Christoph is an associate professor of mathematical finance at the University of Alberta. He grew up in Switzerland and studied mathematics at ETH Zurich. During his PhD studies in mathematical finance at ETH Zurich, he worked in the financial industry. After receiving his PhD degree, Christoph was a researcher at École Polytechnique in Paris before joining the University of Alberta in 2010. In the first half of 2013, he was a visiting professor at ETH Zurich. While on sabbatical from the University of Alberta in the academic year 2016/17, Christoph was working on research projects about the credit default swap market at the U.S. Federal Reserve Board and on an independent verification of risk models with UBS in the U.S. regulatory context. His current research is in mathematical finance (algorithmic trading and credit risk management) as well as mathematical economics (over-the-counter markets and continuous-time game theory).
In this paper, the authors analyze how autocorrelation affects MoM estimators commonly used in the industry to determine the latent asset return correlation, and propose a new estimator that includes correction terms to account for the autocorrelation…