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.

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

Recent publications

  1. 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.
  2. A toolkit for robust risk assessment using F-divergences

    Kruse, T., Schneider, J. C., & Schweizer, N. (2021). A toolkit for robust risk assessment using F-divergences. Management Science.
  3. `Regression anytime' with brute-force SVD truncation

    Bender, C., & Schweizer, N. (Accepted/In press). `Regression anytime' with brute-force SVD truncation. Annals of Applied Probability.
  4. Perturbation bounds for Monte Carlo within Metropolis via restricted …

    Medina-Aguayo, F., Rudolf, D., & Schweizer, N. (2020). Perturbation bounds for Monte Carlo within Metropolis via restricted approximations. Stochastic Processes and their Applications, 130(4), 2200-2227.
  5. The joint impact of F-divergences and reference models on the content…

    Kruse, T., Schneider, J. C., & Schweizer, N. (2019). The joint impact of F-divergences and reference models on the contents of uncertainty sets. Operations Research, 67(2), 428-435.

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