Philip Rosenthal, M. Sc.
Email: philip.rosenthal
Profile
| since 2017 | Research assistant at the Chair of Banking and Finance at the University of Hagen |
| 2015 - 2016 | Research assistant at the Economic and Social Statistics Department at Trier University |
| 2012 - 2015 | Studies in Survey Statistics at Trier University, Master of Science |
| 2011 - 2015 | Studies in Business Mathematics at Trier University, Master of Science |
| 2010 - 2011 | Year abroad at the University of Southampton |
| 2007 - 2012 | Studies in Business Mathematics at Trier University, Bachelor of Science |
| 2005 - 2007 | Training as a qualified bank clerk |
| 2005 | A-levels |
Research Focus
[mehr erfahren]
Complex financial structured retail products
Complex financial structured retail products (certificates) are the main focus of this research project. These instruments are issued and sold by banks to retail investors. There is a need for hedging against market parameters and especially price movements of the underlying asset, as profits with certificates are made by margin calculation and not by banks trading against their own customers. Hedging becomes inherently difficult when additional barriers, which correspond to the underlying passing a predefined price, are involved. That is because breaking these barriers may lead to uncontinuous jumps in the certificate’s payoff. Trades of opposite direction are often not feasible since barrier options are not frequently traded on derivative exchanges or even in OTC trading. The goal of this project is to use liquidly traded financial instruments like stocks or EUREX options to achieve a synthetic payoff structure close to that of a certificate for small time intervals. Thus far, no classical method leads to satisfying results especially near the barrier.
Conference Participations
- "Time-Discrete Hedging of Down-And-Out Puts Near the Barrier"
30th Annual Meeting of the European Financial Management Association
Online, 01.07.2021. - "Time-Discrete Hedging of Down-And-Out Puts Near the Barrier"
37th International Conference of the French Finance Association (AFFI)
Online, 27.05.2021 - "Time-Discrete Hedging of Down-And-Out Puts Near the Barrier"
World Finance and Banking Symposium
Online, 05.12.2020. - "Minimum MSE hedging of complex financial retail structured products in discrete time"
6th European Conference on Data Analysis (ECDA)
Bayreuth, 18.03.2019. - "Minimum MSE hedging of complex financial retail structured products in discrete time"
Workshop der Financial Management and Financial Institutions Working Group der Gesellschaft für Operations Research (GOR AG FIFI)
Lemgo, 01.02.2019. - "Zeitdiskretes Hedging von Bonuszertifikaten"
Internationales Doktoranden Seminar (IDS)
Hagen, 06.07.2018.
