Nikolaus Schweizer

dr.

Tilburg School of Economics and Management, Research Group: Econometrics
Associate Professor, Tilburg School of Economics and Management, Econometrics and Operations Research

EmailN.F.F.Schweizer@tilburguniversity.edu

Warandelaan 2, Koopmans Building, room K 532
5037 AB Tilburg
Netherlands

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Personal profile

Research interests

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.

Current courses

Click here for my courses.

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19 Article
1 Chapter

Time-consistency of optimal investment under smooth ambiguity
Balter, A. G., Mahayni, A. & Schweizer, N., Jan 2021, In : European Journal of Operational Research.
Research output: Contribution to journal › Article › Scientific › peer-review

Open Access
`Regression anytime' with brute-force SVD truncation
Bender, C. & Schweizer, N., 2020, (Accepted/In press) In : Annals of Applied Probability.
Research output: Contribution to journal › Article › Scientific › peer-review
A toolkit for robust risk assessment using F-divergences
Kruse, T., Schneider, J. C. & Schweizer, N., Aug 2020, (Accepted/In press) In : Management Science.
Research output: Contribution to journal › Article › Scientific › peer-review
Perturbation bounds for Monte Carlo within Metropolis via restricted approximations
Medina-Aguayo, F., Rudolf, D. & Schweizer, N., Apr 2020, In : Stochastic Processes and their Applications. 130, 4, p. 2200-2227
Research output: Contribution to journal › Article › Scientific › peer-review

Open Access
3 Citations (Scopus)
Performance bounds for optimal sales mechanisms beyond the monotone hazard rate condition
Schweizer, N. & Szech, N., May 2019, In : Journal of Mathematical Economics. 82, p. 202-213
Research output: Contribution to journal › Article › Scientific › peer-review
1 Citation (Scopus)

Research interests

Current courses

Time-consistency of optimal investment under smooth ambiguity

`Regression anytime' with brute-force SVD truncation

A toolkit for robust risk assessment using F-divergences

Perturbation bounds for Monte Carlo within Metropolis via restricted approximations

Performance bounds for optimal sales mechanisms beyond the monotone hazard rate condition