Spécialité

Finance

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Domaines de recherche

  • Econométrie financière
  • Modélisation stochastique et simulation
  • Optimisation et programmation
  • Allocation de portefeuille et gestion de risque

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Fonctions

  • 2004–present EDHEC Business School (Nice), Research Engineer
  • 2003   Federal Ministry of Finance (Berlin), Intern (Car Pollution Tax Policy)
  • 2000–2002  Humboldt University (Berlin), Research Assistant (Department of Microeconomics)
  • 2000  Siemens Corp. (Berlin), Intern (Strategic Marketing)

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Formation

  • 2007 Ph.D, Finance, Paul Cézanne University (Aix-Marseille III)
  • 2005 M.S., Statistics, ENSAE (Paris)
  • 2004 M.S., Economics, Humboldt University (Berlin)
  • 2002 B.S., Economics, Humboldt University (Berlin)

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Publications

Ouvrages et participations à des ouvrages collectifs

  • "The Benefits of Hedge Funds in Asset-Liability Management", with L. Martellini, in "Hedge Funds and Managed Futures" edited by Greg N. Gregoriou and Dieter Kaiser, chapter 24, pp. 483-496, Risk books, London (10/2006)
  • "Die Vorteile von Hedgefonds im Asset Liability- Management", with L. Martellini, in "Handbuch
    Alternative Investments - Band 2" edited by Michael Busack and Dieter Kaiser, pp. 763-773,
    Gabler, London (08/2006)

Publications dans des revues à comité de lecture

  • "Extending Black-Litterman analysis beyond the mean-variance framework - An application to hedge fund style allocation decisions", with L. Martellini, Journal of Portfolio Management, 33(4), 33-44, 2007. 
  • "Exchange-Traded Fixed Income Derivatives in Asset Management and Asset Liability Management", with F. Goltz and L. Martellini, Journal of Fixed Income, 16(1), 39-54, 2006. 
  • "The Benefits of Hedge Funds in Asset-Liability Management", with L. Martellini, Journal of Financial Risk Management, 3(2), pp. 28-55, 2006.

Communications dans des congrès à comité de lecture

  • "Integrating Hedge Funds into Asset-Liability Management", EDHEC Hedge Fund Days, 02/2006

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Activités pédagogiques

Recherche en cours

  • “Improved Forecasts of Higher Order Moments and Co-Moments of Asset Returns and Implications for Portfolio Selection", with L. Martellini, last revised 01/2008
  • "Passive Hedge Fund Replication - A Critical Assessment of Existing Techniques and Directions for Further Research", with N. Amenc , W. Géhin , L. Martellini and J-C Meyfredi, last revised 10/2007, resubmitted to European Financial Management (2nd round) 
  • "Asset-liability management decisions in household finance", with N. Amenc and L. Martellini, last revised 09/2007

Matières enseignées

  • "Financial Modeling with Matlab", MSc Finance, MSc RaM, EDHEC, 2007 
  • "Financial Modeling", MSc RaM, EDHEC, 2006 
  • "Tutorial in Microeconomics", B.S. in Economics, Humboldt University, 2000-2002

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Contact

E-mail : volker.ziemann(at)edhec.edu
Téléphone : 04 93 18 78 28

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