dr. Nikolaus Schweizer

Bio

Before coming to Tilburg as an assistant professor in September 2016, I held postdoctoral positions at the University of Duisburg-Essen, Saarland University, and the University of Bonn. In February 2012, I defended my doctoral dissertation on Non-asymptotic Error Bounds for Sequential MCMC Methods, written under the supervision of Andreas Eberle at the Institute for Applied Mathematics, University of Bonn.

Please find my CV here.

Expertise

My research focuses on Monte Carlo simulation methods, in particular MCMC and LSMC, often in connection with problems from quantitative finance and risk management. I am also interested in the economics of risk, uncertainty, information and time.

My past and present working papers are found either on SSRN or arXiv.

Courses

• Asset Liability Management
• Games and Economic Models
• Valuation and Risk Management

Recent publications

1. Contingent capital with stock price triggers in interbank networks

   Balter, A., Schweizer, N., & Vera, J. C. (2023). Contingent capital with stock price triggers in interbank networks. Mathematics of Operations Research, 48(1), 520-543.

2. Comment on A theoretical foundation of ambiguity measurement

   Fu, R., Melenberg, B., & Schweizer, N. (2023). Comment on A theoretical foundation of ambiguity measurement. Journal of Economic Theory, 207, Article 105573.

3. Information nudges and self-control

   Mariotti, T., Schweizer, N., Szech, N., & von Wangenheim, J. (2023). Information nudges and self-control. Management Science, 69(4), 2182-2197.

4. Rabin’s calibration theorem revisited

   Balter, A. G., Chau, K. W., & Schweizer, N. (2022). Rabin’s calibration theorem revisited. Economics Letters, 210, Article 110166.

5. Time-consistency of optimal investment under smooth ambiguity

   Balter, A. G., Mahayni, A., & Schweizer, N. (2021). Time-consistency of optimal investment under smooth ambiguity. European Journal of Operational Research, 293(2), 643-657.