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

Recent publications

  1. Comparative risk aversion vs. threshold choice in the Omega ratio

    Balter, A., Chau, K. W., & Schweizer, N. (2024). Comparative risk aversion vs. threshold choice in the Omega ratio. Omega: International journal of management science, 123, Article 102992.
  2. 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.
  3. 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.
  4. Robust multiple stopping — A duality approach

    Laeven, R. J. A., Schoenmakers, J. G. M., Schweizer, N., & Stadje, M. A. (Accepted/In press). Robust multiple stopping — A duality approach. Mathematics of Operations Research.
  5. 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.

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