Personal profile
Research areas
My research interests are in asset pricing. I am especially interested in ambiguity (Knightian uncertainty) in financial markets.
Education/Academic qualification
Mathematics, Ph.D., Bielefeld University
Mathematical Economics, M.Sc. & B.Sc., Bielefeld University
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Collaborations and top research areas from the last five years
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Optimal Investment with Stochastic Interest Rates and Ambiguity
Hölzermann, J., 2025, (Submitted) SSRN: Social Science Research Network.Research output: Working paper › Research
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Portfolio Selection and Asset Pricing with Ambiguity: A Two-Stage Evaluation Approach
He, Y. & Hölzermann, J., 2025, (Submitted) SSRN: Social Science Research Network.Research output: Working paper › Research
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Pricing interest rate derivatives under volatility uncertainty
Hölzermann, J., May 2024, In: Annals of Operations Research. 336, 1-2, p. 153-182Research output: Contribution to journal › Journal article › Research › peer-review
Open AccessFile42 Downloads (Pure) -
Term structure modeling under volatility uncertainty
Hölzermann, J., Apr 2022, In: Mathematics and Financial Economics. 16, 2, p. 317-343Research output: Contribution to journal › Journal article › Research › peer-review
Open Access -
The Hull–White model under volatility uncertainty
Hölzermann, J., 2021, In: Quantitative Finance. 21, 11, p. 1921-1933Research output: Contribution to journal › Journal article › Research › peer-review
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Mathematical Finance (Journal)
Hölzermann, J. (Peer reviewer)
2026Activity: Editorial work and peer review › Peer review of manuscripts › Research
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SIAM Journal on Financial Mathematics (Journal)
Hölzermann, J. (Peer reviewer)
2026Activity: Editorial work and peer review › Peer review of manuscripts › Research
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Portfolio Selection and Asset Pricing with Ambiguity: A Two-Stage Evaluation Approach
Hölzermann, J. (Guest lecturer)
19. Sept 2025Activity: Talks and presentations › Conference presentations
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Portfolio Selection and Asset Pricing with Ambiguity: A Two-Stage Evaluation Approach
Hölzermann, J. (Guest lecturer)
24. Jun 2025Activity: Talks and presentations › Conference presentations
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Portfolio Selection and Asset Pricing with Ambiguity: A Two-Stage Evaluation Approach
Hölzermann, J. (Guest lecturer)
13. May 2025Activity: Talks and presentations › Conference presentations
Prizes
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Best Young Researcher Award
Hölzermann, J. (Recipient), 23. Jun 2025
Prize: Prizes, scholarships, distinctions
Teaching & Supervision
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Bachelor's and Master's Theses
Hölzermann, J. 01/02/2023 → …
Course: Teaching and supervision › Supervision
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Derivatives and Risk Management
Hölzermann, J. 01/09/2024 → …
Course: Teaching and supervision › Teaching
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