Michael Rockinger
University of Lausanne
Michael Rockinger is tenured professor at the University of Lausanne where he is a member of the finance department. His interest is in computational finance and financial econometrics. His research aims to tackle problems with a societal impact. Also he aims to create models that work and are not just abstractions. His research is in time series analysis and more recently in the international startup scene.
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Articles by Michael Rockinger
Simulating the Cox–Ingersoll–Ross and Heston processes: matching the first four moments
This paper investigates various techniques for the CIR and Heston models.