
Neri, Cassio, Schneider, Lorenz. 2011. Maximum entropy distributions inferred from option portfolios on an asset. Finance and Stochastics, 16 (2) : 293–318 P.
Academic articles
Schneider, Lorenz. 2013. Entropy, Relative Entropy and Variance Swaps. Technische Universität München, October 31, 2013. Technische Universität München
Schneider, Lorenz. 2013. Entropy, Relative Entropy, and the Fair Variance Swap Rate. Lyon, 4 Octobre 2013. Laboratoire SAF, Laboratoire de Sciences Actuarielle et Financière