Sebastian is a senior quant developer and risk management professional. He has extensive experience in various roles in the financial industry at large investment banks and consulting firms. He joined Frame Consulting GmbH, Berlin as a partner to build a boutique consulting firm with a very strong quantitative footprint.
The primary focus of Sebastian’s work is managing and delivering client projects. Projects range from large initiatives to small specialised tasks. His clients cover large international investment banks, asset managers and regional banks mainly in the DACH area.
Sebastian has a proven track record on valuation methodologies, valuation risk management and model governance.
He actively develops open-source projects on GitHub. Some notable projects include Monte-Carlo simulation for XVA/CCR in the Julia language and extensions to the QuantLib financial pricing library.
His academic background is in applied mathematics. He holds a PhD in Mathematics from Technische Universität Dresden and an MSc in Mathematical Finance from University of Oxford.
Sebastian also works as lecturer at Humboldt-Universität zu Berlin. He gives courses on ‘Interest Rate Modelling and Derivatives Pricing’ as well as ‘Financial Mathematics’.
