Prof. Dr. Daniel Guterding

Professor of Applied Mathematics

Brandenburg on the Havel, Brandenburg, Germany

About

Experience

  • Professor of Applied Mathematics at Brandenburg University of Applied Sciences
    Mar 2023 - Present · 3 yrs 4 mos

  • Deutsche Börse (2 yrs 5 mos)
    • Quantitative Software Engineer, Team Lead
      Jul 2021 - Feb 2023 · 1 yr 8 mos

    • Quantitative Software Engineer
      Oct 2020 - Jun 2021 · 9 mos

  • Lecturer at Technische Hochschule Mittelhessen
    Oct 2018 - Feb 2023 · 4 yrs 5 mos

    Introduction to Stochastic Processes (Probability, Random Walks, Martingales, Markov Chains, Stochastic Differential Equations, Monte Carlo Simulation), Lecture and Exercise Course, 2+2 hours/week

  • Quantitative Analyst at Eurex
    May 2018 - Sep 2020 · 2 yrs 5 mos

    Reconstruction of order books from trading system messages. Analysis of market making strategies in futures and options order books. Statistical analysis of high-frequency derivatives trading data. Robust calibration of smile-models in a high-frequency trading environment. Portfolio optimization under market-risk constraints. Quantitative calibration of derivatives tick sizes. Execution cost analysis for futures products. Financial engineering in the equity and credit space.

  • Lucht Probst Associates GmbH (LPA) (Frankfurt Rhine-Main Metropolitan Area)
    • Quantitative Analyst
      Dec 2017 - Apr 2018 · 5 mos

      Implemented the local volatility model for FX. Devised new semi-analytical calibration method for the Heston model. Implemented stochastic local volatility models for FX. Implemented and validated regulatory model for PRIIP KID scenarios.

    • Junior Quantitative Analyst
      Dec 2016 - Dec 2017 · 1 yr 1 mo

      Implemented the uncertain volatility model for Equity derivatives. Structured OTC FX and FI derivatives, devised automatic parameter solving rules.