Julian Hölzermann

I am an Assistant Professor of Finance at the University of Southern Denmark and a Research Fellow at the Danish Finance Institute. You can reach me at juho[at]sam[dot]sdu[dot]dk.

I did my Ph.D. in mathematics at Bielefeld University under the supervision of Frank Riedel. Prior to that, I studied mathematical economics (M.Sc. and B.Sc.) at Bielefeld University. You can find my CV here.

Research Interests

My research interests are in asset pricing. I am especially interested in ambiguity (Knightian uncertainty) in financial markets and in particular, fixed income markets.

Preprints

"Portfolio Selection and Asset Pricing with Ambiguity: A Two-Stage Evaluation Approach," with Ying He. SSRN preprint. https://ssrn.com/abstract=5002924. Winner of the Best Young Researcher Award at the 18th International Risk Management Conference.

"Optimal Investment with Interest Rate Risk and Ambiguity." SSRN preprint. https://ssrn.com/abstract=4488813.

Publications

"Pricing Interest Rate Derivatives under Volatility Uncertainty." Annals of Operations Research 336(1-2), 153-182. https://doi.org/10.1007/s10479-022-04921-y.

"Term Structure Modeling under Volatility Uncertainty." Mathematics and Financial Economics 16(2), 317-343. https://doi.org/10.1007/s11579-021-00310-4.

"The Hull-White Model under Volatility Uncertainty." Quantitative Finance 21(11), 1921-1933. https://doi.org/10.1080/14697688.2021.1923788.

You can find my Google Scholar profile here.

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