I am a PhD mathematician (Oxford University, 2007), quantitative portfolio manager and developer. Whilst at Oxford I was a Rhodes Scholar at Balliol College. I specialise in risk measurement, portfolio optimization, data analysis and software engineering.
I enjoy working on all stages of strategy development; from establishing priors through to research, implementation, and maintenance.
I am most interested in applications of machine learning and convex programming to problems arising in quantitative finance.
A complete list of my publications is available at Google Scholar.
My Erdös Number is currently 3
- Thomas Schmelzer coauthored with Robert Baillie
- Robert Baillie coauthored with Samuel S. Wagstaff, Jr.
- Samuel S. Wagstaff, Jr. coauthored with Paul Erdös
My profile at the Mathematics Genealogy Project
My Doktorvater is Lloyd Nicholas Trefethen FRS. Amongst my ancestors are Leibniz, Mersenne, Hugyens, Copernicus, Thomas Cranmer (executed at Oxford in 1556) and many other fascinating scientists.
mail: thomas dot schmelzer at gmail dot com