Dr. N.J. Seeger



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+31 20 59 81512
7a-47
n.j.seeger@vu.nl
faculteit der economische wetenschappen en bedrijfskunde ( finance )
Assistant Professor

Brief Résumé


Norman received his PhD from Goethe University in Frankfurt and subsequently worked as Assistant Professor of Finance at University of St. Gallen. 2014 he moved to Amsterdam to become an Assistant Professor of Finance (tenure track) at the finance department of the VU University. Norman’s primary research interests are the fields of asset pricing, financial econometrics, derivatives, commodities, international macroeconomics and finance. His research has been published in the Journal of Business & Economic Statistics and Journal of Futures Markets.

Norman is a visiting scholar at Dutch National Bank and frequently visits Columbia Business School NYC as research scholar as well. Since 2014 he serves as Associate Editor of the Journal of Banking and Finance and is affiliated to the Tinbergen Research Institute as candidate fellow.

 

Selected Publications


  • Empirical Analysis of Affine vs. Non-Affine Variance Specifications in Jump-Diffusion Models for Equity Indices, (2015) Journal of Business & Economic Statistics, co-authored by Paulo Rodrigues, Katja Ignatieva
  • Hedging Under Model Mis-Specification: All Factors are Equal, But Some are More Equal than Others …, (2012) Journal of Futures Markets, Vol. 32, No. 5, 397-430, 2012, co-authored by Nicole Branger, Eva Krautheim, Christian Schlag

 

Selected Working Papers


  • Anticipated Uncertainty, Earnings Announcements and Equity Options”: coauthored by Andrew Dubinsky (Goldman Sachs), Michael Johannes (Columbia Business School) and Andreas Kaeck (University of Sussex)
  • Modeling Volatility of Oil Commodity Futures”: coauthored by Michael Johannes (Columbia Business School) and Jonathan Stroud (George Washington University)
  • Model Complexity and Out-of-Sample Performance: Evidence from S&P 500 Index Returns”: coauthored by Paulo Rodrigues (University Maastricht) and Andreas Kaeck (University of Sussex)
  • Option Liquidity in the Cross Section of Options”: coauthored by Vincent van Kervel (Pontificia Universidad Catlica de Chile), Paulo Rodrigues (University Maastricht)

Remaining publications can be found in the university system via the link Publications or via platforms such as my SSRN page.

 

Teaching Activities


Master of Finance:
  • Derivatives 4.2
  • Research Project Finance
  • Supervising Master Thesis Class
Minor Applied Econometrics: A Big Data Experience for All
  • Empirical Finance
Pre Master Program:
  • Academic Paper Writing Class
School of Finance and Risk Management:
  • Black&Scholes, Risk Management, and Implied Volatility
Postgraduate Program Treasury Management:
  • Credit Risk

 

Other Activities


  • Associate Editor Journal of Banking and Finance
  • Visiting Scholar Dutch National Bank
  • Candidate Fellow Tinbergen Institute

 

Personal webpage


More detailed information on my personal webpage:
www.norman-seeger.com