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

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

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. Robust decisions for heterogeneous agents via certainty equivalents

   Balter, A., & Schweizer, N. (2024). Robust decisions for heterogeneous agents via certainty equivalents. European Journal of Operational Research. Advance online publication.

3. Solving maxmin optimization problems via population games

   Balter, A., Schumacher, J. M., & Schweizer, N. (2024). Solving maxmin optimization problems via population games. Journal of Optimization Theory and Applications. Advance online publication.

4. 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.

5. 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.