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Personal Details

Lorenzo Schoenleber started his Ph.D. at Frankfurt School of Finance & Management in September 2015. His research interests are within the area of option-implied information in asset pricing and portfolio management. He obtained his B.Sc. and M.Sc. at the University of Mannheim where he studied Business Mathematics. His first master semester took place at the University of Amsterdam, where he was a member of the Stochastic and Financial Mathematics program. His studies have been mainly focused on mathematical finance, stochastic, numerical analysis and statistics. Besides academia he obtained practical experience from internships and student jobs in the area of Consulting, Banking and Asset Management in Frankfurt, Munich and New York.

Research papers:

  • Expected Stock Returns and Correlation Risk Premium, A. Buss and L. Schoenleber and G. Vilkov, 2017
  • Option-Implied Correlations, Factor Models, and Market Risk, A. Buss and L. Schoenleber and G. Vilkov, INSEAD Working Paper, 2016
Research paper presentations at conferences:
  • European Finance Association Conference, 2018, Warsaw, Poland
  • Bachelier Finance Society, 2018, Dublin, Ireland
  • FMA - European Conference, 2018, Kristiansand, Norway
  • Frontiers of Factor Investing, 2018, Lancaster University, United Kingdom
  • 21st Annual Conference of the Swiss Society for Financial Market Research 2018 Annual Meeting, 2018, Zurich, Switzerland
  • AFA 2018 Annual Meeting – Poster Session – 2018, Philadelphia, USA
  • The 2nd Annual Eastern Conference on Mathematical Finance (ECMF), 2017, New York City, USA
  • PanAgora Asset Management, Crowell Prize, 2017, Boston, USA
  • FMA Annual Meeting, 2017, Boston, USA
  • SFS Cavalcade - Society for Financial Studies, 2017, Nashville, USA
  • Option Metrics Conference, 2016, New York City, USA 

Department visit:  
Courant Institute of Mathematical Sciences of New York University – Invited by Prof. Petter Kolm, 09/2017 – 03/2018

Awards and scholarships:
2017 - Research Grant, Canadian Derivatives Institute (CDI) (former: Montreal Institute of Structured Products and Derivatives) for "Expected Stock Returns and the Correlation Risk Premium" (with Adrian Buss and Grigory Vilkov)
2017 - Crowell Prize Finalist 2017, "Option-Implied Correlations, Factor Models, and Market Risk" (with Adrian Buss and Grigory Vilkov)
Teaching experience:
Statistics and Probability



Working papers