Stefan Mittnik

Stefan Mittnik
Born (1954-11-29) November 29, 1954
Steinbach, Hesse
Nationality German
Institution Ludwig Maximilians University of Munich (LMU Munich)
Center for Financial Studies
Field Econometrics
Financial economics
Macroeconometrics
Alma mater Technical University Berlin (Dipl. Ing.)
University of Sussex (M.A.)
Washington University in St. Louis (Ph.D.)
Influences Edward Greenberg
Benoit Mandelbrot
Laurence H. Meyer
Hyman P. Minsky
Contributions Financial modeling
Macroeconometrics

Stefan Mittnik (born November 29, 1954) is a German economist, currently holds the Chair of Financial Econometrics at the Ludwig Maximilians University of Munich. He is a fellow of the Center for Financial Studies[1] and known for his work on financial market and financial risk modeling as well as macroeconometrics.

Biography

Stefan Mittnik received a degree in business and engineering in 1981 from the Technical University Berlin in Germany. He continued his studies in the UK, earning an MA in development economics at the University of Sussex, and the U.S., earning his Ph.D. in economics and applied mathematics from Washington University in St. Louis in 1987.

After his graduate studies, Mittnik taught at Stony Brook University (1987-1994) and the University of Kiel in Germany (1994-2003). Since 2003 he is Professor of Financial Econometrics at the Ludwig Maximilians University of Munich (LMU Munich) in Germany where he currently also heads the Center for Quantitative Risk Analysis (CEQURA).

Mittnik was research director at the Ifo Institute for Economic Research,[2] Fulbright Program Distinguished Scholar for German Studies at the Department of Economics at Washington University in St. Louis,[3] Theodor Heuss Professor at The New School in New York,[4] member of the Economics Review Board (Fachkollegium) of the Deutsche Forschungsgemeinschaft (German Science Foundation),[5] member of the scientific advisory board of the Deutsche Bundesbank,[6] and served on the editorial boards at a number of scientific journals. The German newspaper Frankfurter Allgemeine Zeitung listed him among the most influential German economists.[7]

Research

Mittnik's main research contributions have been in econometrics, time series analysis, finance, and risk management. Influenced by Benoit Mandelbrot, who was the first to criticize financial economists for relying on the normal distribution and ignoring fat tails in asset returns,[8] he has developed methods for more realistic financial risk modeling, portfolio optimization and option pricing.

Selected Publications

References

  1. Fellows of the Center for Financial Studies
  2. Ifo Institute for Economic Research, Annual Report 2004
  3. Fulbright Program, German Fulbright Grantees in the U.S., 2004-2005
  4. “Social Research in a Transforming World: Transatlantic Conversations” honoring 50 years of German Theodor Heuss Professors at The New School
  5. German Research Foundation (DFG) Fachkollegien 2004-2011
  6. Deutsche Bundesbank, Annual Report, 2008
  7. Frankfurter Allgemeine Zeitung, F.A.Z.-Ökonomenranking
  8. Benoit Mandelbrot, The variation of certain Speculative Prices, The Journal of Business, 1963

External links

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